Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - This week, the high - sulfur crack spread fluctuated and declined, the near - month spread decreased, and EW oscillated at a low level. The 380 8 - 9 month spread dropped to $3.25, the basis oscillated at a low level, the FU09 domestic - foreign spread weakened significantly, and the domestic delivery volume was large, maintaining a loose pattern. [5] - The Singapore 0.5 crack spread declined slightly, the monthly spread oscillated, and the 8 - 9 month spread oscillated around $6. The LU domestic - foreign spread remained strong, with LU09 oscillating around $17. [5] - This week, there was an inventory build - up on land in Singapore. The window was under delivery pressure, and the near - month contract was under pressure. Recently, fuel oil exports from Iran and Iraq remained at a high level, Egypt's net imports reached a new high, the high - sulfur supply and demand was still in the peak season, and the domestic - foreign spread had dropped rapidly. The valuation of the low - sulfur on the external market was relatively high, and the LU domestic - foreign spread was running at a high level. One should pay attention to the domestic production situation. [6] 3. Data Summary Rotterdam Fuel Oil Swap Data | Type | Change | |--|--| | Rotterdam 3.5% HSF Swap M1 | +$9.14 | | Rotterdam 0.5% VLSFO Swap M1 | +$6.10 | | Rotterdam HSFO - Brent M1 | +$0.26 | | Rotterdam 10ppm Gasoil Swap M1 | -$6.08 | | Rotterdam VLSFO - Gasoil M1 | +$12.18 | | LGO - Brent M1 | -$2.02 | | Rotterdam VLSFO - HSFO M1 | -$3.04 | [3] Singapore Fuel Oil Swap Data | Type | Change | |--|--| | Singapore 380cst M1 | -$1.70 | | Singapore 180cst M1 | -$1.01 | | Singapore VLSFO M1 | -$4.70 | | Singapore Gasoil M1 | +$1.36 | | Singapore 380cst - Brent M1 | +$0.25 | | Singapore VLSFO - Gasoil M1 | -$14.77 | [3] Singapore Fuel Oil Spot Data | Type | Change | |--|--| | FOB 380cst | -$1.05 | | FOB VLSFO | -$5.58 | | 380 Basis | +$0.15 | | High - sulfur Domestic - foreign Spread | -$1.8 | | Low - sulfur Domestic - foreign Spread | +$0.7 | [4] Domestic FU Data | Type | Change | |--|--| | FU 01 | -9 | | FU 05 | -11 | | FU 09 | -19 | | FU 01 - 05 | +2 | | FU 05 - 09 | +8 | | FU 09 - 01 | -10 | [4] Domestic LU Data | Type | Change | |--|--| | LU 01 | -12 | | LU 05 | -8 | | LU 09 | -2 | | LU 01 - 05 | - | | LU 05 - 09 | -6 | | LU 09 - 01 | +10 | [5]

s 疯皮期货 华东标品基差 500 r 300 100 -10QV -300 -500 500 300 100 -100 -300 -500 2019 - 2022 - 2020 2019 -- 2022 - 2019 -- 2022 2021 - 2020 -- 2021 - 2020 -- 2021 2023 2024 2025 2023 - 2024 - 2025 - 2023 · 2024 · 2025 华东非标基差 山东非标基差(+80) 华南非标基差 500 700 - 700 г 300 500 500 100 300 300 100 -1007 100 -300 -100~ -100% -500 -300 -300 2019 2020 2021 2022 2019 - 2022 · 2020 - 2021 - 2021 - 2022 = 2019 · 2020 · 2023 2024 2023 2025 · 2024 - 2025 - 2023 2024 - 2025 BU09-12 BU06-09 BU03-06 500 - 500 - 500 300 - 300 300 100 100 1 ...

