投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-06-11 等待谈判落地 股指期货：放量回撤，震荡市对待 股指期权：买权对冲防御 国债期货：市场情绪偏谨慎 股指期货方面，放量回撤，震荡市对待。昨日午后异动下跌，盘面整 体放量，尤其是科创板块表现弱势，计算机、军工、半导体领跌，但盘面 无太多恐慌情绪。关于下跌的原因，消息面并无明确支持因素，我们理解 盘面回撤更多的是与情绪阶段过热有关。其一，沪指逼近3400点关口， 属于年内偏上沿区域，部分资金担心无法新高之后的回撤风险，其二， 创新药、新消费接连成为阶段主线，板块交易有拥挤之嫌，结合强势股蜜 雪集团多日出现长阴，市场担心高波环境下的持续性问题，其三，消息面 市场计价中美关系缓和，但鉴于谈判结果未定，也有部分资金可能逢高止 盈，提防不确定性。对于下跌，我们认为未必代表调整开始，但短期市场 缺少上行催化因素，仍建议观望。 股指期权方面，买权对冲防御。昨日权益市场早盘震荡，午后跳水。 期权方面，市场成交额提升26.5%重回近10个交易日高位，但交投活跃的 成因在于日内行情波动，期权端对冲避险，而并非资金进场交易。成交量 P ...

Group 1 - Market sentiment indicators have declined further, with the sentiment score dropping to 1.75 from 2.5, indicating a bearish outlook [1][7]. - The proportion of financing balance and the 300RSI index scores have decreased, reflecting increased bearish sentiment among investors [11][14]. - The total trading volume in the A-share market has shown a slight increase, with a daily trading volume of 1.17 trillion RMB and a decrease in daily trading volume to 954.58 million shares [17][18]. Group 2 - The trend scores for industries such as communication, media, computer, and textile have shown significant increases, with communication and real estate industries seeing a rise of 41.67% in short-term trend scores [33][34]. - The model indicates a preference for small-cap growth stocks, with a strong signal for small-cap style dominance and weak differentiation between growth and value styles [35][36]. - The industry performance shows that communication, basic chemicals, non-ferrous metals, and steel have strong price trends, while industries like home appliances, food and beverage, and automotive are underperforming [29][30].

Investment Rating - The report suggests a positive outlook for the A-share market, indicating a potential for continued strong fluctuations and possible upward breakthroughs in the near term [3][6][14]. Core Insights - The report identifies that the end of the "filling pit" market phase is primarily driven by policies and external events, with historical data showing that out of seven instances since 2015, five resulted in market increases post-oscillation [6][14]. - Current short-term economic recovery trends are noted, with improvements in real estate sales and increased operational rates in the construction sector [19][24]. - The report emphasizes a focus on technology and new consumption sectors for investment, suggesting that these areas will continue to outperform in the near term [36][40]. Summary by Sections 1. Ending the Oscillation After the Filling Pit Market - The end of the oscillation phase is driven by policies and external events, with historical oscillation periods averaging 86 trading days, where five out of seven instances led to market increases [6][14]. - Key factors influencing the end of oscillation include policy easing and positive external events, such as geopolitical developments and economic agreements [6][14]. 2. Weekly Strategy: Continued Strong Oscillation in A-Shares - Short-term economic recovery is evident, with real estate sales showing resilience and construction project initiation rates improving [19][24]. - Liquidity remains loose, with significant reverse repos scheduled, indicating a strong willingness from the central bank to maintain liquidity [24][26]. 3. Industry Allocation: Focus on Technology and New Consumption - The report suggests that small-cap stocks may continue to outperform, as current market indicators are significantly below historical thresholds for style switching [33][34]. - Technology and new consumption sectors are highlighted as key areas for investment, with historical trends indicating these sectors perform well during oscillation periods [36][37]. - Valuation attractiveness is noted in sectors such as oil services, textiles, and media, with low PE ratios and high expected growth rates [40].

