| 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9月15日 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | | 品种 | 最新值 | 较前一日变化 | 价去 | 66.30% | F期现价差 | 1.20 | -12.76 | 74.50% | | | | | | | | | H期视价差 | 0.06 | -7.06 | 53.60% | 57.30% | 朗现价差 | IC期现价差 | -9.64 | -7.75 | 85.20% | 72.40% | IM期现价差 | -30.08 | -18.00 | 70.00% | 48.50% | | 次月-当月 | -6.20 | 1.40 | 44.60% | 44.40% | 李月-当月 | - ...

1. General Information - The reports cover multiple industries including oils and fats, sugar, cotton, eggs, corn, pigs, and meal products, dated September 15, 2025 [1][4][5][8][11][14][17] 2. Industry - Specific Investment Ratings - No industry investment ratings are provided in the reports 3. Core Views Oils and Fats - CBOT soybean oil may fall again due to seasonal decline in consumption and potential high - throughput of factories. The basis of spot soybean oil will have limited short - term fluctuations. Malaysian palm oil futures are in a consolidation phase, facing potential downward pressure from increasing production and weak export data. The Dalian palm oil futures may follow suit and face a risk of downward break - through. The September 13 USDA report on soybeans is neutral to bearish, and the industrial demand for US soybean oil decreases after summer [1] Sugar - The raw sugar price is expected to maintain a bottom - side oscillation between 15 - 17 cents per pound. Domestic sugar has high inventory pressure, and the short - term futures may stabilize around 5500, but the rebound space is limited. A short - selling strategy on rallies is recommended [4] Cotton - In the short term, domestic cotton prices may fluctuate within a range. As new cotton is expected to be listed in the future, prices may face downward pressure [5] Eggs - Egg prices may rise to the annual high due to increased demand from traders, but the high inventory and cold - storage egg release may limit the increase. After traders finish restocking next week, egg prices in some areas may decline slightly [8][9] Corn - In the short term, the corn market will gradually shift to a supply - demand loosening situation, with the futures oscillating weakly. In the medium term, the bearish situation remains, and a short - selling strategy on rallies is advisable [11] Pigs - The spot pig prices have limited room for further decline due to farmers' reluctance to sell at low prices and secondary fattening. However, considering the supply recovery and uncertain demand, the prices may continue to bottom - out after a short - term rebound [15] Meal Products - The global soybean supply - demand situation has some changes, with US soybean production increasing and the global stocks - to - use ratio slightly decreasing. In China, the concern about future supply is alleviated, and the spot market is loose. However, due to cost support, the decline space of domestic meal products is limited [17] 4. Industry - Specific Summaries Oils and Fats - **Soybean Oil**: The spot price in Jiangsu is 8610 yuan, up 70 yuan (0.82%) from September 11. The Y2601 futures price is 8018 yuan, down 8 yuan (- 0.10%). The basis of Y2601 is 592 yuan, up 78 yuan (15.18%) [1] - **Palm Oil**: The spot price of 24 - degree palm oil in Guangdong is 9320 yuan, up 100 yuan (1.08%). The P2601 futures price is 9062 yuan, down 52 yuan (- 0.57%). The basis of P2601 is 258 yuan, up 152 yuan (143.40%). The September import cost in Guangzhou Port is 9679.8 yuan, up 39.2 yuan (0.41%), and the import profit is - 618 yuan, down 91 yuan (- 17.31%) [1] - **Rapeseed Oil**: The spot price of Grade 4 rapeseed oil in Jiangsu is 10040 yuan, up 100 yuan (1.01%). The OI601 futures price is 9547 yuan, down 21 yuan (- 0.53%) [1] Sugar - **Futures Market**: The price of Sugar 2601 is 5540 yuan, down 16 yuan (- 0.29%); Sugar 2605 is 5517 yuan, down 7 yuan (- 0.13%); ICE raw sugar is 15.81 cents per pound, up 0.01 cent (0.06%). The 1 - 5 spread is 23 yuan, down 9 yuan (- 28.13%) [4] - **Spot Market**: The price in Nanning is 5890 yuan, unchanged; in Kunming is 5855 yuan, up 5 yuan (0.09%). The import price of Brazilian sugar within the quota is 4418 yuan, up 20 yuan (0.45%); outside the quota is 5611 yuan, up 26 yuan (0.47%) [4] - **Industry Situation**: The national cumulative sugar production is 1116.21 million tons, up 119.89 million tons (12.03%); sales are 1000.00 million tons, up 114.00 million tons (12.87%). The cumulative sales ratio in the country is 89.60%, up 0.66 percentage points (0.74%); in Guangxi is 89.04%, up 0.62 percentage points (0.70%) [4] Cotton - **Futures Market**: The price of Cotton 2605 is 13820 yuan, up 25 yuan (0.18%); Cotton 2601 is 13860 yuan, up 25 yuan (0.18%); ICE US cotton is 66.76 cents per pound, up 0.02 cent (0.03%). The 5 - 1 spread is - 40 yuan, unchanged [5] - **Spot Market**: The Xinjiang arrival price of 3128B cotton is 15182 yuan, down 4 yuan (- 0.03%); CC Index 3128B is 15248 yuan, down 1 yuan (- 0.01%); FC Index M 1% is 13371 yuan, up 18 yuan (0.13%) [5] - **Industry Situation**: The commercial inventory is 148.17 million tons, down 33.85 million tons (- 18.6%); industrial inventory is 89.23 million tons, down 3.19 million tons (- 3.5%). The import volume is 5.00 million tons, up 2.00 million tons (66.7%) [5] Eggs - **Futures Market**: The price of Egg 11 contract is 3040 yuan per 500KG, down 4 yuan (- 0.13%); Egg 10 contract is 3023 yuan per 500KG, down 20 yuan (- 0.66%). The 11 - 10 spread is 17 yuan, up 16 yuan (1600.00%) [8] - **Spot Market**: The egg - producing area price is 3.54 yuan per jin, up 0.07 yuan (1.92%); the basis is 496 yuan per 500KG, up 70 yuan (16.56%) [8] - **Industry Situation**: The price of egg - laying chicken chicks is 2.60 yuan per chick, down 0.40 yuan (- 13.33%); the price of culled chickens is 4.61 yuan per jin, down 0.01 yuan (- 0.22%); the egg - feed ratio is 2.50, up 0.07 (2.88%); the breeding profit is - 17.89 yuan per chick, up 4.71 yuan (20.84%) [8] Corn - **Corn**: The price of Corn 2511 is 2197 yuan, down 5 yuan (- 0.23%); the Jinzhou Port flat - hatch price is 2310 yuan, unchanged. The basis is 113 yuan, up 5 yuan (4.63%); the 11 - 3 spread is 14 yuan, down 2 yuan (- 12.50%) [11] - **Corn Starch**: The price of Corn Starch 2511 is 2474 yuan, down 3 yuan (- 0.12%); the Changchun spot price is 2560 yuan, unchanged; the Weifang spot price is 2800 yuan, unchanged. The basis is 86 yuan, up 3 yuan (3.61%); the 11 - 3 spread is - 23 yuan, up 4 yuan (14.81%) [11] Pigs - **Futures Market**: The price of Live Pig 2511 is 13255 yuan, down 65 yuan (- 0.49%); Live Pig 2601 is 13690 yuan, down 40 yuan (- 0.29%). The 11 - 1 spread is - 435 yuan, down 25 yuan (- 6.10%) [15] - **Spot Market**: The price in Henan is 13450 yuan, down 50 yuan; in Shandong is 13550 yuan, up 50 yuan; in Sichuan is 13350 yuan, unchanged; in Liaoning is 13100 yuan, unchanged; in Guangdong is 14390 yuan, up 100 yuan; in Hunan is 13210 yuan, unchanged; in Hebei is 13400 yuan, unchanged [15] - **Industry Situation**: The daily slaughter volume of sample points is 148973, up 965 (0.65%); the weekly white - strip price is 0.00 yuan, down 20.1 yuan (- 100.00%); the weekly piglet price is 26.00 yuan, unchanged; the weekly sow price is 32.51 yuan, unchanged; the weekly slaughter weight is 128.32 kg, up 0.1 kg (0.07%); the weekly self - breeding profit is 17 yuan, down 35.8 yuan (- 68.02%); the weekly purchased - pig breeding profit is - 162 yuan, down 35.7 yuan (- 28.27%); the monthly fertile sow inventory is 40420000 heads, down 10000 heads (- 0.02%) [15] Meal Products - **Soybean Meal**: The price of Jiangsu soybean meal is 3050 yuan, up 20 yuan (0.66%); M2601 futures price is 3079 yuan, down 9 yuan (- 0.29%); the basis of M2601 is - 29 yuan, up 29 yuan (50.00%). The import crushing profit for US Gulf shipments is not given; for Brazilian November shipments is 60, down 18 (- 30.0%) [17] - **Rapeseed Meal**: The price of Jiangsu rapeseed meal is 2650 yuan, up 20 yuan (0.76%); RM2601 futures price is 2531 yuan, down 36 yuan (- 1.40%); the basis of RM2601 is 119, up 56 (88.89%). The import crushing profit for Canadian November shipments is 815, down 66 (- 7.49%) [17] - **Soybeans**: The price of Harbin soybeans is 3980 yuan, unchanged; the futures price of the main soybean contract is 3959 yuan, up 14 yuan (0.35%); the basis is 21, down 14 (- 40.00%). The price of imported soybeans in Jiangsu is 3900 yuan, up 100 yuan (2.63%); the futures price of the main soybean - two contract is 3759 yuan, up 4 yuan (0.11%); the basis is 141, up 96 (213.33%) [17] - **Spreads**: The 01 - 05 spread of soybean meal is 259, down 20 (- 7.17%); the 01 - 05 spread of rapeseed meal is 125, down 22 (- 14.97%); the oil - meal ratio of the spot is 2.82, up 0.004 (0.16%); the oil - meal ratio of the main contract is 2.70, up 0.003 (0.12%); the spot soybean - rapeseed meal spread is 400, unchanged; the 2601 spread is 548, up 27 (5.18%) [17]

