来源：格隆汇APP 格隆汇10月21日｜受美元走强和获利了结影响，黄金价格周二重挫逾4%。此前在美联储降息预期和持 续避险需求的推动下，金价于前一交易日创下历史新高。独立金属交易商Tai Wong表示："尽管昨日金 价下跌时仍有买盘介入，但过去一周高位波动率的急剧飙升释放警示信号，可能引发至少短期内的获利 了结。"Kitco Metals高级分析师Jim Wyckoff在报告中指出："本周初市场风险偏好改善，对避险贵金属 构成利空。"交易员目前正在等待因美国政府停摆而延迟至周五发布的美国9月CPI数据。 ...

投资咨询业务资格：证监许可【2011】1778 号 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明 本人具有中国期货业协会授 予的期货从业资格证书，期货投 资咨询资格证书，本人承诺以勤 勉的职业态度，独立、客观地出 具本报告。本报告清晰准确地反 映了本人的研究观点。本人不会 因本报告中的具体推荐意见或观 点而直接或间接接收到任何形式 的报酬。 有色金属 期货研究报告 专业研究·创造价值 2025 年 10 月 21 日 铜铝周报 风险偏好回升，有色企稳 核心观点 铜：铜价企稳回升，关注前高压力 上周铜价震荡企稳，振幅收窄。中美贸易摩擦导致市场风险偏好 下降，铜价承压下行。但周五夜盘市场风险偏好明显回升，铜价企稳 回升。这可能是由于中美视频通话导致市场风险偏好回升。宏观宽松 背景下，供应收缩推升铜价，而 COMEX 高库存压制铜价。据 SMM 报道 国内主要精铜杆企业周度（10 月 10 日-10 月 16 日）原料库存环比下 降 1.78%，精铜杆企业原料仅维持刚需采 ...

Group 1 - The recent escalation of US-China tensions has increased market uncertainty, leading to a decline in A-share indices, particularly in small-cap and innovation sectors [1] - The ChiNext and STAR Market indices experienced significant drops, while the dividend sector showed defensive characteristics with a slight increase in the China Dividend Index [1] - The banking, coal, food and beverage, and transportation sectors saw gains, while the automotive, media, and electronics sectors faced notable declines [1] Group 2 - China's import and export growth has accelerated for eight consecutive quarters, with a 54.9% increase in industrial robot exports and a 23.9% increase in wind turbine exports in the first three quarters [2] - Despite the impact of high tariffs from the US, trade with Belt and Road countries grew by 6.2%, and trade with ASEAN, Latin America, Africa, and Central Asia increased by 9.6%, 3.9%, 19.5%, and 16.7% respectively, highlighting the strength of Chinese manufacturing [2] - The domestic equity market showed a slight adjustment, but investor risk appetite remained stable, with a net increase of approximately 150 billion yuan in financing balances from Monday to Thursday [2] Group 3 - In the bond market, interest rate bond yields generally rose while credit bond yields fell, indicating a shift in market dynamics since mid-September [3] - The bond market adjustment began in late June, influenced by fluctuating risk preferences and expectations regarding "anti-involution" policies [3] - The analysis suggests a return to a neutral outlook for bond operations, with ongoing observation of risk sentiment changes and policy developments [3]

Group 1 - Domestic macroeconomic data and the third-quarter reports of listed companies are being disclosed, leading to a decrease in market risk appetite [1] - The National Bureau of Statistics is gradually releasing September macroeconomic data, indicating that the economy remains stable overall [1] - The third-quarter reports will provide more information about the real economy, causing investors to adopt a wait-and-see approach during this period [1] Group 2 - The market experienced fluctuations last week, with the Shanghai Composite Index falling below the 30-day moving average [1] - The Shenzhen Component Index saw a larger decline, indicating a phase of catch-up decline [1] - Market volume shrank compared to the previous week, with the main focus on high-dividend sectors such as banking and coal [1] Group 3 - Large-cap blue-chip stocks showed relative resilience, while small-cap and technology stocks experienced larger declines [1] - The Shanghai Composite Index has entered a horizontal consolidation phase since the end of August, facing resistance above and support below [1] - The previous adjustment low remains above the market high of 2021, indicating that the original resistance level has become an important support level [1] Group 4 - After the holiday, the market attempted to break upward but fell back into consolidation due to negative information, suggesting that more time is needed for digestion and consolidation [1]