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core Viewpoints of the Report - The iron ore futures contract 2509 is expected to be oscillating and slightly bullish in the short - term and intraday, and oscillating in the medium - term. Attention should be paid to the support level of MA5. The bullish sentiment dominates, leading to a slightly bullish oscillation of ore prices [1]. - The supply - demand fundamentals of iron ore show a situation of strong supply and weak demand, but the futures price is deeply at a discount, and the market sentiment has warmed up, so the downward resistance of ore prices is large. In the short - term, the ore prices will continue the trend of oscillating higher, and the performance of finished steel products should be monitored [2]. 3) Summary According to Relevant Contents Variety Viewpoint Reference - For the iron ore 2509 contract, the short - term view is oscillating and slightly bullish, the medium - term view is oscillating, and the intraday view is also oscillating and slightly bullish. The core logic is that the bullish sentiment dominates, causing the ore prices to oscillate strongly. The support level of MA5 should be focused on [1]. Market Driving Logic - Macro - level positive news reappears, and the market sentiment has warmed up, leading to the stabilization of ore prices. The demand for iron ore continues to decline, but the decline is limited and remains at a high level within the year. During the off - season, the steel mill production weakens, and the demand - side positive effect is not strong [2]. - Port arrivals and overseas miners' shipments have both increased. With the expected end - of - fiscal - year volume rush, the overseas ore supply remains at a high level. Although domestic ore production is restricted and the output has decreased, the decrease is not sustainable. Overall, the iron ore supply is increasing [2]. - Currently, the iron ore fundamentals show a weak - stable situation of strong supply and weak demand, and the ore prices are still prone to pressure. However, due to the deep discount of the futures price and the warming market sentiment, the downward resistance is large. In the short - term, the bullish atmosphere dominates, and the ore prices will continue to oscillate higher. The performance of finished steel products should be observed [2].

1. Report Industry Investment Rating - The mid - term outlook for the black building materials industry is "oscillating" [5][9][16] - Specific product ratings: - Steel: oscillating [7] - Iron ore: oscillating [7][9] - Scrap steel: oscillating [8] - Coke: oscillating weakly [8][10] - Coking coal: oscillating weakly [11][13] - Glass: oscillating weakly [12] - Soda ash: oscillating weakly [12][14] - Ferrosilicon: oscillating [15][16] - Silicomanganese: oscillating [14] 2. Core View of the Report - The expectation of supply contraction in the coking coal market has increased, and the prices of the black series have rebounded as a whole. However, due to the approaching off - season of domestic construction and manufacturing industries and the under - expected "rush for exports", the demand is difficult to increase, so the rebound height is limited. Attention should be paid to the subsequent policy orientation [2][3][5] 3. Summary by Relevant Catalogs 3.1 Overall Black Building Materials Market - **Supply and demand situation**: The domestic demand is seasonally weakening, and the "rush for exports" in the manufacturing industry is under - expected. The off - season trend remains unchanged. Electric furnaces and some blast furnaces have started to make losses, and the molten iron is expected to decline, but the overall profitability provides some support to the cost side [2][3][5] - **Rebound driver**: Low valuation combined with news speculation brings rebound drive, but the height is limited [2][3][5] 3.2 Specific Product Analysis 3.2.1 Steel - **Core logic**: The prices of raw materials rebounded, but the fundamentals changed little. The domestic policy is in a vacuum period, and there are still expectations of tariff risks. The demand for the five major steel products rebounded this week, but the domestic demand expectation is still weak. The molten iron is at a high level, and the steel output has increased. The overall supply - demand fundamentals have improved this week, and the inventory has decreased, but the falling raw material prices and the pessimistic expectation of domestic demand suppress the futures price [7] - **Outlook**: The fundamentals have improved this week, but the expectation is still pessimistic, and the raw material prices are weakening. It is expected that the steel price will oscillate in the short term [7] 3.2.2 Iron Ore - **Core logic**: The overseas supply increment is lower than expected, the cumulative annual shipment has decreased year - on - year, and the new project ramp - up has slowed down. The steel enterprises' profitability and order status are still good, and the molten iron is expected to remain at a high level. The supply - demand is in a tight balance, and the inventory accumulation pressure before September is small. Affected by the coking coal news, the iron ore price has also increased slightly [3][7] - **Outlook**: If the molten iron can stop falling around 240,000 tons per day as expected and the macro sentiment warms up, the price is expected