Group 1 - In March 2024, strong expectations for a Federal Reserve interest rate cut in June and favorable domestic policy expectations led to a rise in zinc prices, with the main contract reaching a two-year high of 25,365 yuan/ton [1] - By the second quarter of 2024, the trading logic shifted from interest rate cuts to concerns about secondary inflation in Europe and the U.S., causing further increases in zinc prices [1] - The volatility in zinc prices significantly increased operational risks for companies, making futures hedging essential [1] Group 2 - As of the end of March 2024, despite a rapid increase in zinc prices, downstream demand did not improve significantly, leading to a continuous accumulation of social inventory [2] - From July 2024, the spot premium in South China began to rise, peaking at 240 yuan/ton in mid-September before falling back to 15 yuan/ton [2] - The fluctuation of basis affects the effectiveness of futures hedging, making it crucial for companies to determine the basis accurately [2] Group 3 - In 2023, several overseas mines faced production halts, exacerbating the tight supply of zinc concentrate and leading to a decline in processing fees [3] - The supply issues for zinc concentrate worsened in 2024, resulting in a significant reduction in smelting profits and subsequent production cuts by smelters [3] Group 4 - A supply chain management company established in April 2023 focuses on zinc concentrate and zinc ingot procurement and sales, facing challenges due to price volatility [6] - The company engages in high-frequency trading to improve capital turnover and mitigate risks associated with price fluctuations [6] Group 5 - A futures company developed a hedging strategy for the supply chain company, prioritizing spot purchases and short futures when the basis is negative, and pre-selling spot and long futures when the basis is positive [7] - This strategy effectively hedges against single-sided risks in spot trading while capturing basis profits [7] Group 6 - On October 14, 2024, the supply chain company purchased 30 tons of spot zinc at an average price of 24,953 yuan/ton and sold futures at an average price of 25,250 yuan/ton, resulting in a total profit of 4,560 yuan [8] - On October 28, 2024, the company pre-sold 30 tons of zinc ingots at an average price of 24,860 yuan/ton and established long futures, achieving a total profit of 11,010 yuan [8] Group 7 - The case study illustrates that companies should not mechanically follow procurement and sales plans but should anticipate spot premiums or basis changes to enhance hedging effectiveness and increase trade profits [9]

Report Industry Investment Rating - Not provided in the documents Core Viewpoints - The reports present the latest data on various futures, including price differences, spreads, ratios, and related economic indicators, providing investors with information for market analysis and decision - making [1][2][4][7] Summary by Related Catalogs 1. Stock Index Futures Spread - **Price Differences**: The latest values of IF, IH, IC, and IM price differences range from - 23.24 to - 200.00, with changes from - 0.50 to 11.42 compared to the previous day, and historical percentiles from 5.30% to 32.70% [1] - **Inter - period Spreads**: For IF, IH, IC, and IM inter - period spreads, the latest values range from - 8.80 to - 329.80, with changes from - 5.00 to 3.20 compared to the previous day, and historical percentiles from 8.60% to 61.30% [1] - **Cross - variety Ratios**: The cross - variety ratios such as CSI 500/CSI 300, IC/IF, etc., have the latest values from 1.4485 to 2.1619, with changes from - 0.0167 to - 0.0016 compared to the previous day, and historical percentiles from 38.60% to 71.30% [1] 2. Treasury Bond Futures Spread - **Basis**: The latest basis values of TS, TF, T, and TL range from 0.0000 to 1.8885, with changes from - 0.0260 to 0.1426 compared to the previous day, and historical percentiles from 7.60% to 65.10% [2] - **Inter - period Spreads**: The inter - period spreads of TS, TF, T, and TL have the latest values from - 0.2340 to 0.2800, with changes from - 0.0400 to 0.0200 compared to the previous day, and historical percentiles from 8.00% to 19.80% [2] - **Cross - variety Spreads**: The cross - variety spreads such as TS - TF, TS - T, etc., have the latest values from - 18.6920 to - 0.0010, and historical percentiles from 1.30% to 2.10% [2] 3. Precious Metals Spot and Futures - **Spot Prices**: COMEX silver rose 0.68% to 37.04 dollars per ounce, London gold rose 0.33% to 3336.94 