Report Industry Investment Rating - The investment view on LPG is "oscillating", indicating a neutral stance in the short - term [4]. Report's Core View - The LPG market shows a situation of "weak oil and strong gas". PG prices are firm due to freight and capital factors. The supply - demand contradiction of propylene in the intermediate link is alleviated, and the terminal PP demand is saturated, resulting in continuous and substantial losses in PDH profits. In the short - term, PG prices are expected to oscillate strongly, with a relatively low current valuation. Attention should be paid to the flow of warehouse receipts and geopolitical risks [4]. Summary by Relevant Catalogs 1. Market Review - The main contract of LPG futures fluctuated and rose, with a range of 4360 - 4470 yuan/ton. The spot price trend was weaker than the futures, and the basis weakened. International crude oil prices first fell and then rose, and the trend of PG futures was basically the same as that of crude oil. International LPG prices increased, but domestic spot prices showed both increases and decreases. Chemical demand declined significantly, and the profits of multiple chemical plants continued to be in the red. The internal valuation of futures prices was neutral. The weekly average basis was 37 yuan/ton in East China, 120 yuan/ton in South China, and 30 yuan/ton in Shandong, with the lowest deliverable standard being in Shandong [7]. 2. Influencing Factors Supply - Last week, the total commercial volume of LPG was about 53.74 million tons, including 20.52 million tons of civil gas, 21.04 million tons of industrial gas, and 17.89 million tons of ether - after carbon four. The arrival volume of LPG last week was 65 million tons. With the resumption of some devices in East China and Shandong last week, the supply increased. A refinery in Shandong plans to conduct maintenance this week, and it is expected that the domestic commercial volume may decline [4]. Demand - The combustion demand is gradually coming to an end, and the traditional peak - season logic is weakening, but the price of civil gas remains firm in the short - term. In the carbon - four deep - processing sector, affected by new - energy substitution, gasoline demand has weakened. The profit of MTBE is inverted, but the operating rate is at a high level. The profit of alkylated gasoline has changed from profit to loss, and the loss of isobutane dehydrogenation profit is relatively deep. The ether - after market may decline and stabilize. In the carbon - three deep - processing sector, the utilization rate of PDH production capacity is relatively stable, and the operating rate remains at a medium - to - high level. The price of propylene in the intermediate link has declined, and the terminal PP demand is saturated. There are continuous losses from the PDH device to the propylene and PP links [4]. Inventory - Last week, the factory inventory of LPG was 17.91 million tons, and the port inventory was 318.65 million tons. The domestic LPG inventory continued to increase. Although the trading and transportation capacity resumed after the end of large - scale domestic events, the inventory pressure in some northern regions was gradually relieved. However, in other regions, due to increased supply and weak demand, the shipment volume decreased to varying degrees, and the refinery storage capacity utilization rate continued to rise. At the ports, the number of incoming ships decreased slightly, but the unloading volume was more than the arrival volume, with little change compared to last week. Coupled with the downward trend of overall chemical demand, the port inventory increased slightly [4]. Basis and Position - The weekly average basis was a certain value in East China, South China, and Shandong. The total number of LPG warehouse receipts increased by 6, and the lowest deliverable area was Shandong [4]. Chemical Downstream - The operating rates of PDH, MTBE, and alkylation were 70.49%, 55.81%, and 46.17% respectively. The profits of PDH to propylene, MTBE isomerization, and alkylation in Shandong were - 52 yuan/ton, - 291 yuan/ton, and - 180.50 yuan/ton respectively [4]. Valuation - The PG - SC ratio was a certain value, and the PG continuous - one to continuous - two month spread was a certain value. With the continuous increase in crude oil production, the cost segment was dragged down, and the PG - SC cracking spread continued to strengthen [4]. Other Factors - In October, OPEC+ increased production by 137,000 barrels again, starting the second round of the production - increase cycle to regain market share. The US non - farm payrolls data in August was lower than market expectations, with an increase in the number of unemployed, a month - on - month decline in PPI and CPI, and an enhanced expectation of economic slowdown and interest - rate cuts. The geopolitical situations in Russia - Ukraine, US - Venezuela, and the Middle East still tend to be tense, and the war may further escalate [4]. 3. Trading Strategy - For unilateral trading, it is recommended to wait and see temporarily. For arbitrage, the strategies are to go long on PP2601 and short on PL2601, go long on PP2601 and short on PG2601, and go long on PG2510 and short on SC2510 [4].

