期货研究报告|外汇月报 2025-05-06 预期扰动增强，美元短暂偏弱 研究院 研究员 蔡劭立 FICC 组 投资咨询号：Z0014617 联系人 朱思谋 投资咨询业务资格： 证监许可【2011】1289 号 策略摘要 美元短期偏弱，建议维持区间震荡思路，关注政策扰动与外部经济预期变化。 核心观点 ■ 市场分析 美元兑人民币汇率在 4 月下旬至 5 月初整体呈现偏弱震荡走势，阶段高点出现在 7.35 附近，随后回落至 7.27 一线。离岸人民币在五一假期期间短线快速升值，受中美贸易预 期改善、美元指数回调以及市场风险偏好回暖等多因素影响。美元指数 4 月累计下跌约 4.5%，为近年来较大单月跌幅。期权隐含波动率先升后降，看涨期权隐波回落，人民币 汇率走势更趋双向波动。 4 月中国宏观数据环比走弱但整体好于预期，美国增长数据不及预期。中国制造业 PMI 回落至 49.0，显示制造业短期承压，但高技术制造业 PMI 维持在 51.5 的扩张区间，非 制造业商务活动指数为 50.4，服务业恢复动能延续。美国方面，4 月 ISM 制造业 PMI 下 滑至 48.7，一季度 GDP 录得-0.3%，带动花旗经济意外指 ...

Group 1: Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. Group 2: Core Viewpoints of the Report - In the short - term, V2509 is expected to show a volatile trend, with support around 4930 and resistance around 5100. The supply pressure has increased in the short - term due to the restart of the 800,000 - ton Bohua device this week, while the demand of downstream PVC floor enterprises, pipes and profiles is affected by factors such as tariff shocks and the weak real estate situation. The decline of calcium carbide prices is expected to slow down, and the ethylene market's external sales pressure has eased, but demand follow - up is still insufficient. The US trade policy still has uncertainties [3]. Group 3: Summary by Relevant Catalogs 1. Futures Market - The closing price of PVC futures is 4968 yuan/ton, down 38 yuan; the trading volume is 629,540 lots, down 238,592 lots; the open interest is 921,503 lots, up 17,875 lots. The long position of the top 20 futures holders is 776,033 lots, down 8,672 lots; the short position is 856,251 lots, up 7,471 lots; the net long position is - 80,218 lots, down 16,143 lots [3]. 2. Spot Market - In the East China region, the price of ethylene - based PVC is 5075 yuan/ton, unchanged; the price of calcium carbide - based PVC is 4806.15 yuan/ton, unchanged. In the South China region, the price of ethylene - based PVC is 5070 yuan/ton, down 15 yuan; the price of calcium carbide - based PVC is 4876.25 yuan/ton, up 14.38 yuan. The CIF price of PVC in China is 700 US dollars/ton, unchanged; the CIF price in Southeast Asia is 670 US dollars/ton, unchanged; the FOB price in Northwest Europe is 785 US dollars/ton, unchanged. The basis of PVC is - 188 yuan/ton, up 38 yuan [3]. 3. Upstream Situation - The mainstream average price of calcium carbide in Central China is 2850 yuan/ton, unchanged; in North China is 2806.67 yuan/ton, unchanged; in Northwest China is 2568 yuan/ton, down 5 yuan. The mainstream price of liquid chlorine in Inner Mongolia is 50.5 yuan/ton, unchanged. The CFR mid - price of VCM in the Far East is 524 US dollars/ton, unchanged; in Southeast Asia is 541 US dollars/ton, unchanged. The CFR mid - price of EDC in the Far East is 206 US dollars/ton, down 20 US dollars; in Southeast Asia is 211 US dollars/ton, down 10 US dollars [3]. 4. Industry Situation - The operating rate of PVC is 77.35%, up 0.68 percentage points; the operating rate of calcium carbide - based PVC is 79.35%, up 0.13 percentage points; the operating rate of ethylene - based PVC is 72.09%, up 2.11 percentage points. The total social inventory of PVC is 441,400 tons, down 9,200 tons; the total social inventory in the East China region is 395,200 tons, down 10,000 tons; the total social inventory in the South China region is 46,200 tons, up 800 tons [3]. 5. Downstream Situation - The national real estate climate index is 93.96, up 0.16. The cumulative value of new housing construction area is 129.9646 million square meters, up 63.8246 million square meters; the cumulative value of real estate construction area is 6.1370544 billion square meters, up 7.73344 million square meters; the cumulative value of real estate development investment is 110.0202 billion yuan, up 48.9131 billion yuan [3]. 6. Options Market - The 20 - day historical volatility of PVC is 15.72%, up 0.11 percentage points; the 40 - day historical volatility is 14.61%, down 0.01 percentage points. The implied volatility of at - the - money put options is 19.68%, up 0.89 percentage points; the implied volatility of at - the - money call options is 19.68%, up 0.88 percentage points [3]. 7. Industry News - On April 24, the spokesperson of the Ministry of Foreign Affairs stated that there was no consultation or negotiation on tariffs between China and the US, let alone an agreement. On April 24, the cash - on - delivery price of Changzhou PVCSG5 in the warehouse remained stable compared with the previous day, ranging from 4740 to 4840 yuan/ton. From April 12 to 18, China's PVC capacity utilization rate was 77.35%, a month - on - month increase of 0.68%. As of April 24, the PVC social inventory of the new (41) samples decreased by 5.15% month - on - month to 6.877 million tons, a year - on - year decrease of 20.77% [3].