to continue to rise, but the upside space is limited, and the 09 contract will oscillate in a wide range [7] 3.2.3 Scrap Steel - **Core logic**: After the holiday, the arrival volume is low, and the electric furnace valley - electricity is in a loss state. The apparent demand for rebar has rebounded slightly, and the total inventory has decreased slightly. The supply of scrap steel is tight, and the demand has decreased. The inventory in the factory has increased slightly [8] - **Outlook**: The market is pessimistic about the off - season demand, the finished product price is under pressure, and the electric furnace valley - electricity loss has intensified. It is expected that the price will oscillate in the future [8] 3.2.4 Coke - **Core logic**: The expectation of coking coal supply tightening has increased, but the actual supply - demand remains loose. The supply of coke is stable, but the inventory has accumulated. The demand is weakening, and the cost support is insufficient [8][10] - **Outlook**: The coking coal price is continuously falling, and the demand is weakening. It is expected that the short - term upward trend of the futures price will be difficult to sustain [10] 3.2.5 Coking Coal - **Core logic**: The expectation of supply tightening has increased due to safety accidents in Shanxi and the news of Mongolia's coal export tariff increase. However, the actual supply is still loose, the demand is expected to decline, and the upstream inventory pressure is increasing [4][11] - **Outlook**: The supply - demand of coking coal remains loose, and the high inventory restricts the upside space of the futures price [11] 3.2.6 Glass - **Core logic**: The off - season demand decline is not obvious, the deep - processing demand has improved month - on - month but is still weak year - on - year. The daily melting volume is stable, and the price is low, which inhibits the resumption of production. The inventory in the upstream is expected to increase, and the inventory in the middle reaches has decreased. The futures price oscillates due to news and sentiment [12] - **Outlook**: The actual demand is under pressure in the off - season, the futures price is at a discount to the spot price. The price cut of Hubei's spot goods leads the futures price to decline. It is recommended to pay attention to the price - cut range of Hubei's manufacturers, and the short - term view is oscillating weakly [12] 3.2.7 Soda Ash - **Core logic**: The supply capacity has not been cleared, and the supply pressure still exists. The demand for heavy soda ash is expected to maintain rigid procurement. Affected by the coal market news, the price has fluctuated, and the long - term oversupply pattern remains unchanged [12][14] - **Outlook**: The oversupply pattern remains unchanged, and the maintenance is gradually resuming. It is expected to oscillate weakly in the short term, and the price center will decline in the long term [14] 3.2.8 Ferrosilicon - **Core logic**: Affected by the improved sentiment in the black sector, the futures price of ferrosilicon has rebounded from a low level. The supply has increased slightly, but the demand is weakening, and the market sentiment is cautious [15] - **Outlook**: The supply - demand of ferrosilicon is weak, and the demand is expected to continue to weaken. The cost may still have a drag effect. It is recommended to pay attention to the steel procurement and production situation, and the futures price is expected to oscillate in the short term [15] 3.2.9 Silicomanganese - **Core logic**: Affected by the improved sentiment in the black sector, the futures price of silicomanganese has rebounded from a low level. The cost is weakly stable, the supply is increasing, and the demand is weakening [14] - **Outlook**: The supply of silicomanganese is expected to increase, and the demand is weakening. The supply - demand is becoming looser. The manufacturers are reluctant to sell due to cost inversion. It is expected that the futures price will oscillate in the short term [14]

Group 1 - The Australian dollar (AUD/USD) is currently trading around 0.64, down 0.35% from the previous close of 0.6489, indicating a bearish trend in the currency market [1] - Key financial data releases this week include Australia's Q1 GDP growth rate, which, if it shows accelerated growth, could support the AUD despite adverse international trade conditions [2] - The April trade data and building approvals will also be significant; an expansion in the trade surplus or a less severe contraction in building approvals could bolster the AUD [2] Group 2 - The release of China's May PMI data may impact the AUD positively, as increased economic activity in China could enhance Australia's raw material exports [2] - The decline in the April CPI may lead the Reserve Bank of Australia to continue easing monetary policy, with market expectations of three more rate cuts by the end of the year, which could exert pressure on the AUD [2] - The AUD is viewed as a risk asset, and market sentiment can significantly influence its performance; heightened trade tensions remain a primary concern for the currency [2] Group 3 - Analysts emphasize that the Q1 GDP data release is a critical event for Australian traders, with potential shifts in market sentiment affecting the AUD's trajectory [2] - The AUD has been oscillating within a trading range for several weeks, indicating trader indecision regarding future direction; a cautious approach is advised before confirming any upward movement above the 0.6500 level [2] - A breakout above the 0.6500 level could target the earlier year high range of 0.6535-0.6340, with subsequent resistance levels at 0.6600 and 0.6640 [2]

