1-22 2024-12-22 2025-01-22 — TL00-TL01 — TL00-TL02 —— TL01-TL02 免责声明 本报告中的信息均来源于 货有限公司认为可靠的 完整性不作任何保证。本 不代表广发期货或其附属机 法，并不代表广发期货交 参考，报告中的信息或距 民青据此投资，风险目或担 ，版权归广发期货所有 t或询价 1或调价 3 不得对本报告进行任何形式的发布、复制。如引用、不致，发期货书面 发期货"。 and and 关注教信念会 TS跨期价差 | 股指期货价差日报 | | | | | | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | 叶倩宁 | 2025年5月26日 | | | Z0016628 | | 品种 | 价差 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | IF期现价差 | -36.07 | -1.81 | 10.60% | 8.50% | | H期现价差 | 期现价差 -18.85 | -0.62 | 15.10% | 9.70% | | IC期现价差 | ...

Report on Stock Index Futures Spread Core Information - **Date**: May 22, 2025 - **Analysis of Spread Data**: The report provides detailed data on the current and inter - period spreads of various stock index futures (IF, IH, IC, IM), including the latest values, changes from the previous day, and historical quantiles [1]. Key Points - **IF Spreads**: The IF current - period spread was - 35.18, down 2.41 from the previous day. Inter - period spreads such as "next month - current month" were - 40.60, down 0.80 [1]. - **IH Spreads**: The IH current - period spread was - 15.83, up 1.40. The "next month - current month" inter - period spread was - 30.20, down 1.80 [1]. - **IC Spreads**: The IC current - period spread was - 102.32, down 5.76. The "next month - current month" inter - period spread was - 76.20, up 1.20 [1]. - **IM Spreads**: The IM current - period spread was - 131.58, down 4.96. The "next month - current month" inter - period spread was - 91.20, up 2.20 [1]. - **Cross - variety Ratios**: Ratios like CSI 500/CSI 300 were 1.4702, down 0.0042, with a 1 - year quantile of 45.90% [1]. Report on Treasury Bond Futures Spread Core Information - **Date**: May 22, 2025 - **Analysis of Spread Data**: The report presents data on the basis, inter - period spreads, and cross - variety spreads of treasury bond futures (TS, TF, T, TL), including the latest values, changes from the previous day, and historical quantiles [4]. Key Points - **Basis**: TS basis was 1.8110, down 0.0743; TF basis was 1.8222; T basis was 1.7962; TL basis was 1.7414 [4]. - **Inter - period Spreads**: For example, the "current quarter - next quarter" spread of TS was - 0.1180, down 0.0080 [4]. - **Cross - variety Spreads**: TS - TF was - 3.6300, down 0.0330; TS - T was - 6.4550, up 0.0270 [4]. Report on Precious Metals Spot - Futures Core Information - **Date**: May 22, 2025 - **Analysis of Market Data**: The report covers domestic and foreign futures closing prices, spot prices, basis, price ratios, interest rates, exchange rates, inventory, and positions of precious metals (gold and silver) [6]. Key Points - **Futures Prices**: Domestic AU2508 contract closed at 778.78 yuan/g, up 3.23%; AG2508 contract closed at 8272 yuan/kg, up 2.45%. COMEX gold closed at 3316.60 dollars/ounce, up 0.73%; COMEX silver closed at 33.58 dollars/ounce, up 0.95% [6]. - **Spot Prices**: London gold was 3314.36 dollars/ounce, up 0.76%; London silver was 33.38 dollars/ounce, up 0.95% [6]. - **Basis**: Gold TD - Shanghai gold main contract was - 5.16, down 2.97; silver TD - Shanghai silver main contract was - 35, down 18 [6]. - **Price Ratios**: COMEX gold/silver was 98.78, down 0.22%; Shanghai Futures Exchange gold/silver was 94.15, up 0.76% [6]. - **Interest Rates and Exchange Rates**: 10 - year US Treasury yield was 4.58%, up 2.2%; 2 - year US Treasury yield was 4.00%, up 0.8%; US dollar index was 99.60, down 0.42% [6]. - **Inventory and Positions**: Shanghai Futures Exchange gold inventory was 17247 g, up 0.05%; silver inventory was 940799 kg, up 1.25% [6]. Report on Container Shipping Industry Spot - Futures Core Information - **Date**: May 22, 2025 - **Analysis of Market Data**: The report includes spot quotes, container shipping indices, futures prices, basis, and fundamental data of the container shipping industry [8]. Key Points - **Spot Quotes**: MAERSK's Shanghai - Europe future 6 - week freight was 2524 dollars/FEU, up 21.17%; CMA CGM's was 3402 dollars/FEU, up 15.09% [8]. - **Container Shipping Indices**: SCFIS (European route) was 1265.30, down 2.86%; SCFIS (US West route) was 1446.36, down 0.61% [8]. - **Futures Prices and Basis**: EC2602 was 1416.8, down 0.99%; the basis of the main contract EC2508 was - 411.9, up 11.4 [8]. - **Fundamental Data**: Global container shipping capacity supply was 3231.11 million TEU, up 0.05%; Shanghai port's arrival punctuality rate was 29.02, down 13.19% [8]. Report on Trading Calendar Core Information - **Date**: May 22, 2025 - **Data Schedules**: The report lists overseas and domestic economic data and financial events schedules for different industries [9]. Key Points - **Overseas Data**: Eurozone's May manufacturing PMI preliminary value will be released at 16:00; US May S&P Global manufacturing and service PMI preliminary values will be released at 21:45 [9]. - **Domestic Data**: Steel Union's weekly production, inventory, and apparent demand data will be released in the afternoon; steel mill's start - up rate, capacity utilization, and hot metal production will be released in the evening [9].