- The report introduces a timing system model based on the distance between the 120-day long-term moving average and the 20-day short-term moving average of the WIND All A Index. The model's construction involves calculating the difference between the two moving averages, with the short-term average currently above the long-term average. The formula for the distance is expressed as: $ Distance = \frac{Short\ Term\ MA - Long\ Term\ MA}{Long\ Term\ MA} $ where Short Term MA represents the 20-day moving average and Long Term MA represents the 120-day moving average. The current distance is 12.26%, down from 12.89% last week, and remains significantly above the threshold of 3%[2][11][17] - The report evaluates the timing system model as effective in identifying market trends, noting that the recent shift from an upward trend to a volatile trend is captured by the model. The model's core observation focuses on changes in risk appetite during volatile periods[2][11][17] - The report highlights the "TWO BETA" model for industry allocation, which recommends focusing on technology sectors, including domestic computing power and the Hang Seng Internet sector. The model emphasizes policy-driven sectors such as photovoltaics and chemicals, alongside dividend assets[3][12][17] - The report suggests using a position management model to adjust stock allocation based on the WIND All A Index. The model recommends a 60% allocation for absolute return products, considering the index's PE at the 85th percentile and PB at the 50th percentile, indicating a medium valuation level[3][12][17] - The timing system model's backtesting results show that the current WIND All A Index trend line is at 6264 points, while the closing price is 6108 points, significantly below the trend line. The market's profitability effect indicator has turned negative for the first time in six months, signaling a potential end to the upward trend[2][11][17]

Investment Rating - The report indicates a negative performance for the oil and petrochemical sector, which underperformed the Shanghai Composite Index by -2.59% [9]. Core Insights - Oil prices have declined due to increased supply from the Middle East and geopolitical tensions, with WTI and Brent prices at $57.46 and $61.08 respectively, reflecting a decrease of -1.44 and -3.97 [3]. - The refining sector is experiencing a cautious market sentiment, with average refining margins for major refineries dropping to 547.82 yuan/ton, down by 71.31 yuan/ton [3]. - Polyester demand is expected to improve marginally with the onset of cooler temperatures and upcoming orders for Double Eleven, although raw material price trends remain uncertain [3]. - The ethylene market is showing weakness, with domestic prices at 6385 yuan/ton, down by 2.67% from the previous week [3]. Market Review - The oil and petrochemical sector has seen a decline in various indices, with the polyester index dropping by -7.72% and the olefin index by -4.48% [9]. - The average operating rate for major domestic refineries is reported at 81.23%, a decrease of 1.03 percentage points from the previous week [3]. - The report highlights a significant increase in commercial crude oil inventories, with a rise of 352.4 million barrels week-on-week [3]. Price Tracking - Brent crude oil is currently priced at $61.06 per barrel, reflecting a -10.43% change from the previous quarter's average [12]. - The average profit level for polyester filament yarn (POY150D) has increased to 176.46 yuan/ton, up by 60.27 yuan/ton from the previous week [3]. - The price of propylene in Shandong is reported at 6215 yuan/ton, down by 3.94% from the previous week [12].

1. Report's Investment Rating for the Industry - There is no information about the industry investment rating in the provided content. 2. Core Viewpoints of the Report - Last weekend, external relations fluctuated, with two - way sanctions escalating and then warming up. The A - share market opened sharply lower and then rebounded on Monday, followed by intensified two - way fluctuations. The trading volume of the entire A - share market shrank below 2 trillion for the first time since August. The margin balance remained firm with daily small net inflows, but over - heated sentiment could lead to a run - on style correction. Overseas banking risks resurfaced, causing a decline in risk appetite and impacts on the domestic market. Powell's dovish speech strengthened the market's expectation of a rate cut in October. Overall, the market risk preference continued to decline, broad - based indexes fell with shrinking volume, and the market style tilted towards large - cap value. [2] - This week, the basis continued to be highly volatile. As of Friday, the basis of each variety declined compared to last week. The premium of IH narrowed to about 0.6%, and the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, while the discount of IM was basically the same as last week. The October contract expired, and the term structure of the remaining contracts was flat with similar hedging costs. [2] - The model predicts that the basis of IH, IF, and IC will strengthen next week, while the basis of IM will weaken. [4] 3. Summary by Relevant Catalogs 3.1 Market Situation This Week - A - share market: Opened sharply lower and rebounded on Monday, with intensified two - way fluctuations later. The trading volume shrank below 2 trillion for the first time since August. The margin balance had daily small net inflows, and over - heated sentiment might cause a correction. [2] - Overseas market: Banking risks resurfaced, leading to a decline in risk appetite, a rise in gold prices above $4300, an increase in US Treasury yields, and a surge in VIX, which also affected the domestic market. [2] - Market style: Tilted towards large - cap value. The weekly decline of the Shanghai Composite 50 was only 0.24%, while the CSI 500 and CSI 1000 fell nearly 5%, and the ChiNext and STAR Market continued to decline by nearly 6%. [2] - Basis situation: Highly volatile. The premium of IH narrowed to about 0.6%, the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, and the discount of IM was basically unchanged. The October contract expired, and the term structure of the remaining contracts was flat with similar hedging costs. [2] 3.2 Basis Movement Prediction for Next Week - The model predicts that the basis of IH, IF, and IC will strengthen, while the basis of IM will weaken. [4]

