| 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 | Z0016628 | | 2025年6月3日 | | | | | 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 -17.83 | 8.07 | 27.00% | 24.00% | | H期现价差 -11.50 期现价差 | 5.80 | 23.70% | 19.10% | | -43.27 IC期现价差 | 8.04 | 22.10% | 26.50% | | IM期现价差 -60.56 | -1.98 | 85.00% | 18.70% | | 次月-当月 -36.80 | -1.60 | 4.90% | 8.70% | | 李月-当月 -70.40 远月-当月 -107.20 | -4.80 -7.20 | 8.10% 11.00% | 14.20% 16.70% | | IF跨期价差 李月-次月 -33.60 | -3.20 | 7.30% | 19.70% | | 元月-次月 -70.40 ...

1. Report Industry Investment Rating - No information provided in the reports. 2. Report Core Views - The reports present comprehensive data on various futures, including stock index futures, Treasury bond futures, precious metal futures, and container shipping index futures, covering price differences, basis, and related economic indicators. 3. Summary by Relevant Catalogs Stock Index Futures - **IF期现价差**: The latest value is 7.17, with a change of -28.91 from the previous day, at the 16.30% percentile in the past year and 13.20% percentile all - time [1]. - **IH期现价差**: The latest value is -15.02, with a change of 3.83, at the 19.60% percentile in the past year [1]. - **IC期现价差**: The latest value is -74.86, with a change of -103.79, at the 10.60% percentile in the past year and 7.60% percentile all - time [1]. - **IM期现价差**: The latest value is 13.89, at the 90.00% percentile in the past year [1]. Treasury Bond Futures - **TS基差**: The latest value is 1.9655, with a change of -0.1195, at the 50.60% percentile since listing [2]. - **TF基差**: The latest value is 1.8632, with a change of -0.0497, at the 52.60% percentile since listing [2]. - **T基差**: The latest value is 1.8783, with a change of 0.2230, at the 64.50% percentile since listing [2]. - **TL基差**: The latest value is 1.8294, with a change of 0.3786, at the 63.40% percentile since listing [2]. Precious Metal Futures - **Domestic Futures**: The AU2508 contract closed at 777.30 yuan/gram on May 26, down 0.36% from May 23; the AG2508 contract closed at 8280 yuan/kilogram, up 0.21% [5]. - **Foreign Futures**: The COMEX gold主力 contract closed at 3357.70 dollars/ounce on May 26, up 1.90% from May 23; the COMEX silver主力 contract closed at 33.64 dollars, up 1.39% [5]. - **Spot Prices**: London gold was at 3342.21 dollars/ounce on May 26, down 0.46% from May 23; London silver was at 33.48 dollars, unchanged [5]. Container Shipping Index Futures - **Spot Quotes**: MAERSK's Shanghai - Europe 6 - week future freight rate was 2252 dollars/FEU on May 27, up 1.03% from May 26 [8]. - **Container Shipping Indexes**: The SCFIS (European route) settlement price index was 1247.05 points on May 26, down 1.44% from May 19; the SCFIS (US West route) was 1719.79 points, up 18.90% [8]. - **Futures Prices and Basis**: The EC2602 contract closed at 1405.0 on May 26, down 3.31% from May 23; the basis of the EC2508 (main contract) was -594.5, down 1.49% [8]. Overseas and Domestic Data/Information - **Overseas**: The euro - zone's May industrial and economic sentiment indexes will be released at 17:00; the US May Conference Board consumer confidence index will be released at 22:00 [9]. - **Domestic**: Data on manganese ore inventory and throughput in Qinzhou Port, iron ore port inventory, etc., will be updated [10].