Report Industry Investment Rating - Not provided Core View of the Report - The demand recovery of ethylene glycol is facing challenges, and it is expected to continue its weak and volatile trend in the short term. Currently, ethylene glycol is in a situation of weak supply and demand. The cost side restricts the price from falling sharply, but there is no new cost support. The demand side lacks incremental boost, and the high inventory suppresses market sentiment. The short - term price may continue to oscillate at a low level, and if the demand fails to substantially improve, the lower support may be tested [1][3] Summary by Relevant Catalogs Day - to - Day Market Summary - **主力合约与基差**: On September 12, the price of the ethylene glycol main contract oscillated downward to 4,272 yuan/ton, a decrease of 30 yuan/0.7% from the previous day. The East China spot price also fell to 4,380 yuan/ton (-25 yuan), but the basis widened by 30 yuan to 138 yuan/ton. The inter - delivery spread showed an intensified contango, with the 5 - 9 spread widening negatively to - 89 yuan/ton, indicating deepening concerns about future supply [2] - **持仓与成交**: The trading volume of the main contract remained around 134,000 lots, while the open interest increased by 8,245 lots to 317,000 lots, suggesting intensified long - short game [2] - **供给端**: The total ethylene glycol operating rate remained stable at 71.24%. The operating rates of oil - based and coal - based plants were flat at 74.6% and 66.74% respectively. The coal - based profit continued to be deeply in the red at 368 yuan/ton, with no further expansion of losses but lack of repair momentum [2] - **需求端**: The load of polyester factories was 89.42%, and that of Jiangsu and Zhejiang looms was 63.43%, both remaining flat for more than two weeks. Due to the off - season pressure in the terminal textile industry, the downstream replenishment demand was weak and could not effectively drive the raw materials [3] - **库存端**: The inventory at the East China main port increased by 59,000 tons to 485,700 tons in a single week. The inventory in Zhangjiagang soared by 40.6% to 180,000 tons. Although the weekly arrival volume decreased by 39.7% to 101,700 tons, the port inventory accumulation reflected that the source digestion speed lagged far behind the arrival rhythm, highlighting the inventory pressure [3] - **震荡偏弱运行**: Ethylene glycol is in a situation of weak supply and demand. The coal - based loss restricts the price from falling sharply, but the fluctuations of crude oil and naphtha have not provided new cost support for oil - based profits. The polyester and loom loads are stable but lack incremental boost, and the high - level inventory suppresses market sentiment. The short - term price may continue to oscillate at a low level [3] Industrial Chain Price Monitoring - **期货与现货价格**: The main contract price of MEG futures was 4,272 yuan/ton on September 12, down 30 yuan (-0.7%) from the previous day. The East China spot price was 4,380 yuan/ton, down 25 yuan (-0.57%) [4] - **价差情况**: The MEG basis widened by 30 yuan to 138 yuan/ton. The 1 - 5 spread increased by 1 yuan to - 47 yuan/ton, the 5 - 9 spread decreased by 31 yuan to - 89 yuan/ton, and the 9 - 1 spread increased by 30 yuan to 136 yuan/ton [4] - **利润情况**: The coal - based profit remained at - 368 yuan/ton, with no change [4] - **开工负荷**: The overall ethylene glycol operating rate was 71.2%, and the coal - based and oil - based operating rates were 66.7% and 74.6% respectively, all remaining unchanged. The polyester factory load was 89.4%, and the Jiangsu and Zhejiang loom load was 63.4%, also unchanged [4] - **库存与到港量**: The East China main port inventory increased by 59,000 tons to 486,000 tons, and the Zhangjiagang inventory increased by 52,000 tons to 180,000 tons, a surge of 40.62%. The arrival volume decreased by 67,000 tons to 101,700 tons, a decrease of 39.72% [4] Industrial Dynamics and Interpretation - On September 12, the East China US - dollar market followed the domestic market to weaken. In the morning, the negotiation price of October shipments was in the range of 512 - 515 US dollars/ton, and in the afternoon, that of near - month shipments was in the range of 514 - 517 US dollars/ton, with no reported transactions [5] - On September 12, the mainstream market price fell, but the ethylene glycol price in the South China market had reached a low level, and the quotations of holders remained stable. The market negotiation atmosphere was cold, with the current price around 4,460 yuan/ton for delivery [5] - On September 12, due to concerns about oversupply, the international crude oil price declined, the cost - side support weakened, and the spot basis was weak. The current negotiation price in East China was around 4,370 yuan/ton [5] - On September 12, the spot quotation in the Shaanxi ethylene glycol market was lowered, with the average market price around 3,970 yuan/ton for self - pick - up [5] Appendix: Big Model Inference Process - The decrease in the main contract price and the increase in the basis may indicate that the spot is more resistant to decline or the market has a weak future expectation [22] - The increase in open interest and the significant change in the 5 - 9 spread may reflect the bearish sentiment towards the far - month contract [22] - The stable supply - side operating rate and the unchanged demand - side load, combined with the inventory accumulation, suggest weak demand and difficult de - stocking [23] - Given the high inventory pressure, weak demand, and certain cost - side support, the ethylene glycol price may continue to be weak and may even decline further [23]