Group 1: Report Industry Investment Ratings - No industry investment ratings provided in the report Group 2: Core Views of the Report - The Sino-US trade friction is in the stage of mutual exploration. Market risk appetite may be suppressed in the short term, but the friction is more about posturing before negotiations. The stock index is expected to fall first and then rebound, with an upward long - term trend and potentially larger short - term fluctuations [2] - The 10 - year Treasury bond has different performances. When the 10 - year Treasury bond interest rate rises above 1.8%, the allocation value recovers, and it may face resistance at 1.75% and 1.7%. Short - term Treasury bond futures are expected to continue to fluctuate within a range [2] - Safe - haven demand supports the strong performance of precious metals. Gold remains strong, and silver rises in tandem with gold [2] - The shipping index (European line) EC main contract shows downward movement, with short - term fluctuations [2] - The steel market shows signs of recovery in apparent demand, and inventory starts seasonal destocking, while profit margins are converging [2] - The supply - side disturbances in the iron ore market are weakening, and the market is weakening from a shock [2] - The coking coal market has a rebound in coal prices and increasing downstream replenishment demand, while the coke market has the first round of price increases before the festival and is temporarily stable [2] - The copper price is oscillating at a high level, and the alumina price is oscillating downward due to loose cost support [2] - The aluminum market has a narrow - range oscillation, and the inventory is destocking [2] - The crude oil price is under pressure due to Sino - US trade tensions and inventory accumulation [2] - The urea market has limited improvement in supply - demand balance due to falling daily production, and the market lacks strong drivers [2] - The PX and PTA markets have weak supply - demand expectations and limited oil price support, with low - level oscillations [2] - The short - fiber market has low inventory pressure and short - term support [2] - The bottle - chip market has a loose supply - demand pattern, but the processing margin has improved in the short term [2] - The ethanol market has port inventory accumulation and a weak far - month supply - demand structure, so it is weak in the short term [2] - The caustic soda and PVC markets have stable or rising prices and stronger basis quotes [2] - The benzene and styrene markets have weak supply - demand expectations and price pressure [2] - The synthetic rubber market has stable cost support but a loose supply - demand situation, with a short - term expected rebound [2] - The LLDPE and PP markets have weak supply - demand and price oscillations [2] - The agricultural product markets such as soybeans, corn, and cotton have different supply - demand situations and price trends [2] - The special commodity markets such as glass and rubber have different price trends and operational suggestions [2] - The new energy markets such as polysilicon and lithium carbonate have upward price trends and different operational suggestions [2] Group 3: Summaries by Related Catalogs Stock Index - The stock index is expected to fall first and then rebound, with an upward long - term trend. Short - term fluctuations may increase. Conservative investors can wait for the fluctuations to converge and then enter the market at low levels, mainly by selling put options at the support level [2] Treasury Bond - The short - term Treasury bond futures are expected to continue to fluctuate within a range. The T2512 contract may fluctuate between 107.4 - 108.3. It is recommended to wait for over - adjustment opportunities [2] Precious Metals - Gold remains strong due to safe - haven demand. Long positions can be held with stop - loss and take - profit measures, or out - of - the - money call options can be used instead. Silver follows gold's upward trend, and long positions above $53 should be held [2] Shipping Index (European Line) - The EC main contract has short - term fluctuating movements. It is recommended to buy below 1600, stay on the sidelines for single - side trading, and conduct reverse arbitrage at high prices for the month - spread [2] Steel - The steel market has recovered apparent demand and seasonal destocking. The profit margin is converging. Single - side trading should be on the sidelines, and the month - spread can be reverse - arbitraged at high prices [2] Iron Ore - The iron ore market is weakening from a shock. Single - side trading should be on the sidelines, with a reference range of 750 - 800. Arbitrage can be done by going long on coking coal and short on iron ore [2] Coking Coal and Coke - For coking coal, go long at low levels in the range of 1120 - 1250 and conduct arbitrage by going long on coking coal and short on coke. For coke, go long at low levels in the range of 1620 - 1770 and conduct the same arbitrage [2] Non - ferrous Metals - Copper is oscillating at a high level, with the main contract focusing on the 84000 - 85000 support. Alumina is oscillating downward, with a main operating range of 2750 - 2950. Aluminum is oscillating in a narrow range, with the main contract referring to 20700 - 21300 [2] Energy and Chemicals - Crude oil is under pressure due to trade tensions and inventory accumulation. It is recommended to go short on the single - side. Urea lacks strong drivers, and it is recommended to stay on the sidelines. PX and PTA have weak supply - demand expectations, and it is recommended to stay on the sidelines and look for short - selling opportunities on rebounds [2] Agricultural Products - Different agricultural products have different supply - demand situations and price trends. For example, soybeans are under pressure, and cotton has increasing supply pressure [2] Special Commodities - Glass has a strengthening market sentiment and a rebound. It is recommended to stop losses on short positions. Rubber should be monitored for raw material price increases during the peak - production period [2] New Energy - Polysilicon is rising in an oscillating manner, and long positions should be held. Lithium carbonate is strongly operating, with the main contract price referring to the 74000 - 76000 range [2]