Group 1: Report Industry Investment Ratings - No relevant content provided Group 2: Core Views of the Report - In the crude oil market, geopolitical risks have increased, but the market is pricing in the impact of OPEC+ production increases in July. Oil prices are under downward pressure in the short - term, with a possible rebound in the third quarter. Brent is expected to trade between $60 - 70 per barrel [2]. - The asphalt market is expected to have weak supply and demand in the short - term. The asphalt/ crude oil spread will remain high, and the BU main contract is expected to trade between 3400 - 3600 [4]. - The domestic LPG market is under pressure in the summer off - season, with weak fundamentals due to increasing supply and weak demand [7]. - High - sulfur fuel oil has seasonal demand support, while low - sulfur fuel oil has weak downstream demand and increasing supply [9]. - Natural gas prices are expected to rebound in the US due to increasing demand, while in Europe, prices are supported by supply disruptions [10][11]. - The PX market is expected to see both supply and demand increase in June, alleviating the tight spot situation [12]. - The PTA market has a weakening supply - demand balance, and processing fees may be compressed [14]. - The ethylene glycol market will maintain a tight - balance pattern, with prices expected to trade at high levels [16]. - The short - fiber market has a strong support for processing fees, with supply losses limited and downstream restocking expected [17]. - The bottle - chip market has weak demand, and processing fees may be suppressed [18]. - The styrene market has a weakening supply - demand balance, with an expected increase in supply and inventory [20]. - The plastic and PP markets are weak in the short and medium - term, and short positions should be held [22]. - The PVC market is in a long - term oversupply situation, and short positions should be held. The caustic soda 09 contract is expected to be weak, and short positions should be taken on rallies [24]. - The soda ash market is bearish, with prices expected to decline gradually [26]. - The glass market is expected to have weak prices in the short - term, and the long - glass short - soda ash strategy should be gradually exited [28]. - The methanol market should be shorted on rebounds, with supply being loose [30]. - The urea market is expected to trade sideways in the short - term, with attention paid to factory order - receiving [32]. - The corrugated paper market has a stable mainstream with some price increases, but terminal demand is weak [33]. - The double - offset paper market has a stable trend, with strong supply and weak demand [35]. - The log market is under pressure in the long - term, and investors can consider long positions for aggressive investors [36]. - The pulp market can be lightly tested for long positions, and an arbitrage strategy can be held [39]. - The natural rubber market has different trends for different varieties, and corresponding trading strategies are proposed [43]. - The butadiene rubber market has a weakening supply - demand balance, and short positions can be considered [46]. Group 3: Summaries by Related Catalogs Crude Oil - **Market Review**: WTI2507 closed at $60.89, down $0.64 (-1.04%); Brent2507 closed at $64.09, down $0.65 (-1.00%); SC main contract 2507 rose to 457.4 yuan/barrel, then fell to 453.5 yuan/barrel at night [1]. - **Related News**: Trump criticized Putin, and OPEC+ may agree to increase production by 411,000 barrels per day in July [1][2]. - **Logic Analysis**: Geopolitical risks increase, but production increases weigh on prices. A possible rebound in Q3 [2]. - **Trading Strategies**: Short - term sideways and weak, medium - term wide - range sideways; gasoline and diesel crack spreads weaken; hold off on options [2][3]. Asphalt - **Market Review**: BU2507 closed at 3487 points (-0.74%) at night, BU2509 closed at 3443 points (-0.55%) at night [4]. - **Related News**: Demand in the north is improving, while in the south, rain affects demand [4]. - **Logic Analysis**: Weak cost support, low inventory supports prices, short - term weak supply and demand [4]. - **Trading Strategies**: Sideways; asphalt - crude oil spread at high levels and sideways; hold off on options [5]. LPG - **Market Review**: PG2507 closed at 4088 (+0.22%) at night, PG2508 closed at 4006 (+0.02%) at night [6]. - **Related News**: Supply in South China is loose, while in Shandong, demand is expected to increase [6]. - **Logic Analysis**: International prices vary, domestic supply increases, demand is weak in summer [7]. - **No trading strategies provided in a complete form** Fuel Oil - **Market Review**: FU07 closed at 2976 (-0.20%) at night, LU07 closed at 3461 (-1.26%) at night [8]. - **Related News**: Egypt is negotiating to import LNG and fuel oil [8][9]. - **Logic Analysis**: High - sulfur has demand support, low - sulfur has weak demand and increasing supply [9]. - **Trading Strategies**: Hold off on single - sided trading; consider FU9 - 1 long