Report Summary 1. Industry Investment Rating No clear industry investment rating is provided in the report. 2. Core View The report analyzes the fuel oil market, indicating that the Asian low - sulfur fuel oil market is under short - term pressure due to sufficient immediate supply and weak terminal demand, while the high - sulfur fuel oil market is supported by relatively stable downstream demand. The market shows certain resistance as downstream demand improves, and it is recommended to follow the impact of geopolitical factors such as China - US trade negotiations. The expected operating ranges are 2760 - 2810 for FU2510 and 3310 - 3370 for LU2511 [3]. 3. Summary by Directory 3.1 Daily Tips - Fundamental analysis: The Asian low - sulfur fuel oil market is under short - term pressure, while the high - sulfur fuel oil market is supported by demand. The basis shows a spot premium over futures, and Singapore's fuel oil inventory decreased in the week of September 10. The price is near the 20 - day line, and high - sulfur and low - sulfur fuel oil have different trends in the main positions. The expected operating ranges are 2760 - 2810 for FU2510 and 3310 - 3370 for LU2511 [3]. - Futures market: The prices of FU and LU main contracts decreased, with declines of 2.15% and 2.43% respectively. The basis increased significantly, with increases of 56.27% and 133.66% respectively [5]. - Spot market: The prices of various fuel oils decreased, with decreases ranging from 0.64% to 2.11%, except for Singapore diesel, which increased by 0.41% [6]. 3.2 Multi - Short Concerns - Bullish factors: There is a possibility of increased sanctions against Russia [4]. - Bearish factors: The optimism on the demand side remains to be verified, and the upstream crude oil price is weak [4]. - Market drivers: The supply side is affected by geopolitical risks, and demand is neutral [4]. 3.3 Fundamental Data - Singapore fuel oil inventory on September 10 was 2303.9 million barrels, a decrease of 27 million barrels [3]. 3.4 Spread Data No specific spread data analysis is provided in the given content. 3.5 Inventory Data - Singapore fuel oil inventory has fluctuated in recent months, with a decrease of 27 million barrels in the week of September 10 to 2303.9 million barrels [3][8].

Group 1: Market Performance - On September 11, the four major A - share stock indices all rose. The Shanghai Composite Index rose 1.65% to 3875.31 points, the Shenzhen Component Index rose 3.36% to 12979.89 points, the ChiNext Index rose 5.15% to 3053.75 points, and the STAR 50 Index rose 5.32% to 1326.03 points. Market trading volume was 24,646 billion yuan, an increase of 4,606 billion yuan from the previous day. [2] - In terms of industry sectors, communication (+7.39%), electronics (+5.96%), and computer (+3.71%) led the gains; textile and apparel (+0.14%), petroleum and petrochemical (+0.2%), and social services (+0.22%) led the declines. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4,220/161/1,045 respectively. [2] - Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 260, - 157, - 248, and 145 billion yuan respectively, with changes of +215, - 99, - 180, and +64 billion yuan respectively. [2] Group 2: Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 73.89, 49.71, - 6.37, and - 5.52 points respectively. The annualized basis yields were - 11.89%, - 8.31%, 1.67%, and 2.2% respectively, and the three - year historical quantiles were 27%, 23%, 76%, and 75% respectively. [2] - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, the market shows signs of cooling. [2] Group 3: Treasury Bond Futures - On September 11, the yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year treasury bond was 1.376, a decrease of 3.85 bps from the previous day; the implied interest rate of the five - year treasury bond was 1.605, a decrease of 3.47 bps; the implied interest rate of the ten - year treasury bond was 1.798, a decrease of 2.13 bps; the implied interest rate of the thirty - year treasury bond was 2.203, an increase of 0.2 bps. [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.25 bps, corresponding to a net basis of - 0.029 and an IRR of 1.59%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 3.5 bps, corresponding to a net basis of 0.055 and an IRR of 1.27%; the CTD bond of the ten - year treasury bond futures was 220017.IB, with a yield change of - 1.5 bps, corresponding to a net basis of 0.149 and an IRR of 0.93%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.06 and an IRR of 1.67%. [2] - In terms of the money market, the central bank injected 2920 billion yuan and withdrew 2126 billion yuan, resulting in a net injection of 794 billion yuan. [2] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long term for T and TL. [2] Group 4: Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak prosperity. [9]

Report Summary 1. Report Information - Research variety: Beans - Report cycle: Daily - Date of report: September 4, 2025 - Researcher: Qi Jianhua [1] 2. Investment Rating - No investment rating is provided in the report. 3. Core View - Currently, domestic soybean prices fluctuate, recent imported soybean prices trend weakly, port inventory accumulation slows, and enterprise crushing profits weaken again. The price of the main soybean futures contract A2511 oscillates around the 5 - day moving average, and the short - term bearish power on the disk weakens. The price of the A2511 contract may continue to fluctuate around the 5 - day moving average [15]. 4. Summary by Directory 4.1 Futures Market - **Contract行情**: On September 4, 2025, the main continuous contract of DCE soybean futures oscillated strongly. The opening price was 3951 yuan/ton, the highest was 3982 yuan/ton, the lowest was 3951 yuan/ton, and the closing price was 3965 yuan/ton, up 1 yuan/ton or 0.03% from the previous day. The trading volume was 101,673 lots, the open interest was 199,022 lots, and the daily increase in positions was - 6675 lots [2]. - **Variety price**: Different contracts have different closing prices, price changes, and trading volumes. For example, the A2509 contract closed at 4056 yuan/ton, down 31 yuan/ton or 0.76%; the A2511 contract closed at 3965 yuan/ton, up 1 yuan/ton or 0.03% [3]. 4.2 Spot Market - The basis of soybean No. 1 today is 95 yuan/ton, showing a slight weakening. The total registered warehouse receipts of soybean No. 1 today are 8510 lots, a decrease of 64 lots compared with the previous trading day [5]. 4.3 Influencing Factors - **Important events**: The average domestic soybean price today is 4039 yuan/ton, a month - on - month decrease of 0.81%. The prices have fluctuated in recent days. The soybean inventory in major ports today is 6.7903 million tons, a month - on - month decrease of 0.76%, and the inventory accumulation speed has slowed [8][10]. - **Industry information**: The recent arrival - at - port duty - paid prices of imported soybeans are generally weak. The recent arrival - at - port duty - paid price of US Gulf soybeans is 4583.97 yuan/ton, that of Brazilian soybeans is 3993.74 yuan/ton, and that of Argentine soybeans is 3852.45 yuan/ton. The enterprise crushing profit has continued to decline from a high level and has weakened again [11].

