| //// > 国投期货 | | 能源 日报 | | --- | --- | --- | | 操作评级 | | 2025年07月15日 | | 原油 | な女女 | 高明宇 首席分析师 | | 燃料油 | ★☆☆ | F0302201 Z0012038 | | 低硫燃料油 | | 李祖智 中级分析师 | | 沥青 | ☆☆☆ | F3063857 Z0016599 | | 液化石油气 ☆☆☆ | | | | | | 王盈敏 中级分析师 | | | | F3066912 Z0016785 | | | | 010-58747784 gtaxinstitute@essence.com.cn | 【原油】 二季度全球石油库存累增2.7%,较一季度的2%边际加快,三季度第一周在原油去库、成品油累库中总体库存下 降0.3%;从乎衡表预期来看,三季度旺季石油库存至少累积速度将放缓。5月以来油价自底部回升持续受到旺季 采购预期支撑，但近期原油现货升贴水及主产品裂解价差均未进一步走强,或显示强现实因素对油价的上行驱 动城弱。综合考虑俄乌地缘风险短期未超预期，以及美国对欧盟、加拿大、墨西哥及巴西的对等关税上调风 险,我们将本周 ...

Core Viewpoint - The EU is seeking to rebalance its economic relationship with China, focusing on market access for European companies and easing export controls on rare earths, amidst ongoing trade tensions and challenges in the EU-China relationship [1][3]. Economic Relations - The EU's trade surplus with China reached $357 billion in 2024, attributed to fair market competition and the growth of China's manufacturing sector, rather than unfair practices [5][14]. - The EU is concerned about China's manufacturing subsidies leading to overcapacity, which it views as a threat to trade balance [6][10]. Trade Disputes - Recent trade disputes include China's restrictions on EU medical device imports and anti-dumping duties on EU brandy, indicating ongoing tensions ahead of the upcoming EU-China summit [8][13]. - The upcoming summit, intended to celebrate the 50th anniversary of diplomatic relations, is overshadowed by these trade disagreements, potentially leading to a shortened meeting [8][13]. Rare Earths and Resource Supply - The EU is pushing for China to relax its export controls on rare earth materials, which are critical for various industries, while also seeking to develop alternative supply sources [10][11]. - China currently dominates the global rare earth market, accounting for two-thirds of mining and 92% of refining, giving it significant leverage in negotiations [10][11]. Strategic Choices - The EU faces a strategic decision in its relationship with China, balancing pressures from the US and the need for stable partnerships with major economies [15][16]. - A potential collaboration between the EU and China could mitigate the impact of US tariffs, highlighting the importance of cooperation over conflict [15].

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 15, 2025 [1] 1. Industry Investment Rating - Not provided in the report. 2. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential arbitrage opportunities for different options [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on this day was 1,032,437 lots, and the open interest was 974,357 lots. The trading volume ratio of call options to put options was 1.17, and the weighted - average implied volatility was 14.7% [19][21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied - volatility curves and buying those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 10.6% at the settlement price and 0.43% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai - Berry CSI 300ETF on this day was 903,006 lots, and the open interest was 702,634 lots. The trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 14.97% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied - volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 12.9% at the settlement price and 2.52% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on this day was 1,134,302 lots, and the open interest was 735,143 lots. The trading volume ratio of call options to put options was 1.05, and the weighted - average implied volatility was 16.52% [42][44]. - **Volatility Trading**: The same trading suggestions as above for volatility trading [48]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 51.8% at the settlement price and 10.1% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation Board 50ETF on this day was 441,953 lots, and the open interest was 954,264 lots. The trading volume ratio of call options to put options was 2.19, and the weighted - average implied volatility was 26.28% [54][56]. - **Volatility Trading**: Follow the general volatility - trading suggestions [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 19.7% at the settlement price and 1.92% at the counter - price [63][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation Board 50ETF on this day was 99,887 lots, and the open interest was 285,235 lots. The trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 26.25% [66][68]. - **Volatility Trading**: Adopt the common volatility - trading strategies [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 18.0% at the settlement price, and no return was provided at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on this day was 120,639 lots, and the open interest was 132,339 lots. The trading volume ratio of call options to put options was 1.36, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Use the standard volatility - trading suggestions [84][85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 45.4% at the settlement price and 6.73% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options of E Fund ChiNext ETF on this day was 1,570,381 lots, and the open interest was 1,030,150 lots. The trading volume ratio of call options to put options was 1.23, and the weighted - average implied volatility was 23.77% [92][94]. - **Volatility Trading**: Follow the general volatility - trading rules [97]. - **Risk - free Arbitrage**: Not provided in the report.