Group 1: Report Industry Investment Rating - No information provided in the given reports Group 2: Core Views - The reports present daily data on various futures, including stock index futures, treasury bond futures, precious metal futures, shipping industry futures, and trading calendars, along with information on price differences, prices, rates, inventories, and data schedules [1][2][6][9][11] Group 3: Summary by Relevant Catalogs Stock Index Futures - **Price Differences**: IF, IH, IC, and IM show different current - price and inter - period price differences and their historical percentile positions. For example, the IF current - price difference is - 32.77, with a 1 - year historical percentile of 12.70% and an all - time historical percentile of 10.10% [1] - **Cross - Variety Ratios**: There are various cross - variety ratios, such as CSI 500/Shanghai Composite 50, CSI 500/CSI 300, etc., with their respective values and historical percentile positions [1] Treasury Bond Futures - **Basis**: TS, TF, T, and TL basis values and their changes compared to the previous day, along with their historical percentile positions since the contract's listing. For example, the TS basis on May 20, 2025, is 1.8116, with a change of - 0.0751 and a historical percentile of 37.40% [2] - **Inter - Period Price Differences**: Each type of treasury bond futures has different inter - period price differences and their historical percentile positions [2] - **Cross - Variety Price Differences**: There are cross - variety price differences such as TS - TF, TS - T, etc., and their historical percentile positions [2] Precious Metal Futures - **Prices**: Domestic and foreign futures closing prices, spot prices, and their changes and percentage changes. For example, the AU2508 contract closed at 754.38 yuan/g on May 20, 2025, down 1.48 yuan or - 0.20% from the previous day [6] - **Basis**: The basis values between different precious metal products and their historical percentile positions [6] - **Ratios**: The ratios between gold and silver in different markets and their changes [6] - **Interest Rates and Exchange Rates**: Information on 10 - year and 2 - year US Treasury yields, 10 - year TIPS Treasury yields, the US dollar index, and the offshore RMB exchange rate and their changes [6] - **Inventory and Position**: The inventory and position data of precious metals in different exchanges and their changes [6] Shipping Industry Futures - **Shipping Rates**: Shanghai - Europe shipping rates for different shipping companies and their changes, as well as various shipping indices and their changes [9] - **Futures Prices and Basis**: Futures prices of different contracts and the basis of the main contract and their changes [9] - **Fundamentals**: Data on container shipping capacity supply, foreign trade - related indicators, and overseas economic indicators and their changes [9] Trading Calendar - **Overseas Data/Information**: Economic indicators and financial events in the energy and chemical sector in the US, such as API and EIA crude oil inventories [11] - **Domestic Data/Information**: Economic indicators and financial events in different domestic sectors, including black and non - ferrous metals, energy and chemicals, and special commodities [11]

