- The report predicts the dividend points for the next year for the CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 83.74, 84.59, 66.18, and 63.72, respectively[9][10][11][12] - The dividend points for the current month contracts IC2512, IF2512, IH2512, and IM2512 are estimated at 0.69, 1.28, 0.54, and 0.67, respectively[9][10][11][12] - The dividend points for the next month contracts IC2601, IF2601, IH2601, and IM2601 are estimated at 0.69, 1.28, 0.54, and 0.67, respectively[9][10][11][12] - The dividend points for the current season contracts IC2603, IF2603, IH2603, and IM2603 are estimated at 0.69, 1.28, 0.54, and 0.67, respectively[9][10][11][12] - The dividend points for the next season contracts IC2606, IF2606, IH2606, and IM2606 are estimated at 50.04, 27.67, 14.96, and 41.08, respectively[9][10][11][12] - The annualized basis for the IC, IF, IH, and IM contracts after dividend adjustment are -9.03%, -3.52%, -1.52%, and -11.81%, respectively[4][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38][39][40][41][42][43][44][45] - The continuous hedging strategy for the CSI 500 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of -3.38%, volatility of 3.81%, maximum drawdown of -11.02%, and net value of 0.8911[46][47][48][49][50] - The minimum discount strategy for the CSI 500 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of -1.89%, volatility of 4.52%, maximum drawdown of -8.53%, and net value of 0.9378[46][47][48][49][50] - The continuous hedging strategy for the CSI 300 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of 0.37%, volatility of 2.90%, maximum drawdown of -3.95%, and net value of 1.0124[51][52][53][54][55] - The minimum discount strategy for the CSI 300 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of 1.10%, volatility of 3.02%, maximum drawdown of -4.06%, and net value of 1.0374[51][52][53][54][55] - The continuous hedging strategy for the SSE 50 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of 1.06%, volatility of 2.97%, maximum drawdown of -4.22%, and net value of 1.0360[56][57][58][59] - The minimum discount strategy for the SSE 50 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of 1.67%, volatility of 2.99%, maximum drawdown of -3.91%, and net value of 1.0573[56][57][58][59] - The continuous hedging strategy for the CSI 1000 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of -6.42%, volatility of 4.74%, maximum drawdown of -14.00%, and net value of 0.8327[60][61][62][63] - The minimum discount strategy for the CSI 1000 index futures from July 22, 2022, to December 5, 2025, shows an annualized return of -4.37%, volatility of 5.51%, maximum drawdown of -11.11%, and net value of 0.8700[60][61][62][63] - The Cinda-VIX indices for the 30-day period for SSE 50, CSI 300, CSI 500, and CSI 1000 are 15.95, 16.61, 23.09, and 20.50, respectively[64][65][66][67][68][69][70][71][72][73][74][75][76][77][78][79] - The Cinda-SKEW indices for SSE 50, CSI 300, CSI 500, and CSI 1000 are 104.35, 106.49, 101.91, and 106.75, respectively[74][75][76][77][78][79][80]

Group 1: Energy - The international oil price fell overnight, with the Brent 01 contract down 0.8%. The geopolitical risk premium of the Russia-Ukraine conflict was suppressed, and the oil price rebound due to geopolitical factors was limited. The market is expected to be weak and volatile [1] - Low-sulfur fuel oil is stronger than high-sulfur fuel oil. The low-sulfur market is supported by supply disruptions and strong diesel cracking, while the high-sulfur market is expected to face supply increases in the medium term [21] - The cost support for asphalt is weakening, and the demand is expected to decline seasonally. The market sentiment is bearish [22] - The expected import cost of liquefied petroleum gas (LPG) is rising in December. The demand from both the chemical and combustion sectors is improving, and the LPG market is expected to be strong [23] Group 2: Metals - Precious metals are oscillating at a high level. The employment data is mixed, and the Fed officials' statements are divided. The possibility of the Fed keeping interest rates unchanged in December is high. Attention should be paid to the directional breakthrough on the technical side [2] - Copper prices fell overnight due to a stronger dollar and weak demand. Short positions can be held with a stop-loss at 87,000 yuan [3] - Aluminum prices fluctuated narrowly. The Fed's interest rate cut prospects are uncertain, and the aluminum market may continue to adjust. Attention should be paid to the support of the middle Bollinger Band [4] - Zinc prices are expected to oscillate in the range of 22,200 - 23,000 yuan/ton. The inventory structure is gradually being repaired, and there is still profit potential for cross-market arbitrage [7] - Lead prices are supported by low inventory levels, but the external market is under pressure due to high inventory. The import window for aluminum ingots may open, and the upward momentum of aluminum prices is insufficient [8] - Nickel prices are weakening. The macro risk is increasing, and the support from the upstream price rebound is weakening. The inventory of nickel and stainless steel is increasing [9] - Tin prices are oscillating. The environmental rectification in Malaysia has limited impact on the market. The import of tin concentrate in China has improved slightly, but the resumption of supply from Myanmar is not strong. Short positions can be held with a stop-loss at 295,000 yuan [10] - Lithium carbonate prices are strengthening. The downstream demand is strong, and the inventory is decreasing. The technical analysis shows a range breakthrough, and a buy-on-dip strategy can be adopted [11] - Polycrystalline silicon prices are falling. The photovoltaic demand is weak, and the actual supply-demand improvement is limited. The price is expected to oscillate in the short term [12] - Industrial silicon prices are undergoing a technical correction. The downstream demand for polycrystalline silicon and organic silicon is expected to improve, which may boost the price [13] Group 