Group 1: Report Overview - The report is the Baocheng Futures Variety Arbitrage Data Daily Report for September 12, 2025, covering multiple commodity sectors including thermal coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1] Group 2: Thermal Coal - The table shows the basis, 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of thermal coal from September 5 to September 11, 2025. The basis on September 11 was - 126.4 yuan/ton, and the spreads were all 0.0 [2] Group 3: Energy Chemicals Energy Commodities - Data on the basis of fuel oil, crude oil, and asphalt, and the ratio of crude oil to asphalt are presented from September 5 to September 11, 2025. For example, on September 11, the basis of INE crude oil was 16.42 yuan/ton, and the ratio of crude oil to asphalt was 0.1413 [7] Chemical Commodities - **Basis**: The basis of rubber, methanol, PTA, LLDPE, V, and PP from September 5 to September 11, 2025 is provided. For instance, on September 11, the basis of rubber was - 1005 yuan/ton [9] - **Inter - delivery spreads**: The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - month minus 1 - month spread of rubber was 30 yuan/ton [10] - **Inter - commodity spreads**: The spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from September 5 to September 11, 2025 are shown. On September 11, the LLDPE - PVC spread was 2352 yuan/ton [10] Group 4: Black Metals Inter - delivery spreads - The 5 - month minus 1 - month, 9 - month(10) minus 1 - month, and 9 - month(10) minus 5 - month spreads of rebar, iron ore, coke, and coking coal are presented. For example, the 5 - month minus 1 - month spread of rebar was 49.0 yuan/ton [19] Inter - commodity spreads - The ratios of rebar to iron ore, rebar to coke, coke to coking coal, and the spread of rebar minus hot - rolled coil from September 5 to September 11, 2025 are given. On September 11, the ratio of rebar to iron ore was 3.88 [19] Basis - The basis of rebar, iron ore, coke, and coking coal from September 5 to September 11, 2025 is provided. On September 11, the basis of rebar was 118.0 yuan/ton [20] Group 5: Non - Ferrous Metals Domestic Market - The domestic basis of copper, aluminum, zinc, lead, nickel, and tin from September 5 to September 11, 2025 is shown. On September 11, the basis of copper was 10 yuan/ton [27] London Market - Data on LME non - ferrous metals including LME premium/discount, Shanghai - London ratio, CIF price, domestic spot price, and import profit/loss for copper, aluminum, zinc, lead, nickel, and tin on September 11, 2025 are presented. For example, the LME premium/discount of copper was (61.54) [34] Group 6: Agricultural Products Basis - The basis of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from September 5 to September 11, 2025 is provided. On September 11, the basis of soybeans No.1 was 115 yuan/ton [39] Inter - delivery spreads - The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of various agricultural products are given. For example, the 5 - month minus 1 - month spread of soybeans No.1 was 47 yuan/ton [39] Inter - commodity spreads - The ratios and spreads such as soybeans No.1 to corn, soybeans No.2 to corn, soybean oil to soybean meal, soybean meal minus rapeseed meal, soybean oil minus palm oil, rapeseed oil minus soybean oil, and corn minus corn starch from September 5 to September 11, 2025 are shown. On September 11, the ratio of soybeans No.1 to corn was 1.79 [39] Group 7: Stock Index Futures Basis - The basis of CSI 300, SSE 50, CSI 500, and CSI 1000 from September 5 to September 11, 2025 is provided. On September 11, the basis of CSI 300 was - 13.97 [51] Inter - delivery spreads - The spreads of next - month minus current - month and next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are presented. For example, the next - month minus current - month spread of CSI 300 was - 53.8 [53]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The supply side shows that in August 2025, the total planned production volume of domestic asphalt was 2.413 million tons, a month - on - month decrease of 5.1% and a year - on - year increase of 17.1%. This week, the sample capacity utilization rate of domestic petroleum asphalt decreased, and refineries reduced production to ease supply pressure, and it is expected to further decrease next week [7]. - On the demand side, the current demand for various types of asphalt is lower than the historical average, with some开工 rates decreasing and some remaining flat [7]. - The cost side indicates that the daily asphalt processing profit decreased, while the weekly Shandong local refinery delayed coking profit increased. With the strengthening of crude oil, short - term cost support is expected to strengthen [8]. - The basis shows that on September 11, the spot price in Shandong was 3,540 yuan/ton, and the basis of the 11 - contract was 77 yuan/ton, with the spot at a premium to the futures [9]. - In terms of inventory, social inventory and factory inventory are continuously decreasing, while port inventory is continuously increasing [9]. - The disk shows that MA20 is downward, and the futures price of the 11 - contract closed below MA20 [9]. - The main positions show a net short position, with an increase in short positions [9]. - Overall, it is expected that the disk will fluctuate narrowly in the short term, with asphalt 2511 fluctuating in the range of 3,442 - 3,484 [9]. - The bullish factor is that the relatively high cost of crude oil provides some support [11]. - The bearish factors include insufficient demand for high - priced goods, overall downward demand, and a strengthened expectation of an economic recession in Europe and the United States [12]. - The main logic is that the supply pressure remains high, and the demand recovery is weak [13]. 