spread [10]. Natural Gas - **Market Review**: HH closed at 3.453 (+1.92%), TTF closed at 37.006 (-0.66%), JKM closed at 12.58 (-0.04%) [10]. - **Related News**: US inventory builds more than expected, European supply is disrupted [10][11]. - **Logic Analysis**: US prices may rebound due to demand, European prices are supported by supply [10][11]. - **Trading Strategies**: Go long on HH on dips, TTF sideways and strong [11]. PX - **Market Review**: PX2509 closed at 6706 (+0.48%) during the day, 6654 (-0.78%) at night [11]. - **Related News**: Some PX plants plan to resume or postpone maintenance [12]. - **Logic Analysis**: Supply and demand increase in June, alleviating tightness [12]. - **Trading Strategies**: High - level sideways; long PX short PTA; sell both call and put options [13]. PTA - **Market Review**: TA509 closed at 4740 (+0.34%) during the day, 4710 (-0.63%) at night [13]. - **Related News**: Polyester production and sales are differentiated [14]. - **Logic Analysis**: Supply increases, demand weakens, processing fees may be compressed [14]. - **Trading Strategies**: High - level sideways; long PX short PTA; sell both call and put options [14][15]. Ethylene Glycol - **Market Review**: EG2509 closed at 4387 (-0.14%) during the day, 4381 (-0.14%) at night [14]. - **Related News**: Some MEG plants restart [15]. - **Logic Analysis**: Supply increases slightly, demand weakens, tight - balance pattern [16]. - **Trading Strategies**: High - level sideways; hold off on arbitrage; sell call options [16]. Short - Fiber - **Market Review**: PF2507 closed at 6456 (+0.40%) during the day, 6424 (-0.50%) at night [16]. - **Related News**: Polyester production and sales are differentiated [17]. - **Logic Analysis**: Supply losses are limited, downstream restocking expected [17]. - **Trading Strategies**: Hold off on options [18]. Bottle - Chip - **Market Review**: PR2507 closed at 6010 (+0.07%) during the day, 5992 (-0.30%) at night [18]. - **Related News**: Some plants cut prices, market trading is light [18]. - **Logic Analysis**: Supply is abundant, demand is weak, processing fees may be suppressed [18]. - **Trading Strategies**: Sideways consolidation; hold off on arbitrage; sell call options [19]. Styrene - **Market Review**: EB2507 closed at 7167 (-0.39%) during the day, 7151 (-0.22%) at night [20]. - **Related News**: Some plants have production disruptions [20]. - **Logic Analysis**: Supply and inventory increase, supply - demand weakens [20]. - **Trading Strategies**: Sideways and weak; hold off on arbitrage; sell call options [21]. Plastic and PP - **Market Review**: LLDPE prices fall, PP prices also decline [21]. - **Related News**: PE and PP maintenance ratios change slightly [22]. - **Logic Analysis**: New capacity comes on - stream, demand is weak [22]. - **Trading Strategies**: Short - and medium - term weak, hold short positions; hold off on arbitrage and options [22]. PVC and Caustic Soda - **Market Review**: PVC prices fall, caustic soda prices vary [22][23]. - **Related News**: Some PVC plants may resume, caustic soda new plants are expected [24]. - **Logic Analysis**: PVC is in long - term oversupply, caustic soda 09 contract is weak [24]. - **Trading Strategies**: Hold short positions in PVC; short caustic soda on rallies; hold off on arbitrage and options [24][25]. Soda Ash - **Market Review**: Soda ash futures fall, inventory decreases [25][26]. - **Related News**: Some plants may resume, market is weak [26]. - **Logic Analysis**: Bearish due to over - capacity [26]. - **Trading Strategies**: Bearish, gradual decline; close long - glass short - soda ash spread; hold off on options [27]. Glass - **Market Review**: Glass futures rise, prices are weak [28]. - **Related News**: Some plants adjust prices, a production line cuts output [28]. - **Logic Analysis**: Supply reduction is uncertain, demand is weak in the off - season [28]. - **Trading Strategies**: Sideways; close long - glass short - soda ash spread; hold off on options [29]. Methanol - **Market Review**: Methanol futures rise slightly [29]. - **Related News**: Northwest signing volume increases [30]. - **Logic Analysis**: Supply is loose, short on rebounds [30]. - **Trading Strategies**: Short on rebounds [30][31]. Urea - **Market Review**: Urea futures fluctuate, prices fall [31]. - **Related News**: Production is high, export details are out [32]. - **Logic Analysis**: Supply is high, demand is weak, short - term sideways [32]. - **Trading Strategies**: Short - term sideways; 91 long spread on dips; hold off on options [33]. Corrugated Paper - **Market Review**: Corrugated and box - board paper prices rise slightly [33]. - **Related News**: Market sentiment is stable with some increases [33]. - **Logic Analysis**: Confidence is strengthened, but terminal demand is weak [34]. - **No trading strategies provided** Double - Offset Paper - **Market Review**: Double - offset paper market is stable [34]. - **Related News**: Supply and demand change little [34]. - **Logic Analysis**: Supply is strong, demand is weak [35]. - **No trading strategies provided** Log - **Market Review**: Log futures fall, spot is stable [36]. - **Related News**: Some prices fall,出库 volume increases [36]. - **Logic Analysis**: Short - term improvement, long - term pressure [36]. - **Trading Strategies**: Spot sideways and weak, hold off; futures long for aggressive