dollars per ounce, etc. [5] - **Futures Closing Prices**: COMEX gold fell 0.97% to 3336.00 dollars per ounce, AU2508 fell 0.54% to 777.06 yuan per gram, etc. [6] - **Basis**: Gold TD - Shanghai gold main contract was - 5.49, with a historical percentile of 0.80%, and silver TD - Shanghai silver main contract was - 34, with a historical percentile of 27.30% [4] - **Ratios**: COMEX gold/silver ratio was 90.06, down 1.64% [4] - **Interest Rates and Exchange Rates**: 10 - year US Treasury yield rose 1.2% to 4.35%, and the US dollar index fell 0.13% to 96.99 [4] - **Inventory and Positions**: Shanghai Futures Exchange gold inventory increased 16.25% to 21456 kilograms, and COMEX gold inventory decreased 0.71% to 36785583 ounces [4] 4. Container Shipping - **Spot Quotes**: Shanghai - Europe shipping quotes vary, with Maersk down 5.13% to 2978 dollars per FEU and CMA CGM up 11.40% to 4085 dollars per FEU [7] - **Container Shipping Indexes**: SCFIS (European route) rose 9.61% to 2123.24, and SCFIS (US West route) fell 22.28% to 1619.19 [7] - **Futures Prices and Basis**: EC2508 (main contract) fell 2.48% to 1849.9, and the basis (main contract) rose 33.21% to 822.2 [7] - **Fundamental Data**: Global container shipping capacity supply remained unchanged at 3266.65 million TEU, and Shanghai's port punctuality rate rose 46.45% to 42.50 [7] 5. Overseas and Domestic Data/Information - **Overseas Data**: Eurozone's comprehensive PMI rose 0.80% to 50.60, and the US manufacturing PMI index rose 1.03% to 49.00 [7][9] - **Domestic Data**: China's June foreign exchange reserves, iron ore shipments, and other data are to be released, and some data such as SMM electrolytic copper social inventory are expected to be updated [9]

1. Report Industry Investment Rating No industry investment rating information is provided in the reports. 2. Core Views The reports present a comprehensive analysis of various financial products including stock index futures, treasury bond futures, precious metals, shipping, and provide data on price differentials, spreads, ratios, interest rates, exchange rates, inventory, and positions, as well as upcoming economic data releases. 3. Summary by Category Stock Index Futures - **Price Differentials**: The latest values, changes from the previous day, and historical percentile data of various stock index futures price differentials are presented, such as the IF, IH, IC, and IM contracts' price differentials and cross - period spreads [1]. - **Cross - Variety Ratios**: Ratios of different stock index futures, like CSI 500/CSI 300, are provided along with their changes and historical percentiles [1]. Treasury Bond Futures - **Basis and IRR**: The basis and implied repo rate (IRR) data of TS, TF, T, and TL treasury bond futures are given, including their latest values, changes, and historical percentiles [2]. - **Cross - Period and Cross - Variety Spreads**: Cross - period spreads (e.g., current quarter - next quarter) and cross - variety spreads (e.g., TS - TF) are presented with relevant data [2]. Precious Metals - **Spot and Futures Prices**: Spot prices of London gold, London silver, and futures prices of COMEX gold, COMEX silver, and domestic precious metal contracts are provided, along with their changes and percentage changes [4][5][6]. - **Basis, Ratios, and Other Data**: Basis data (e.g., gold TD - Shanghai gold main contract), price ratios (e.g., COMEX gold/silver), interest rates, exchange rates, inventory, and positions are presented [4]. Shipping - **Spot Quotes**: Spot quotes for Shanghai - Europe shipping routes of different shipping companies are given, including their changes and percentage changes [7]. - **Shipping Indexes**: Settlement price indexes such as SCFIS (European route) and SCFI comprehensive index are presented, along with their changes and percentage changes [7]. - **Futures Prices and Basis**: Futures prices of shipping contracts (e.g., EC2602) and the basis of the main contract are provided, along with their changes and percentage changes [7]. - **Fundamental Data**: Data on global container shipping capacity supply, Shanghai port - related indicators, and overseas economic data are presented [7]. Data Calendar - **Overseas Data**: Upcoming economic data releases in the eurozone and the US, such as the eurozone July Sentix investor confidence index and USDA export inspection data, are listed [9]. - **Domestic Data**: Upcoming domestic economic data releases, including China's June foreign exchange reserves and various commodity - related data, are provided [9].