Group 1 - The core viewpoint indicates that the market is expected to continue a fluctuating upward trend, with significant meetings focusing on the "14th Five-Year Plan" [1] - The A-share market is anticipated to enter a critical window period, which may enhance market risk appetite [1] - Liquidity is expected to maintain a positive trend, contributing to the overall market environment [1]

Report Summary 1. Market Data and Central Bank Operations - DRO01 closed at 1.31 with a -0.03 bp change, DR007 at 1.42 with a -1.44 bp change, GC001 at 1.54 with a 19.00 bp change, and GC007 at 1.50 with a 1.00 bp change [3]. - SHBOR 3M was at 1.58 with no change, LPR 5 - year at 3.50 with no change, 1 - year treasury at 1.40 with a 0.75 bp change, 5 - year treasury at 1.58 with a 0.50 bp change, 10 - year treasury at 1.76 with a 0.60 bp change, and 10 - year US treasury at 4.02 with a - 0.50 bp change [3]. - The central bank conducted 43.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% with a net injection of 43.5 billion yuan as there were no reverse repurchase maturities [3]. - This week, 1021 billion yuan of reverse repurchases will mature in the central bank's open market, with 612 billion yuan and 409 billion yuan maturing on Thursday and Friday respectively [4]. 2. Stock Index Performance - The CSI 300 rose 1.48% to 4606.3, SSE 50 rose 1.36% to 3001.3, CSI 500 rose 1.38% to 7294, and CSI 1000 rose 1.5% to 7483.4 [5]. - Industry sectors generally rose, with automotive, aviation, power grid equipment, and pharmaceutical sectors leading the gains, while shipping and small - metal sectors declined [5]. - The trading volume of the Shanghai and Shenzhen stock markets was 2.0729 trillion yuan, a significant decrease of 503.4 billion yuan or 17% from the previous day [5]. 3. Futures Contracts and Market Outlook - In the futures market, IF, IH, IC, and IM contracts all showed price increases, but their trading volumes and open interests decreased to varying degrees [5]. - In the short term, the stock index is expected to fluctuate, and attention should be paid to the impact of tariff policies and the Sino - US leaders' meeting at the APEC in South Korea at the end of this month [5]. - Small - and medium - cap stocks with high technology weights may face greater shocks, and risk - hedging tools such as CSI 1000 put options can be considered [5]. - The CSI 300 and SSE 50 indexes are expected to show stronger resilience, and in the long term, the upward trend of the stock index is expected to continue [5]. 4. Futures Contract Premium and Discount - IF's premium/discount rates for different contracts were 0.00%, 4.22%, 3.64%, and 2.61% respectively [5]. - IH's were 1.03%, 11.85%, 0.74%, and 0.23% [5]. - IC's were 13.23%, 39.54%, 11.84%, and 10.17% [5]. - IM's were 67.43%, 15.93%, 15.63%, and 13.23% [5].