investors; consider 9 - 11 short spread; hold off on options [37]. Pulp - **Market Review**: Pulp futures stabilize slightly [37]. - **Related News**: A paper project adjusts its plan [38]. - **Logic Analysis**: Import volume decreases, inventory changes [39]. - **Trading Strategies**: Long small positions in SP07; hold 5*SP2509 - 2*RU2509 spread [39]. Natural Rubber and 20 -号 Rubber - **Market Review**: RU, NR, BR prices fall [39][40][41][42][44]. - **Related News**: Thailand's exports increase, some companies make acquisitions [42][45]. - **Logic Analysis**: Production and inventory changes, demand situation [43][45]. - **Trading Strategies**: Hold short positions in RU09; set stop - loss for NR07 long positions; hold NR2509 - RU2509 spread; hold off on options [43]. Butadiene Rubber - **Market Review**: BR prices fall [42][44]. - **Related News**: Some tire companies make transactions [45]. - **Logic Analysis**: Demand decreases, supply increases [45]. - **Trading Strategies**: Short BR07 on opportunities; enter BR2509 - RU2509 spread on opportunities; hold off on options [46].

Core Viewpoint - The Federal Reserve's Barkin indicates that consumers have begun to expect rising inflation, which is affecting market sentiment; however, there is currently no evidence that this has led to a decrease in consumer spending [1] Group 1 - Consumers' expectations of rising inflation are influencing market sentiment [1] - There is no current evidence suggesting that inflation expectations have resulted in reduced consumer spending [1]

Report Summary 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View - The domestic economic fundamentals have weakened slightly, suppressing market enthusiasm for long - positions. After the previous market recovery following the easing of the tariff war, the index faces significant upward pressure after reaching the level of early April. Currently in a policy vacuum period, the market will experience rapid style rotation in the short term, lack an obvious main line, and is expected to maintain a volatile trend. It is recommended to wait and see for now [2]. 3. Summary by Relevant Catalogs Futures Disk - IF main contract (2506) at 3879.6, down 2.0; IH main contract (2506) at 2715.4, up 2.6. IF sub - main contract (2509) at 3807.6, down 0.8; IH sub - main contract (2509) at 2677.2, up 1.8. IC main contract (2506) at 5614.8, down 39.6; IC sub - main contract (2509) at 5426.2, down 30.0. IM main contract (2506) at 5950.0, down 48.6; IM sub - main contract (2509) at 5708.2, down 46.8 [2]. - Various spreads such as IF - IH, IC - IF, etc. have different changes, with most showing a downward trend [2]. - Differences between quarterly and current contracts of IF, IH, IC, and IM have different upward or downward trends [2]. Futures Position - IF top 20 net position is - 30,029.00, up 48.0; IH top 20 net position is - 10,765.00, down 37.0. IC top 20 net position is - 11,129.00, down 403.0; IM top 20 net position is - 31,392.00, down 988.0 [2]. Spot Price - CSI 300 at 3913.87, down 2.5; IF main contract basis at - 34.3, up 0.9. SSE 50 at 2733.63, up 5.2; IH main contract basis at - 18.2, down 2.4. CSI 500 at 5703.28, down 54.6; IC main contract basis at - 88.5, up 13.8. CSI 1000 at 6066.10, down 66.1; IM main contract basis at - 116.1, up 15.5 [2]. Market Sentiment - A - share trading volume (daily, billion yuan) at 10,241.23, down 97.50. Margin trading balance (previous trading day, billion yuan) at 18,058.58, up 45.23. North - bound trading volume (previous trading day, billion yuan) at 1224.22, down 138.00. Repurchase (maturity volume, operation volume, billion yuan) at - 3570.0, up 4480.0. Main funds (yesterday, today, billion yuan) at - 120.26 and - 246.33 respectively [2]. - The proportion of rising stocks (daily, %) at 48.72, down 21.40. Shibor (daily, %) at 1.452, down 0.054. IO at - the - money call option closing price (2506) at 37.00, down 10.60; IO at - the - money call option implied volatility (%) at 13.40, up 0.10. IO at - the - money put option closing price (2506) at 76.60, up 12.60; IO at - the - money put option implied volatility (%) at 13.67, up 0.37. CSI 300 index 20 - day volatility (%) at 9.72, up 0.24. Volume PCR (%) at 70.50, down 9.56; Position PCR (%) at 68.31, down 1.62 [2]. Wind Market Strength - Weakness Analysis - All A - shares at 4.70, down 1.80; Technical aspect at 4.90, down 2.10; Capital aspect at 4.50, down 1.40 [2]. Industry News - From January to April, the cumulative year - on - year growth rate of domestic industrial enterprise profits above designated size accelerated further compared with the previous month, but the operating profit margin declined due to rising operating costs. Although industrial enterprise profits increased, the decline in profit margin had a certain negative impact on market sentiment. In April, industrial added value, fixed - asset investment, and social retail sales of enterprises above designated size all declined compared with the previous values. The domestic economy faces certain pressure under tariff shocks [2]. Key Events to Watch - May 28, 10:00: New Zealand central bank interest rate decision. - May 29, 2:00: Minutes of the Federal Reserve's May monetary policy meeting. - May 30, 20:30: US April PCE and core PCE. - May 31, 9:30: China's May official manufacturing, non - manufacturing, and comprehensive PMI [3].