Group 1 - The oilseed market experienced fluctuations this week, influenced by policies, weather, and supply-demand factors, with a trend of rising and then falling prices [1] - The U.S. has passed a tax amendment that prohibits the use of non-North American raw materials for biofuel tax credits, which is expected to benefit local raw material consumption [1] - The upcoming U.S. Environmental Protection Agency hearing on bioenergy policies for 2026-2027 will significantly impact the oilseed market [1] Group 2 - The protein meal market is facing neutral pressure from old soybean inventories, while new crop acreage is shrinking, raising concerns about dry weather [1] - Domestic protein meal prices are under pressure, with strategies suggesting potential long positions in soybean meal [1] - The egg futures market showed a slight increase of 1.1% for the main contract, but demand is weakening, leading to a price correction [1] Group 3 - U.S. corn prices are under pressure due to increased acreage and high yield expectations, with a 7% decrease in corn inventories compared to last year [1] - Domestic corn prices are also declining, with a weak futures market and strong spot prices [1] - The pig market saw an increase in prices, with the average price reaching 15.5 yuan/kg, up 0.84 yuan/kg from the previous week [1]

Report Industry Investment Rating No relevant content provided. Core Views - The overall market of coking coal is expected to remain stable in the short - term. Although the raw coal inventory of coking and steel enterprises is low and there is some procurement, the decline in hot metal during the off - season of finished products affects market sentiment, and some enterprises are cautious in purchasing raw coal [2]. - The supply of coking coal is difficult to increase, and the hot metal output is rising, but the procurement of raw coal by coking and steel enterprises has slowed down, and steel prices are weak [4]. - The supply - demand pattern of coke is improving. With the improvement of the macro - atmosphere, the entry of some speculative traders, and the increase in procurement by steel mills, the inventory of coke in coking enterprises has decreased significantly, and the cost support has been strengthened. It is expected to remain stable in the short - term [5]. - The increase in hot metal output and blast furnace operating rate are positive factors for coke, while the compression of steel mill profit margins and the partial over - consumption of replenishment demand are negative factors [7]. Summary by Directory Daily Views of Coking Coal - Fundamental: Some coal mines stopped production due to accidents and relocation, and the rest were operating normally. With downstream replenishment, the market trading atmosphere improved, and the inventory in production areas decreased. However, coking enterprises were cautious in purchasing raw coal due to poor profits, and the market remained stable [2]. - Basis: The spot market price was 940, and the basis was 100.5, with the spot at a premium to the futures [2]. - Inventory: The total sample inventory was 1775.5 million tons, a decrease of 19.3 million tons from last week, including 774 million tons in steel mills, 312 million tons in ports, and 669.5 million tons in independent coking enterprises [2]. - Disk: The 20 - day line was upward, and the price was above the 20 - day line [2]. - Main position: The main position of coking coal was net short, and short positions increased [2]. - Expectation: The raw coal inventory in coking and steel enterprises was at a low level, and there was appropriate procurement. However, the decline in hot metal during the off - season of finished products affected market sentiment, and it was expected that the price of coking coal would remain stable in the short - term [2]. Factors Affecting Coking Coal - Positive: Rising hot metal output and difficult supply increase [4]. - Negative: Slowed procurement of raw coal by coking and steel enterprises and weak steel prices [4]. Daily Views of Coke - Fundamental: The price of coking coal strengthened, compressing the profits of coking enterprises. However, with the entry of some speculative traders and the appropriate replenishment by steel mills, the supply - demand pattern of coke improved [5]. - Basis: The spot market price was 1340, and the basis was - 93, with the spot at a discount to the futures [5]. - Inventory: The total sample inventory was 933.2 million tons, a decrease of 15.2 million tons from last week, including 642.8 million tons in steel mills, 