Group 1: Market Overview - Global market risk appetite is recovering, driven by easing geopolitical tensions in the Middle East and improving US-China relations[6] - Recent announcements of new tariffs by Trump may temporarily impact market risk preferences, increasing geopolitical uncertainty[15] - The "Big and Beautiful" plan is expected to significantly increase the federal deficit, leading to upward pressure on US Treasury yields[16] Group 2: Tactical Asset Allocation - Tactical overweight on Hong Kong stocks due to improving market liquidity and risk appetite, with a recommended allocation of 4.81%[24] - Tactical underweight on US Treasuries, with a cautious stance due to fiscal pressures and economic dynamics, recommended allocation of 24.44%[24] - Tactical neutral position on gold, as geopolitical uncertainties still support its value despite recent pressure from improved risk appetite, recommended allocation of 6.20%[24] Group 3: Performance Metrics - The tactical asset allocation portfolio achieved a weekly return of 0.37%, with a cumulative excess return of 2.80% relative to the benchmark[30] - Year-to-date performance of major indices shows the Shanghai Composite Index up 4.73%, while the Hang Seng Index has increased by 20.34%[12] - The portfolio's absolute return stands at 7.93% year-to-date, indicating strong performance against the benchmark[30]

近日，中国期货业协会"2024年度期货经营机构服务实体经济优秀案例征集活动"圆满落幕，并正式发布 了入围名单。在本次征集活动中，海证期货凭借其创新的"期现联动"与"代采+套保"两大服务模式，脱 颖而出并双双入围。 个性化解决方案，护航硅产业链稳健发展 针对工业硅产能加速释放导致的价格持续走低，以及产业链上下游企业面临的利润收缩和资金周转压 力，海证期货为陕西合金企业X公司量身定制了"代理采购+套期保值"的个性化业务模式。该模式不仅 通过代理采购解决了X公司的资金周转难题，还利用套期保值操作有效规避了库存贬值风险。 在项目执行过程中，海证风险子公司不仅代理X公司采购了工业硅，还通过期货市场建立了对应的空头 套保头寸。当工业硅价格下跌时，期货空头的盈利完全对冲了现货的价值损失，确保了X公司的采购成 本得到有效控制，助力该企业实现稳健经营。这一成功案例不仅展现了海证期货在风险管理领域的专业 能力，也为硅产业链的稳定发展提供了有力保障。 创新服务模式，助力贸易企业降本增效 此次海证期货的两个案例成功入围中期协"服务实体经济优秀案例库"，不仅是协会对海证专业实力和创 新精神的认可，也是行业对海证在服务实体经济方面所做努 ...

Group 1 - The core viewpoint is that the Chinese government is undergoing significant changes in its financing system, with a notable increase in government net financing while city investment bonds (CIB) are experiencing negative net financing [1][2] - In the first half of 2023, the net financing of government bonds reached 7.66 trillion yuan, an increase of 4.32 trillion yuan year-on-year, representing a growth of approximately 129% [1][4] - The net financing of city investment bonds saw a decline of 763.60 billion yuan, a year-on-year decrease of about 149%, indicating a tightening supply of CIBs [1][4] Group 2 - The decline in CIB issuance and negative net financing is a result of stricter regulations aimed at controlling new hidden debts and enhancing oversight of CIBs [2][4] - Despite the decrease in CIB financing, the government still needs to increase debt funding for major project construction to sustain economic growth amid complex internal and external conditions [2] - Infrastructure investment in the first half of 2023 grew by 4.6%, outpacing overall investment growth by 1.8 percentage points, supported by the acceleration of special local government bonds and ultra-long-term special treasury bonds [4] Group 3 - The ongoing transformation of city investment companies is being accelerated, with over 7,000 companies withdrawing from the government financing platform list last year [1] - The report from China Chengxin International indicates that while the pace of debt resolution is increasing, local governments still face significant repayment pressures, and the effectiveness of monetary policy and tools needs continuous observation [4] - The quality of the transformation among city investment enterprises varies, raising concerns about the restructuring of government-enterprise relationships and the potential for increased debt burdens due to "fake transformations" [4]

Core Viewpoint - The article argues that while there are concerns about high risks in the A-share market, particularly with 90% of concept stocks exceeding last year's peak prices, there are still investment opportunities in underperforming sectors and the overall market is not as bleak as portrayed [4][5]. Group 1: Market Valuation - The article acknowledges that there are objective risks in already overheated sectors, but emphasizes that the presence of many underperforming sectors indicates ongoing investment opportunities [5]. - It critiques the reliance on PE ratios for evaluating market valuation, noting that during poor economic conditions, low profit bases can inflate PE ratios, making them misleading [6]. - The current PE ratio of the CSI 300 is 13.34, which is at the 54.41 percentile historically, suggesting it is not particularly low but rather in a reasonable range due to the poor economic environment [6]. - In contrast, the PB ratio is only 1.39, at the 23.45 percentile historically, indicating that the market is still undervalued [7]. Group 2: Market Sentiment and Future Outlook - The article argues that using last year's peak on October 8 as a benchmark is flawed, as that rally was short-lived and not indicative of long-term market health [8]. - Despite the rise in bank stocks and small-cap stocks, sectors with historically high equity returns, such as food and beverage, oil and petrochemicals, and renewable energy, have not seen significant movement this year, suggesting potential investment value [8]. - The article expresses optimism for the future, stating that the most critical indicator of market risk is not individual valuation interpretations but rather the overall market sentiment [9]. - It concludes that the current market sentiment has not reached a level of euphoria that would signal high risk, indicating that the market is not overheating yet [10].