Report Industry Investment Ratings No information provided regarding industry investment ratings. Core Views of the Report - For stock indices, it is recommended to buy IF index futures on dips and there is no recommended arbitrage strategy. The risk - preference of the stock market has gradually recovered, and one can also choose the right time to go long on IC or IM futures related to "new - quality productivity" [3][4]. - For treasury bonds, in the short term, the bond market will fluctuate mainly. In the long - term, the interest rate is expected to decline, and it is advisable to enter the market on dips [6]. - For precious metals, it is recommended to hold long positions in gold and wait for significant price corrections to go long. For silver, it is advisable to wait and see [8]. - For non - ferrous metals, different metals have different trends. Copper may rise in the short - term, aluminum is expected to fluctuate at a high level, zinc has a potential downward risk, lead may decline further, nickel is recommended to be shorted on rallies, tin's price center may move down, lithium carbonate may run weakly, alumina is recommended to be shorted on rallies, and stainless steel is expected to continue the weak - oscillating pattern [10][11][12][15][16][17][19][20]. - For black building materials, steel has an over - supply pattern, and iron ore price may oscillate weakly. Glass and soda ash are expected to be weak, and for manganese silicon and ferrosilicon, it is advisable to wait and see. Industrial silicon may decline further [23][24][25][27][31]. - For energy chemicals, rubber is recommended to be operated with a neutral or short - biased mindset. Crude oil is in the range of short - selling on rallies. Methanol, urea, PVC are expected to decline, and ethylene glycol, PTA, and PX are in the raw material de - stocking logic. Polyethylene and polypropylene are expected to oscillate [37][39][40][41][42][43][45][46][47][49]. - For agricultural products, for live pigs, it is recommended to sell on rallies. For eggs, it is recommended to sell on rallies for near - month contracts. For soybean and rapeseed meal, it is advisable to pay attention to different factors at different price levels. For oils and fats, they are expected to oscillate. For sugar, the price may decline, and for cotton, it is expected to oscillate in the short - term [51][52][54][57][58][59]. Summary by Relevant Catalogs Stock Indices - The previous trading day saw the Shanghai Composite Index down 0.05%, the ChiNext Index down 0.80%, etc. The two - market trading volume decreased by 145.6 billion yuan compared to the previous day. There were multiple macro news, and the margin trading balance decreased by 7.529 billion yuan [2]. - The P/E ratios, P/B ratios, dividend yields, and futures basis ratios of different indices were provided. It is recommended to go long on IH or IF futures related to the economy on dips and also consider going long on IC or IM futures related to "new - quality productivity" [3]. - The unilateral strategy is to buy IF index futures on dips, and there is no recommended arbitrage strategy [4]. Treasury Bonds - On Monday, the main contracts of TL, T, TF, and TS had different price changes. There were news about tariff delay and Moody's maintaining China's sovereign credit rating. The central bank conducted a net injection of 24.7 billion yuan [5][6]. - The 5 - month LPR cut was in line with expectations. The short - term bond market will fluctuate mainly, and the long - term interest rate is expected to decline. It is advisable to enter on dips [6]. Precious Metals - Shanghai gold fell 0.23%, and Shanghai silver rose 0.29%. COMEX gold rose 0.18%, and COMEX silver fell 0.16%. The US 10 - year Treasury yield was 4.51%, and the US dollar index was 98.95 [7]. - The Japanese central bank's annual meeting is expected to increase the expectation of further interest rate hikes. The gold price remains strong, and the net long positions of COMEX gold and silver management funds increased. It is recommended to hold long positions in gold and wait and see for silver [7][8]. Non - Ferrous Metals - **Copper**: LME was closed, and the SHFE copper price oscillated. The social inventory decreased slightly, and the spot was in short supply. The copper price may rise in the short - term and is affected by trade negotiations in the medium - term [10]. - **Aluminum**: LME was closed, and the SHFE aluminum price oscillated. The domestic