Report Summary 1. Report Industry Investment Rating No information regarding the report industry investment rating is provided in the content. 2. Core Views - Silicon iron experiences wide - range fluctuations as short - sellers reduce positions, while manganese silicon shows a relatively strong oscillation due to the upward shift of Australian ore port quotes [2]. - The trend intensity of silicon iron is 0 (neutral), and that of manganese silicon is 1 (slightly strong) [4]. 3. Summary by Relevant Catalogs 3.1 Fundamental Tracking - **Futures Data**: - Silicon iron 2506 has a closing price of 5472 yuan, up 42 yuan from the previous trading day, with a trading volume of 99,230 and an open interest of 98,368. Silicon iron 2509 has a closing price of 5466 yuan, up 14 yuan, a trading volume of 51,380, and an open interest of 139,398 [2]. - Manganese silicon 2506 has a closing price of 5704 yuan, up 160 yuan, a trading volume of 20,612, and an open interest of 36,987. Manganese silicon 2509 has a closing price of 5758 yuan, up 160 yuan, a trading volume of 374,215, and an open interest of 412,745 [2]. - **Spot Price**: - The price of silicon iron FeSi75 - B in Inner Mongolia is 5450 yuan/ton, and the price of silicon manganese FeMn65Si17 in Inner Mongolia is 5520 yuan/ton, down 30 yuan/ton from the previous day. The price of manganese ore Mn44 block is 36.5 yuan/ton - degree, and the price of semi - coke small material in Shenmu is 620 yuan/ton [2]. - **Price Differences**: - The spot - 06 futures price difference of silicon iron is - 22 yuan/ton, down 42 yuan; the spot - 09 futures price difference of manganese silicon is - 238 yuan/ton, down 190 yuan. - The 2506 - 2509 price difference of silicon iron is 6 yuan/ton, up 28 yuan, and the 2506 - 2509 price difference of manganese silicon is - 54 yuan/ton, unchanged. - The cross - variety price difference between manganese silicon 2506 and silicon iron 2506 is 232 yuan/ton, up 118 yuan; the cross - variety price difference between manganese silicon 2509 and silicon iron 2509 is 292 yuan/ton, up 146 yuan [2]. 3.2 Macro and Industry News - **Price Information**: On May 8th, the price of 72 silicon iron in Shaanxi is 5300 - 5400 yuan/ton (down 50 yuan), and the FOB price of 72 silicon iron is 1030 - 1060 dollars/ton (down 30 dollars). The mainstream price of 6517 silicon manganese is in the range of 5450 - 5600 yuan/ton (down 50 yuan) [2][4]. - **Production Reduction News**: A representative silicon manganese plant in Guangxi continued to cut production in May. Currently, only a few furnaces are in operation, and the monthly output of 6517 silicon manganese has dropped to about 11,000 tons. The silicon manganese pricing of Zhongtian Nantong is 5620 yuan/ton (silver acceptance, tax - included, delivered to the factory), down 10 yuan/ton from before the holiday [2][4]. - **Manganese Ore Export News**: South32's June 2025 offer for South African semi - carbonate lump (typical Mn36.9%) is 3.8 dollars/ton - degree, down 0.25 dollars/ton - degree from the previous month. In March 2025, South Africa's manganese ore export volume was 2,336,242 tons, with a month - on - month increase of 26.88% and a year - on - year increase of 34.79%. From January to March 2025, the total export volume of South African manganese ore was 6,054,688 tons, a year - on - year increase of 6.77%. In March, South Africa's manganese ore exports to China were 1,556,464 tons, a month - on - month increase of 28.68%, and exports to India were 353,243 tons, a month - on - month decrease of 10.76%. Exports to the top five countries accounted for 91.54% of the total manganese ore exports [4].

| 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7日 | | | | Z0016628 | | 最新值 | 价差 | 品种 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | 12.03 | | F期现价差 -42.34 | | 7.70% | 6.20% | | H期现价差 | 期现价差 | -18.12 | 5.84 | 13.90% | 9.90% | | -118.33 | | IC期现价差 | 16.49 | 3.60% | 1.80% | | IM期现价差 | | -149.72 | -1.01 | 75.00% | 4.00% | | 次月-当月 | | -31.40 | 4.40 | 4.90% | 11.10% | | 季月-当月 | | -89.00 | -0.20 | 1.60% | 8.80% | | 远月-当月 | | -115.80 | -1.60 | 1.20% | 14.10% | | ...

| 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 | Z0016628 | 2025年4月30日 | | | | | | | | | | | | | | | 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 | IF期现价差 | -50.28 | 0.74 | 6.10% | 4.80% | | | | | IH期现价差 | -24.31 | -1.09 | 8.60% | 4.80% | 期现价差 | IC期现价差 | -117.71 | 9.59 | 3.20% | 1.80% | IM期现价差 | -129.78 | 4.85 | 90.00% | 4.60% | | 次月-当月 | -33.00 | -1.40 | 1.60% | 10.10% | 季月-当月 | ...

| | 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4月29日 | | 叶倩宁 | Z0016628 | | 最新值 | 价差 品种 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | -51.02 | F期现价差 | -3.23 | 5.30% | 4.70% | | -23.23 | H期现价差 期现价差 | -2.42 | 9.40% | 5.40% | | -127.30 | IC期现价差 | 1.29 | 2.80% | 1.10% | | -148.06 | IM期现价差 | 4.85 | 85.00% | 4.00% | | -31.60 | 次月-当月 | 4.00 | 3.20% | 10.90% | | -90.00 | 李月-崇月 | 3.20 | 1.20% | 8.60% | | -114.80 | 元月-当月 | 1.60 | 1.20% | 14.40% | | -58.40 | F跨期价差 李月-次月 | -0.80 | ...