Report Industry Investment Rating - No information provided in the documents. Core Viewpoints - No explicit core viewpoints are presented in the given documents. The reports mainly offer data on various financial products including futures, precious metals, and shipping container transportation. Summary by Relevant Categories 1. Stock Index Futures Spread - **IF, IH, IC, IM Spot - Futures Spread**: On May 20, 2025, the IF spot - futures spread was -33.95 (up 9.14 from the previous day), IH was -16.29 (up 5.17), IC was -97.79 (up 16.25), and IM was -119.94 (up 14.38) [1]. - **IF, IH, IC, IM Inter - delivery Spread**: Different inter - delivery spreads (e.g., next month - current month, quarterly month - current month) for each index showed various changes compared to the previous day, with some increasing and some decreasing [1]. - **Cross - variety Ratios**: Ratios such as CSI 500/CSI 300, IC/IF, etc., also had corresponding changes on May 20, 2025, compared to the previous day [1]. 2. Treasury Bond Futures Spread - **Basis**: On May 19, 2025, the TF basis was 1.0799 (up 0.0148 from the previous day), T basis was 1.6603 (down 0.0272), etc. [4]. - **Inter - delivery Spread**: For TS, TF, T, and TL, different inter - delivery spreads (e.g., current quarter - next quarter) had their respective changes compared to the previous day [4]. - **Cross - variety Spread**: Spreads like TS - TF, TS - T, etc., also showed changes on May 19, 2025 [4]. 3. Precious Metals Spot - Futures - **Domestic Futures Closing Prices**: On May 19, 2025, the AU2508 contract closed at 755.86 yuan/gram (up 0.54% from May 16), and the AG2506 contract closed at 8133 yuan/kg (up 0.40%) [5]. - **Foreign Futures Closing Prices**: The COMEX gold主力 contract closed at 3232.20 US dollars/ounce (up 0.84% from May 16), and the COMEX silver主力 contract closed at 32.50 (up 0.20%) [5]. - **Spot Prices**: London gold was at 3229.21 US dollars/ounce (up 0.86% from May 16), and Shanghai Gold Exchange's gold T + D was at 754.09 yuan/gram (up 0.95%) [5]. - **Basis**: The basis between gold TD and Shanghai gold主力 was -1.11 (up 3.05 from the previous day), and between silver TD and Shanghai silver主力 was -20 (up 19) [5]. - **Ratios**: The COMEX gold/silver ratio was 99.47 (up 0.63 from the previous day), and the SHFE gold/silver ratio was 92.94 (up 0.13) [5]. - **Interest Rates and Exchange Rates**: The 10 - year US Treasury yield was 4.46% (up 0.7% from the previous day), and the US dollar index was 100.37 (down 0.60%) [5]. - **Inventory and Holdings**: The SHFE gold inventory remained unchanged at 17238, and the SPRD gold ETF holding was 921 (up 0.25% from the previous day) [5]. 4. Container Shipping Industry Spot - Futures - **Spot Quotes**: On May 20, 2025, MAERSK's Shanghai - Europe 6 - week future freight rate was 1574 US dollars/FEU (down 4.26% from May 19), and CMA's was 2954 (up 8.76%) [7]. - **Container Shipping Indexes**: The SCFIS (European route) settlement price index on May 19 was 1265.30 (down 2.86% from May 12), and the SCFI composite index was 1479.39 (up 9.98% from February 16) [7]. - **Futures Prices and Basis**: On May 19, 2025, the EC2602 contract was at 1451.2 (up 2.23% from May 16), and the basis of the main contract was -506.9 (down 32.56% from the previous day) [7]. - **Fundamental Data**: On May 19, 2025, the global container shipping capacity supply was 3228.60 FITEU (up 0.10% from May 18), and the Shanghai port's vessel berthing number was 317.00 (down 4.52% from the previous day) [7]. 5. Overseas and Domestic Data/Information - **Overseas Data**: On May 20, 2025, at 16:00, the eurozone's seasonally - adjusted current account balance for March was to be released, and at 22:00, the eurozone's May consumer confidence index preliminary value was due [9]. - **Domestic Data**: At 9:00 on May 20, 2025, China's 1 - year loan prime rate was to be announced, and various industry - specific data such as manganese ore inventory in Qinzhou Port and glass production - sales ratio were also to be reported [9].

| 股指期货价差日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | 2025年5月16日 | | | | 叶倩宁 | Z0016628 | | 价差 | 品种 | 最新值 | 较削一日变化 | 历史1年分位数 | 全历史分位数 | | | F期现价差 | -34.40 | 1.41 | 11.00% | 9.40% | | 期现价差 | H期现价差 | -17.30 | -1.11 | 15.90% | 10.80% | | | IC期现价差 | -92.30 | 9.02 | 6.90% | 4.10% | | | IM期现价差 | -108.04 | 9.33 | 90.00% | 7.00% | | | 次月-当月 | -35.40 | 0.20 | 2.40% | 9.20% | | | 委員-景月 | -100.00 | 1.60 | 1.20% | 7.10% | | | 远月-当月 | -137.00 | 2.60 | 1.20% | 9.70% | | F跨期 ...