3. Summary According to the Table of Contents 3.1 Daily Views - **Supply**: In August 2025, the total planned production volume of domestic asphalt was 2.413 million tons, a month - on - month decrease of 5.1% and a year - on - year increase of 17.1%. This week, the sample capacity utilization rate of domestic petroleum asphalt was 30.501%, a month - on - month decrease of 0.90 percentage points. The national sample enterprise shipments, production, and refinery device maintenance volume changed, and refineries reduced production to ease supply pressure [7]. - **Demand**: The current demand for various types of asphalt is lower than the historical average, with the heavy - traffic asphalt开工 rate at 28.1%, a month - on - month decrease of 0.04 percentage points; the construction asphalt开工 rate at 18.2%, unchanged month - on - month; the modified asphalt开工 rate at 15.8893%, a month - on - month decrease of 1.25 percentage points; the road - modified asphalt开工 rate at 27.5%, a month - on - month decrease of 0.83 percentage points; and the waterproofing membrane开工 rate at 33.93%, a month - on - month increase of 0.07 percentage points [7]. - **Cost**: The daily asphalt processing profit was - 513.38 yuan/ton, a month - on - month decrease of 3.00%, and the weekly Shandong local refinery delayed coking profit was 792.0771 yuan/ton, a month - on - month increase of 6.94%. With the strengthening of crude oil, short - term cost support is expected to strengthen [8]. - **Basis**: On September 11, the spot price in Shandong was 3,540 yuan/ton, and the basis of the 11 - contract was 77 yuan/ton, with the spot at a premium to the futures [9]. - **Inventory**: Social inventory was 1.225 million tons, a month - on - month decrease of 3.54%; factory inventory was 0.642 million tons, a month - on - month decrease of 4.74%; and port diluted asphalt inventory was 0.32 million tons, a month - on - month increase of 68.42% [9]. - **Disk**: MA20 is downward, and the futures price of the 11 - contract closed below MA20 [9]. - **Main Positions**: The main positions show a net short position, with an increase in short positions [9]. - **Expectation**: It is expected that the disk will fluctuate narrowly in the short term, with asphalt 2511 fluctuating in the range of 3,442 - 3,484 [9]. 3.2 Asphalt Market Overview - The report provides data on yesterday's asphalt market, including futures closing prices, price changes, and basis changes of different contracts, as well as data on downstream demand开工 rates, asphalt coking profit spreads, weekly shipments, weekly production, weekly开工 rates, and weekly inventory [16]. 3.3 Asphalt Futures Market - Basis Analysis - The report presents the historical trends of the Shandong and East China basis of asphalt, which helps to analyze the relationship between spot and futures prices [18]. 3.4 Asphalt Futures Market - Spread Analysis - **Main Contract Spread**: It shows the historical trends of the spreads between the 1 - 6 and 6 - 12 contracts of asphalt, which is useful for spread trading analysis [21]. - **Asphalt - Crude Oil Price Trend**: It presents the historical price trends of asphalt, Brent crude oil, and West Texas Intermediate (WTI) crude oil, helping to analyze the relationship between asphalt and crude oil prices [24]. - **Crude Oil Crack Spread**: It shows the historical trends of the crack spreads of asphalt and different types of crude oil (SC, WTI, Brent), which is important for understanding the profitability of refining [27]. - **Asphalt, Crude Oil, and Fuel Oil Ratio Trend**: It presents the historical ratio trends of asphalt, crude oil, and fuel oil, which can be used for relative value analysis [31]. 3.5 Asphalt Spot Market - Market Price Trends in Different Regions - It shows the historical price trends of Shandong heavy - traffic asphalt, which helps to understand the price changes in the spot market [34]. 3.6 Asphalt Fundamental Analysis - Profit Analysis - **Asphalt Profit**: It presents the historical profit trends of asphalt, which is important for analyzing the profitability of asphalt production [36]. - **Coking - Asphalt Profit Spread Trend**: It shows the historical trends of the profit spread between coking and asphalt, which is useful for understanding the profit differences between different production processes [39]. 