203.1 million tons in ports, and 87.3 million tons in independent coking enterprises [5]. - Disk: The 20 - day line was upward, and the price was above the 20 - day line [5]. - Main position: The main position of coke was net short, and short positions decreased [5]. - Expectation: With the improvement of the macro - atmosphere, the entry of some speculative traders, and the increase in procurement by steel mills, the inventory of coke in coking enterprises decreased significantly, and the cost support was strengthened. It was expected to remain stable in the short - term [5]. Factors Affecting Coke - Positive: Rising hot metal output and synchronous increase in blast furnace operating rate [7]. - Negative: Compression of steel mill profit margins and partial over - consumption of replenishment demand [7]. Price - The price of port metallurgical coke on July 4 (17:30) showed different trends, with some prices decreasing by 10, some remaining unchanged, and the price of first - class metallurgical coke in Qingdao Port increasing by 12 [10]. Inventory - Port inventory: Coking coal port inventory was 312 million tons, a decrease of 1 million tons from last week; coke port inventory was 203.1 million tons, a decrease of 11.1 million tons from last week [18]. - Independent coking enterprise inventory: The coking coal inventory of independent coking enterprises was 669.5 million tons, a decrease of 21.4 million tons from last week; the coke inventory was 87.3 million tons, a decrease of 1.1 million tons from last week [21]. - Steel mill inventory: The coking coal inventory of steel mills was 774 million tons, an increase of 3.1 million tons from last week; the coke inventory was 642.8 million tons, a decrease of 3 million tons from last week [24]. Other Data - Coke oven capacity utilization rate: The capacity utilization rate of 230 independent coking enterprises nationwide was 74%, the same as last week [35]. - Average profit per ton of coke: The average profit per ton of coke of 30 independent coking plants nationwide was - 46 yuan, a decrease of 27 yuan from last week [39].

Report Summary 1) Report Industry Investment Rating No information provided. 2) Report Core Viewpoint No information provided. 3) Summary by Relevant Catalog Futures Contracts - The closing price of the BU main contract on July 4 was 3576, a daily change of -12 and a weekly change of 13 [4]. - The trading volume on July 4 was 173,087, a daily change of -15,451 and a weekly change of -146,096 [4]. - The open interest on July 4 was 472,725, a daily change of -1,882 and a weekly change of -24,713 [4]. Spot Market - The low - end price in the Shandong market on July 4 was 3570, with a daily change of 0 and a weekly change of -10 [4]. - The low - end price in the East China market on July 4 was 3670, with a daily change of 20 and a weekly change of 20 [4]. Basis and Calendar Spread - The Shandong basis on July 4 was -6, with a daily change of 12 and a weekly change of -23 [4]. - The East China basis on July 4 was 94, with a daily change of 32 and a weekly change of 7 [4]. Crack Spread and Profit - The asphalt Brent crack spread on July 4 was -31, with a daily change of 16 and a weekly change of -64 [4]. - The ordinary refinery comprehensive profit on July 4 was 508, with a daily change of 10 and a weekly change of -76 [4]. Related Prices - The price of Brent crude oil on July 4 was 68.8, with a daily change of -0.3 and a weekly change of 1.0 [4]. - The Shandong market price of gasoline on July 4 was 7852, with a daily change of -10 and a weekly change of -74 [4].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report comprehensively explores the fundamentals, trading strategies, and price characteristics of stock index futures in the Chinese market. It analyzes the development, trading mechanisms, and influencing factors of stock index futures, aiming to provide investors with a detailed understanding and practical strategies for investment and risk management [18][167][204]. - It emphasizes the importance of basis in stock index futures research, as it is a key indicator for many hedging and arbitrage strategies. The report also highlights the impact of factors such as market sentiment, dividends, and macro - economic indicators on the basis [89][138][109]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Preliminary Exploration - **Definition and Characteristics**: Stock index futures are standardized financial futures contracts with stock indices as underlying assets. They have features like standardized contract design, margin - leveraged trading, T + 0 trading, and daily mark - to - market settlement. They play functions such as hedging, speculation, and arbitrage [18][19]. - **Differences from Stock Indices**: Stock indices are used to measure market trends and cannot be directly traded, while stock index futures are tradable contracts with expiration dates, allowing for long and short positions. Their price fluctuations are affected by different factors [18]. - **Contract Design**: There are four listed stock index futures varieties in China. Each variety has four contracts with different expiration dates. The contract value is calculated by multiplying the contract price by the contract multiplier. The naming, switching, and characteristics of contracts are also introduced [27][37]. - **Market Development**: The development of China's stock index futures market has gone through stages of initial exploration, suspension, policy research, and gradual relaxation. The number of varieties has gradually increased, and market liquidity has gradually recovered [38][39][42]. - **Trading Groups**: The participants in the stock index futures market include hedgers, speculators, and arbitrageurs. Different types of institutional investors have different participation purposes and restrictions [52]. - **Seat Data**: Seat data in the stock index futures market reflects the behavior and confidence of investment entities. By analyzing seat characteristics, seats can be classified, which helps in understanding market trends [66][82]. 3.2 Stock Index Futures Basic Research - **Basis Overview**: Basis is defined as the difference between the stock index futures price and the index price. It has characteristics such as converging to zero as the expiration date approaches and showing mean - reversion. The annualized basis rate is used for comparison between different contracts [88][89]. - **Basis and Market Conditions**: The basis can act as a market sentiment indicator and has a leading relationship with the market. It can also show trend divergence from the index, providing insights into market trends [95][98]. - **Basis Distribution Characteristics**: Stock index futures are often in a state of contango, mainly due to hedging demand. The basis is related to factors such as macro - economic indicators (e.g., treasury bond yields), shows seasonality, and has a certain convergence speed [102][109][114]. - **Basis Modeling**: Building a basis prediction model requires identifying relevant factors, quantifying them with appropriate factors, and combining them through mathematical models. The influencing factors are divided into those from the spot market and the futures market [124]. - **Stock Index Futures and Index Dividends**: Index dividends affect the basis of stock index futures. The price index will decline with dividends, and the basis needs to be adjusted according to dividend expectations. Methods for calculating index dividend points and predicting ex - dividend dates are also provided [138][142][148]. 3.3 Stock Index Futures Trading Strategies - **Hedging Strategies**: Hedging aims to reduce investment risks by establishing opposite positions. The four elements of hedging are variety selection, contract selection, hand - number selection, and timing. Different methods can be used for each element to optimize the hedging effect and reduce costs [167][170][175]. - **Cash - and - Carry Arbitrage Strategies**: Cash - and - carry arbitrage takes advantage of the price difference between the spot and futures markets. When the futures are at a premium, a long - spot and short - futures strategy is used; when at a discount, the opposite is done. Setting appropriate opening thresholds can help balance risk and return [204]. - **Calendar Spread Arbitrage Strategies**: Calendar spread arbitrage exploits the price difference between contracts with different expiration dates. The influencing factors of the spread include market sentiment, basis, and trading behavior. When the market is expected to rise, a long - far - short - near strategy can be used; when it is expected to fall, a long - near - short - far strategy is appropriate [208][214].

| 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7月4日 | 全历史分位数 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 价差 | | | | | | | | | | | 5.00% | F期现价差 | -50.07 | 9.00% | -0.58 | -22.75 | H期间价差 | 3.00 | 11.40% | 5.70% | 期现价差 | | | | | | | IC期现价差 | 20.00% | -48.66 | -12.31 | 20.40% | IM期现价差 | -14.35 | -206.84 | 25.00% | 1.90% | 次月-当月 | -18.60 | -0.80 | 20.40% | 24.30% | | | 學月-当月 | -28.60 | ...