Report Industry Investment Rating - No information provided in the given reports. Core Viewpoints - No explicit core viewpoints are presented in the reports. The reports mainly provide data on various financial products such as futures spreads, prices, and related indicators. Summary by Related Catalogs 1. Stock Index Futures Spread Daily Report - **IF期现价差 & 跨期价差**: The IF spot - futures spread is -35.81, up 45 from the previous day, with a 1 - year historical quantile of 10.20% and an all - time quantile of 8.60%. For IF inter - period spreads, e.g., the spread between the next - month and current - month contracts is -35.60, up 5.40, with a 1 - year quantile of 2.00% and an all - time quantile of 9.10% [1]. - **IH期现价差 & 跨期价差**: The IH spot - futures spread is -16.18, up 3.67, with a 1 - year quantile of 15.90% and an all - time quantile of 11.90%. The spread between the next - month and current - month contracts of IH is -18.40, up 2.00, with a 1 - year quantile of 11.00% and an all - time quantile of 11.80% [1]. - **IC期现价差 & 跨期价差**: The IC spot - futures spread is -101.32, up 25.75, with a 1 - year quantile of 6.50% and an all - time quantile of 3.20%. The spread between the next - month and current - month contracts of IC is -102.20, up 10.40, with a 1 - year quantile of 0.80% and an all - time quantile of 2.30% [1]. - **IM期现价差 & 跨期价差**: The IM spot - futures spread is -117.37, up 37.04, with a 1 - year quantile of 90.00% and an all - time quantile of 6.00%. The spread between the next - month and current - month contracts of IM is -113.60, up 16.60, with a 1 - year quantile of 15.00% and an all - time quantile of 0.70% [1]. - **跨品种比值**: Ratios like CSI 500/HS300 is 1.4707, down 0.0132, with a 1 - year quantile of 45.00% and an all - time quantile of 36.10%. IC/IF is 1.4582, down 0.0101, with a 1 - year quantile of 40.50% and an all - time quantile of 48.90% [1]. 2. Treasury Bond Futures Spread Daily Report - **基差**: TS basis is 1.3819, down 0.0297, with an all - time quantile of 16.00%. TF basis is 1.1686, up 0.1050, with an all - time quantile of 41.60%. T basis is -0.0631, up 0.2955, with an all - time quantile of 3.60% [5]. - **跨期价差**: For TS inter - period spreads, the spread between the current - quarter and next - quarter contracts is -0.1280, up 0.0420, with an all - time quantile of 6.80%. For TF, the spread between the current - quarter and next - quarter contracts is -0.2700, up 0.0400, with an all - time quantile of 10.20% [5]. - **跨品种价差**: TS - TF is 0.0910, up 0.0470, with an all - time quantile of 4.70%. TS - T is -6.2430, up 0.1260, with an all - time quantile of 4.00% [5]. 3. Precious Metals Spot - Futures Daily Report - **国内期货收盘价**: The closing price of the AU2506 contract is 761.72, down 5.96, with a decline rate of -0.78%. The AG2506 contract is 8195, down 24, with a decline rate of -0.29% [8]. - **外盘期货收盘价**: The closing price of the COMEX gold main contract is 3180.70, down 73.80, with a decline rate of -2.27%. The COMEX silver main contract is 32.39, down 0.70, with a decline rate of -2.12% [8]. - **现货价格**: London gold is 3176.58, down 72.90, with a decline rate of -2.24%. London silver is 32.20, down 0.69, with a decline rate of -2.10% [8]. - **基差**: The basis of gold TD - Shanghai gold main contract is -3.12, up 1.16, with a 1 - year quantile of 21.20%. The basis of silver TD - Shanghai silver main contract is -23, down 18, with a 1 - year quantile of 43.70% [8]. - **比价**: COMEX gold/silver is 98.20, down 0.15, with a decline rate of -0.16%. SHFE gold/silver is 92.95, down 0.45, with a decline rate of -0.49% [8]. - **利率与汇率**: The 10 - year US Treasury yield is 4.49, up 0.04, with an increase rate of 0.9%. The US dollar index is 101.07, up 0.08, with an increase rate of 0.08% [8]. - **库存与持仓**: The SHFE gold inventory is 17238, unchanged. The SHFE silver inventory is 919463, down 12721, with a decline rate of -1.36% [8]. 4. Container Shipping Industry Spot - Futures Daily Report - **现货报价**: MAERSK's Shanghai - Europe 6 - week future freight rate is 1547, down 4, with a decline rate of -0.26%. CMA CGM's is 2534, up 107, with an increase rate of 4.41% [9]. - **集运指数**: The settlement price index of SCFIS (European route) is 1302.62, down 76.5, with a decline rate of -5.54%. SCFIS (US West route) is 1455.31, up 134.6, with an increase rate of 10.19% [9]. - **期货价格及基差**: The price of EC2602 is 1518.3, up 103.8, with an increase rate of 7.34%. The basis of the main contract (EC2506) is -423.4, down 337.3, with a change rate of 391.56% [9]. - **基本面数据**: Global container shipping capacity supply is 3223.63 million TEU, up 1.12 million TEU, with an increase rate of 0.03%. Shanghai port's on - time rate is 29.02, down 4.41, with a decline rate of -13.19% [9]. 5. Trading Calendar - **海外数据/资讯**: Eurozone's Q1 GDP annual revised rate, seasonally - adjusted employment quarterly final rate, and other economic indicators are to be released at specific times. The US Initial Jobless Claims for the week ending May 10th and other data are also scheduled [11]. - **国内数据/资讯**: There are 1250 billion yuan of 1 - year MLF and 1586 billion yuan of 7 - day reverse repurchases due today. Shandong local refinery capacity utilization rate and other industry - related data are to be released at different times [11].