Group 1 - The core viewpoint is that China's soybean import demand is expected to be significantly met due to increased production enthusiasm among farmers in South America, leading to a substantial rise in soybean supply for the new production season [1] - Under the current tariff rates, the landed cost price difference between U.S. Gulf soybeans and South American soybeans has further widened, continuously weakening the competitiveness of U.S. soybeans [1] - The estimated domestic soybean supply-demand gap is projected to be around 85 million to 92 million tons, with Brazil's soybean exports to China potentially exceeding 80 million tons by 2025 [1] Group 2 - The global soybean supply is expected to be ample due to the anticipated bumper harvest in major producing countries, which diminishes the likelihood of significant price increases for South American soybeans [2] - Cost factors such as declining agricultural input costs and improved transportation infrastructure in Brazil are expected to provide little upward support for soybean prices [2] - The price of South American soybeans will primarily be driven by supply and demand fundamentals, with short-term trade friction costs potentially affecting prices but not providing a basis for substantial increases [2] Group 3 - Domestic corn and soybean meal prices have fluctuated within a range, with corn prices between 1,700 to 3,100 yuan per ton and soybean meal prices between 2,500 to 5,500 yuan per ton [3] - The impact of raw material price fluctuations on pig feed costs is estimated to be around 0.3 to 0.5 yuan per kilogram, with a very low probability of a 1 yuan increase in feed costs per kilogram [3] - Despite uncertainties in U.S.-China trade negotiations, the overall price movements of corn and soybean meal have been limited by various external factors [3]

市场要闻与重要数据 期货方面，昨日收盘豆粕2509合约3056元/吨，较前日上涨17元/吨，涨幅0.56%；菜粕2509合约2723元/吨，较前日 下跌26元/吨，跌幅0.95%。现货方面，天津地区豆粕现货价格3300元/吨，较前日上涨180元/吨，现货基差M09+244， 较前日上涨163；江苏地区豆粕现货3090元/吨，较前日上涨60元/吨，现货基差M09+34，较前日下跌28；广东地区 豆粕现货价格2990元/吨，较前日上涨20元/吨，现货基差M09-66，较前日下上涨3。福建地区菜粕现货价格2600元/ 吨，较前日持平，现货基差RM09-123，较前日上涨26。 农产品日报 | 2025-04-08 现货整体上涨，豆粕偏强震荡 粕类观点 近期市场资讯，巴西咨询机构家园农商公司称，4月4日，2024/25年度巴西大豆收获进度为85.83%，高于一周前的 81.31%。作为对比，2024年同期的收获进度为79.362%，过去五年平均进度为84.85%。巴西对外贸易秘书处公布的 出口数据显示，巴西3月出口大豆14,679,611.11吨，日均出口量为772,611.11吨，较上年3月全月的日均出口量 630 ...