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report Last week, Shanghai copper stabilized and rebounded, with the main contract rising 1.21% to close at 76,140 yuan/ton. Geopolitical factors and the macro - economic situation affected copper prices. Domestically, consumption is entering the peak season, but downstream consumption willingness is average. The industry is mainly driven by rigid demand. In terms of inventory, LME copper inventory increased slightly, while SHFE copper inventory decreased. The PMI is declining, and the copper market is in a tight balance in 2023 and will be in surplus in 2024. The processing fee is recovering slowly, and CFTC non - commercial net long positions are flowing out [4][9][11]. 3. Summary by Directory 3.1 Market Review - Last week, Shanghai copper's main contract rose 1.21% to close at 76,140 yuan/ton. Geopolitical factors from the Russia - Ukraine war and the macro - economic situation affected copper prices. Domestically, consumption is entering the peak season, but downstream consumption willingness is average. LME copper inventory was 213,400 tons with a slight increase, and SHFE copper inventory decreased by 11,330 tons to 171,611 tons [4]. 3.2 Fundamental Analysis - **PMI**: The PMI is declining [9]. - **Supply - Demand Balance**: In 2023, the copper market is in a tight balance, and it will be in surplus in 2024. The Chinese annual supply - demand balance table shows details of production, import, export, apparent consumption, actual consumption, and supply - demand balance from 2018 - 2024 [11][14]. - **Inventory**: Exchange inventory remains at a high level, and bonded area inventory remains at a low level [15][18]. 3.3 Market Structure - **Processing Fee**: The processing fee is recovering slowly [22]. - **CFTC Position**: CFTC non - commercial net long positions are flowing out [25]. - **Futures - Spot Price Difference**: No specific information provided. - **Import Profit**: No specific information provided. - **Warehouse Receipt**: No specific information provided.

Report Industry Investment Rating - No relevant content provided Core Viewpoints - No clear core viewpoints are presented in the reports Summary by Relevant Catalogs 1. Stock Index Futures Spread Daily Report - **Futures-Spot Spread**: F期现价差为 -63.92，较前一日变化 -1.80；H期现价差为 -23.98，较前一日变化 6.44；IC期现价差为 -25.52，较前一日变化 0.25；IM期现价差为 -189.99，较前一日变化 16.40 [1] - **Inter - Delivery Spread**: Various inter - delivery spreads for IF, IH, IC, and IM are presented with their latest values, changes from the previous day, 1 - year historical quantiles, and all - time historical quantiles [1] - **Cross - Variety Ratio**: Ratios such as 中证500/沪深300, IC/IF, etc. are provided with their latest values, changes, and quantiles [1] 2. Bond Futures Spread Report - **Basis**: TS基差为 2.4320，较前一交易日变化 0.0513；TF基差为 2.2269，较前一交易日变化 -0.0773；T基差为 2.3683，较前一交易日变化 0.2342；TL基差为 2.0962，较前一交易日变化 0.0965 [3] - **Inter - Delivery Spread**: Inter - delivery spreads for TS, TF, T, and TL are given with their values, changes, and historical quantiles [3] - **Cross - Variety Spread**: Spreads like TS - TF, TS - T, etc. are reported with their values and changes [3] 3. Precious Metals Spot - Futures Daily Report - **Precious Metals Prices**: London gold was at $3238.07/ounce on April 11, up 1.99% from the previous day; London silver was at $32.28, up 3.43%. COMEX gold主力合约 was at $3254.90 on April 11, and COMEX silver主力合约 was at $32.20 [7][9] - **Price Differences**: Gold TD - 沪金主力 was 0.45, up 4.90 from the previous value; Silver TD - 沪银主力 was 14, up 49 from the previous value [7] - **Inventory and Position**: Data on inventories (e.g., 上期所黄金库存, COMEX黄金库存) and positions (e.g., SPRD黄金ETF持仓, SLV白银ETF持仓) are provided with their changes [5] 4. Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Shanghai - Europe future 6 - week freight rates for different carriers like MAERSK马士基, CMA达飞, etc. are presented with their changes [10] - **Container Shipping Index**: SCFIS (European route), SCFIS (US West route), and Shanghai export container freight rates are reported with their changes [10] - **Futures Prices and Basis**: Futures prices of EC2602, EC2504, etc. and the basis (主力) are given with their changes [10] - **Fundamental Data**: Data on 运力供给, 红海绕航情况, 外贸相关指标, 海外经济, and OECD综合领先指标 are provided with their changes [10] 5. Trading Calendar - **Overseas Data/Information**: Includes economic indicators and events in the US such as semiconductor tariffs information, USDA export inspection, etc. [11] - **Domestic Data/Information**: Covers various economic indicators and events in China, including electricity consumption, trade balance, and inventory data for different commodities [11]