3/1 | | 股指期货价差日报 | | | | | | --- | --- | --- | --- | --- | --- | | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | 2025年5月15日 | | | | 叶倩宁 | Z0016628 | | 价差 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | F期现价差 | -35.81 | ਰੇ 45 | 10.20% | 8.60% | | 期现价差 | H期现价差 | -16.18 | 3.67 | 15.90% | 11.90% | | | IC期现价差 | -101.32 | 25.75 | 6.50% | 3.20% | | | IM期现价差 | -117.37 | 37.04 | 90.00% | 6.00% | | | 次月-当月 | -35.60 | 5.40 | 2.00% | 9.10% | | | 季月-当月 | -101.60 | 7.20 | 0.80% | 6.80% | | | 远月-当月 | -139.60 | 7.40 | 0.80% | 9.30% ...

| 股指期货价差日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | 2025年5月13日 | | | | 叶倩宁 | Z0016628 | | 价差 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | F期现价差 | -37.61 | -0.05 | 8.60% | 7.80% | | 期现价差 | H期现价差 | -16.02 | 1.79 | 15.50% | 12.00% | | | IC期现价差 | -105.67 | 11.25 | 5.70% | 2.90% | | | IM期现价差 | -130.46 | 6.42 | 85.00% | 5.40% | | | 次月-当月 | -32.00 | -0.40 | 3.20% | 10.70% | | | 季月-当月 | -98.40 | -1.80 | 0.40% | 7.20% | | | 远月-当月 | -135.40 | -2.00 | 0.40% | 10.00% | ...

| 股指期货价差日报 | | | | | | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 叶倩宁 2025年5月12日 | | | Z0016628 | | | 价差 品种 最新值 较前一日变化 历史1年分位数 | | | | 全历史分位数 | | F期现价差 -37.56 -0.66 | | 8.60% | | 7.80% | | -17.81 -3.10 期现价差 H期现价差 | | 14.70% | | 10.30% | | IC期验价套 -116.92 | -3.12 | 4.90% | | 2.10% | | IM期现价去 -136.88 | 2.40 | 85.00% | | 4.90% | | 次月-当月 -31.60 | -1.80 | 4.50% | | 11.00% | | 李月-当月 -96.60 | -6.20 | 0.40% | | 7.40% | | 元月-当月 -133.40 | -12.20 | 0.40% | | 10.50% | | IF跨期价差 -65.00 李月-次月 | -4.40 | 0.40% ...

2025 | 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Z0016628 | 叶倩宁 | 2025年5月9日 | 品种 | 最新值 | 历史1年分位数 | 全历史分位数 | 价差 | 较前一日变化 | | | | | | | | | F期现价差 | -36.90 | 9.73 | 8.60% | 8.00%6 | 13.70% | -14.71 | 15,10% | H期现价差 | ਰੇ 59 | 期现价差 | | | | | | | -113,81 | 16.29 | 4.90% | IC期现价差 | 2.30% | 4.80% | IM期现价差 | -139.28 | 17.02 | 85.00% | 次月-当月 | -29.80 | 2.40 | 10.20% | 12.10% | | | 李月-崇月 | -90.40 ...