3.7 Asphalt Fundamental Analysis - Supply - Side Analysis - **Shipment Volume**: It shows the historical shipment volume trends of small - sample asphalt enterprises, which helps to understand the sales situation of asphalt [42]. - **Diluted Asphalt Port Inventory**: It presents the historical trends of domestic diluted asphalt port inventory, which is important for analyzing the supply situation of raw materials [44]. - **Production Volume**: It shows the historical trends of weekly and monthly asphalt production volumes, which helps to understand the overall supply situation of asphalt [47]. - **Merey Crude Oil Price and Venezuelan Crude Oil Monthly Production Trend**: It presents the historical trends of Merey crude oil price and Venezuelan crude oil monthly production, which is important for analyzing the impact of raw material supply on asphalt production [51]. - **Local Refinery Asphalt Production**: It shows the historical production volume trends of local refinery asphalt, which helps to understand the production capacity of local refineries [54]. - **开工Rate**: It shows the historical trends of weekly asphalt开工rates, which helps to understand the production activity of asphalt [57]. - **Maintenance Loss Estimation**: It presents the historical trends of estimated maintenance losses, which is important for analyzing the impact of refinery maintenance on supply [59]. 3.8 Asphalt Fundamental Analysis - Inventory Analysis - **Exchange Warehouse Receipts**: It shows the historical trends of exchange warehouse receipts (total, social inventory, and factory inventory), which helps to understand the inventory situation in the futures market [62]. - **Social Inventory and Factory Inventory**: It presents the historical trends of social inventory (70 samples) and factory inventory (54 samples) of asphalt, which is important for analyzing the overall inventory situation [66]. - **Factory Inventory - to - Stock Ratio**: It shows the historical trends of the factory inventory - to - stock ratio, which helps to understand the inventory management of factories [69]. 3.9 Asphalt Fundamental Analysis - Import and Export Situation - It presents the historical trends of asphalt export and import volumes, as well as the import price spread of South Korean asphalt, which is important for analyzing the impact of international trade on the domestic asphalt market [72]. 3.10 Asphalt Fundamental Analysis - Demand - Side Analysis - **Petroleum Coke Production**: It shows the historical production volume trends of petroleum coke, which is related to the demand for asphalt in some industrial applications [78]. - **Apparent Consumption**: It presents the historical trends of asphalt apparent consumption, which helps to understand the overall demand situation [81]. - **Downstream Demand**: It includes the historical trends of highway construction fixed - asset investment, new local special bonds, infrastructure investment completion year - on - year, downstream machinery demand (asphalt concrete paver sales, excavator monthly working hours, domestic excavator sales, road roller sales), and various types of asphalt开工rates (heavy - traffic asphalt, construction asphalt, modified asphalt, etc.), which helps to comprehensively analyze the downstream demand for asphalt [84]. 3.11 Asphalt Fundamental Analysis - Supply - Demand Balance Sheet - It provides the monthly supply - demand balance sheet of asphalt from January 2024 to September 2025, including production volume, import volume, export volume, social inventory, factory inventory, diluted asphalt port inventory, and downstream demand, which is important for comprehensively analyzing the supply - demand relationship of asphalt [104].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The spot market is weak, with slight declines in Shandong's civil LPG and ether - post carbon four. The market is expected to be mainly volatile as the combustion off - season is nearing its end, but demand remains weak, and supply in the cheapest delivery area (East China) is expected to increase slightly with no substantial improvement in demand [1] Group 3: Summary According to Related Data Spot Market - Spot market is weak, with East China's low - end price at 4507 (+0), Shandong at 4500 (-20), and South China at 4590 (+0). Ether - post carbon four is at 4800 (+0). The lowest delivery area has shifted to Shandong [1] Futures Market - The PG main contract fluctuates. The cheapest deliverable is East China's civil LPG at 4501. The basis strengthens to 125 (+55), and the 10 - 11 month spread is 69 (-18). The registered warehouse receipt volume is 13008 lots (-199) [1] International Market - External prices are differentiated. FEI, CP, and MB month spreads fluctuate and strengthen. The internal - external price difference declines. The freight rate drops slightly. The Panama Canal waiting time for VLGCs significantly decreases [1] Industry Data - Port inventory changes little, refinery commercial volume drops by 3.01%, and PDH operating rate is 73.10% (+0.08pct). Next week, Ningbo Jinfa will shut down, while Hebei Haiwei and Wanhua Yantai will resume operations [1]