Market Trends - The current market consensus indicates that internal reforms are needed to counter external uncertainties, which is fundamental for a sustained bull market in equities [1] - The divergence in equity structure is significant, influenced by urbanization and real estate value reassessment, traditional cyclical industry profit reversals, and ongoing technological innovation [1] Cyclical Recovery vs. Revival - The market showed mixed signals with cyclical commodities experiencing sporadic increases, such as coking coal rising by 8.8% and silver by 5.4% [1] - The real estate sector saw a 6.1% increase, while steel and construction materials rose by 4.4% and 3.3% respectively [1] Global Asset Trends - Global stock markets displayed divergence, with the Russian MOEX index down by 5.7% and Brazil's index down by 3.6% [2] - The U.S. economic uncertainties are beginning to weaken their impact on global markets, while the ongoing Russia-Ukraine conflict is increasing global risk premiums [2] Domestic Economic Environment - China's exports grew by 5.8% year-on-year in June, slightly above expectations, but exports to the U.S. fell by 16.1% [6] - The overall economic outlook for the second half of 2025 is uncertain, with expectations of a decline in exports and potential depreciation of the RMB [6] Policy and Investment Strategies - The cyclical recovery is influenced by supply-demand dynamics and government policies aimed at stimulating demand through supply adjustments [9] - The potential for a cyclical recovery exists, but its impact on the economy and employment is constrained by the need for long-term policy effectiveness [11] Investment Logic - The investment strategy should focus on central enterprises and state-owned assets, as the market dynamics favor those with stronger operational capabilities [12]

Group 1 - The A-share market indices closed mixed, with the Shanghai 180 risk-weighted index at 5107.99 points, showing a 2.82% increase over the past month, a 6.34% increase over the past three months, and a 2.48% increase year-to-date [1] - The Shanghai 180 risk-weighted index and the Shanghai 380 risk-weighted index are designed to equalize the risk contribution of each sample, allowing for risk diversification and a higher Sharpe ratio compared to market capitalization-weighted indices [1] - The index is based on a reference date of December 31, 2004, with a base point of 1000.0 [1] Group 2 - The top ten holdings in the Shanghai 180 risk-weighted index include: Yangtze Power (1.85%), China Construction Bank (1.77%), Agricultural Bank of China (1.62%), Industrial and Commercial Bank of China (1.54%), Bank of China (1.34%), Sichuan Investment Energy (1.27%), Guotou Power (1.17%), Shandong High-Speed (1.12%), China Mobile (1.05%), and Ninghu Expressway (1.04%) [1] - The index's holdings are entirely composed of stocks listed on the Shanghai Stock Exchange, with a 100% allocation [1] Group 3 - In terms of industry allocation, the financial sector accounts for 27.44%, industrial sector for 23.49%, utilities for 10.34%, materials for 9.22%, information technology for 8.17%, consumer discretionary for 5.83%, energy for 5.07%, healthcare for 4.28%, consumer staples for 3.22%, communication services for 2.55%, and real estate for 0.39% [2] - The index samples are adjusted quarterly, with adjustments occurring on the next trading day following the second Friday of March, June, September, and December [2] - Weight factors are generally fixed until the next scheduled adjustment, with special circumstances allowing for temporary adjustments [2]

Group 1 - The report maintains a tactical asset allocation view, recommending an overweight in Hong Kong stocks, a neutral position in gold and RMB, and an underweight in Japanese stocks and US Treasuries [1][13][15] - Global market risk appetite has been recovering, driven by easing geopolitical tensions in the Middle East, marginal improvements in US-China relations, and resilient macroeconomic conditions in the US [1][11][12] - The announcement of new tariffs by Trump may temporarily impact market risk appetite, but the overall market is expected to adjust back to the previous recovery trend after a brief shock [1][11][12] Group 2 - The "Big and Beautiful" plan is expected to significantly increase federal fiscal deficits, which may lead to upward pressure on US Treasury yields [1][12] - The report expresses optimism about Hong Kong stocks due to improving liquidity and risk appetite, while being cautious about Japanese stocks facing inflationary pressures [1][13][14] - The report highlights the potential for gold to serve as a hedge against risks, despite short-term pressure from improved market risk appetite [1][14][15] Group 3 - The tactical asset allocation strategy includes a focus on sectors with strong growth potential, particularly in technology and emerging industries within Hong Kong [1][14] - The report indicates that the US economy's resilience may support a higher yield environment for US Treasuries, with a cautious outlook on their performance [1][13][14] - The report anticipates that the RMB will remain stable due to the strong growth momentum of the Chinese economy compared to other major economies [1][15]