inventory continued to decline. The aluminum price is expected to oscillate at a high level [11]. - **Zinc**: The Shanghai zinc index fell 0.16%. The zinc ore is expected to be in surplus, and the zinc price has a potential downward risk [12]. - **Lead**: The Shanghai lead index fell 0.39%. The recycled lead production decreased, and the lead price may decline further [13][14]. - **Nickel**: The nickel price oscillated. The supply is high, and the demand is weak. It is recommended to short on rallies [15]. - **Tin**: The tin price rebounded slightly. The supply and demand are both weak, and the price center may move down [16]. - **Lithium Carbonate**: The price fell. The supply is high, and the demand is weak. The price may run weakly [17]. - **Alumina**: The index fell 3.44%. The spot price in some regions rose. It is recommended to short on rallies [19]. - **Stainless Steel**: The price fell slightly. The terminal demand is weak, and the cost provides support. It is expected to continue the weak - oscillating pattern [20]. Black Building Materials - **Steel**: The rebar and hot - rolled coil futures prices fell. The supply is high, and the demand is weak. The over - supply pattern is difficult to change [22][23]. - **Iron Ore**: The futures price fell 1.60%. The supply is slightly reduced, and the demand is weakening. The price may oscillate weakly [24]. - **Glass and Soda Ash**: Glass spot price fell, and the inventory decreased slightly. Soda ash supply decreased due to maintenance, and the demand is expected to decline. Both are expected to be weak [25][26]. - **Manganese Silicon and Ferrosilicon**: Manganese silicon price fell 0.87%, and ferrosilicon price fell 0.11%. The demand is weakening, and it is advisable to wait and see [27][28]. - **Industrial Silicon**: The price fell 3.85%. The supply is in surplus, and the demand is insufficient. The price may decline further [31][32]. Energy Chemicals - **Rubber**: The EU launched an anti - dumping investigation, and the price broke through the support level. It is recommended to operate with a neutral or short - biased mindset [35][37]. - **Crude Oil**: WTI rose 1.56%, Brent fell 0.34%, and INE rose 1.76%. The oil price is in the range of short - selling on rallies [38][39]. - **Methanol**: The 09 - contract price rose 2 yuan/ton. The supply pressure is increasing, and the demand is improving. It is recommended to short on rallies [40]. - **Urea**: The 09 - contract price fell 11 yuan/ton. The supply is high, and the demand is weak. It is advisable to wait and see [41]. - **PVC**: The 09 - contract price rose 11 yuan. The supply is expected to increase, and the demand is weak. It is expected to be weakly oscillating [42]. - **Ethylene Glycol**: The 09 - contract price fell 10 yuan. The supply is decreasing, and the demand is high. The inventory is decreasing [43][44]. - **PTA**: The 09 - contract price rose 8 yuan. The supply is in the maintenance season, and the demand is improving. The processing fee is supported [45]. - **Para - Xylene**: The 09 - contract price rose 22 yuan. It is in the maintenance season, and the demand is improving. It is expected to oscillate [46]. - **Polyethylene PE**: The price fell. The supply may be under pressure, and the demand is in the off - season. It is expected to oscillate [47][48]. - **Polypropylene PP**: The price fell. The supply has no new capacity in May, and the demand is in the off - season. It is expected to oscillate weakly [49]. Agricultural Products - **Live Pigs**: The price rose in some regions. The short - term price is weak, and it is recommended to sell on rallies [51]. - **Eggs**: The price mostly rose. The supply is increasing, and the demand is slightly improving. It is recommended to sell on rallies for near - month contracts [52]. - **Soybean and Rapeseed Meal**: The domestic futures price oscillated strongly. The supply pressure is increasing, and the cost is easy to rise. It is advisable to pay attention to different factors at different price levels [53][54]. - **Oils and Fats**: The Malaysian palm oil production and export data changed. The domestic inventory is high. It is expected to oscillate [55][57]. - **Sugar**: The futures price was weakly oscillating. The international supply may increase, and the domestic price may decline [58]. - **Cotton**: The futures price fell. The downstream opening rate decreased slightly, and the inventory decreased. It is expected to oscillate in the short - term [59].