3: Building Materials - Steel prices rebounded at night. The demand for rebar and hot-rolled coils is improving, but the supply pressure is gradually easing. Attention should be paid to the environmental protection restrictions in Tangshan [14] - Iron ore prices are oscillating. The supply is strong, and the demand is weak. The market is expected to be range-bound in the short term [15] - Coke and coking coal prices are expected to be weak and oscillating. The supply of carbon elements is abundant, and the downstream demand is stable, but the steel mills' profit is average, and the pressure on raw material prices is high [16][17] - Manganese silicon and silicon iron prices are falling. The market expects coal supply to increase, which may lower the cost. The demand is stable, but the supply is high, and the bottom support may weaken [18][19] Group 4: Chemicals - Urea prices are oscillating narrowly. The Indian tender results will affect the market sentiment. The agricultural demand is weakening, but the industrial demand is improving, and the inventory is decreasing [24] - Methanol prices are in a weak position. The overseas supply is high, and the demand is expected to decline. The market is expected to remain weak in the short term [25] - Pure benzene prices are rebounding, but the sustainability is uncertain. The supply pressure is easing, and the demand is expected to improve, but the export to the US faces challenges [26] - Styrene prices are supported by cost and supply reduction. The demand from the European market is strong [27] - Polypropylene, polyethylene, and propylene prices are expected to be weak. The supply is high, and the demand is low, and the supply-demand contradiction is increasing [28] - PVC and caustic soda prices are falling. The cost support is weakening, and the demand is insufficient. Attention should be paid to the cost changes and profit margins [29] - PX and PTA prices are oscillating. The supply from overseas may be affected, and the demand is weakening. The market is cautiously bullish [30] - Ethylene glycol prices are expected to be bearish. The supply is increasing, and the demand is weakening. A short strategy can be adopted [31] - Short fiber and bottle chip prices are under pressure. The demand is weakening, and the prices are expected to follow the raw material prices [32] Group 5: Agricultural Products - Soybean and soybean meal prices are oscillating. The US soybean planting area is expected to increase, and the impact of La Nina on South American soybean production needs to be monitored. A buy-on-dip strategy can be considered after the correction [36] - Soybean oil and palm oil prices are affected by the US biodiesel policy. The palm oil price may have bottomed out [37] - Rapeseed and rapeseed oil prices are under pressure. The import volume has decreased, and the demand is weak. A bearish strategy is recommended [38] - Corn prices are oscillating. The supply is increasing, and the demand is improving. The Dalian corn futures 01 contract may continue to decline [40] - Hog prices are at a low level. The futures market is trading on the potential supply pressure in the future. The pig price may form a double bottom in the first half of next year [41] - Egg prices are rebounding strongly. The spot price is stable. Attention should be paid to whether the previous price decline has ended [42] - Cotton prices are range-bound. The US cotton export sales are increasing, but the domestic demand is average. The Zhengzhou cotton futures are expected to be range-bound in the short term [43] - Sugar prices are oscillating. The international market supply is sufficient, and the domestic market is focusing on the new season's production estimate. The production in Guangxi is expected to be good [43] - Apple prices are oscillating at a high level. The short-term price is strong due to low inventory, but the long-term inventory pressure may exist. Attention should be paid to the inventory reduction [44] Group 6: Others - The container shipping index (European line) is expected to be stable in early December and may improve in late December. The 02 contract may be slightly discounted compared to the 12 contract, and the far-month contracts are expected to be low and oscillating [20] - Wood prices are oscillating. The low inventory supports the price, and a wait-and-see strategy is recommended [45] - Pulp prices are falling. The supply is abundant, and the demand is weak. The market is expected to remain weak in the short term [46] - Stock index futures are falling. The A-share market is volatile, and the external market is uncertain. A wait-and-see strategy is recommended, and attention can be paid to stable, consumer, and cyclical sectors [47] - Treasury bond futures are falling. The market is trading lightly, and the structure is differentiated. The change in market risk preference may bring new opportunities [48]

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is structured to capture volatility across different time horizons, providing insights into market sentiment and risk expectations. The methodology is based on adjustments to overseas practices and tailored to China's options market conditions[61][60][63] - The **Cinda-SKEW index** measures the skewness of implied volatility across different strike prices of options. It captures market concerns about tail risks, with higher values indicating increased demand for out-of-the-money put options due to fears of significant market downturns. As of November 14, 2025, the SKEW values for major indices are: 103.51 for SSE 50, 107.66 for CSI 300, 104.66 for CSI 500, and 107.22 for CSI 1000[68][67][66] - The report evaluates **basis-adjusted futures hedging strategies**, including continuous hedging and minimum basis strategies. These strategies involve holding spot indices and shorting futures contracts with specific rules for rebalancing and contract selection. The backtesting period spans from July 22, 2022, to November 14, 2025, with detailed performance metrics provided for indices like CSI 500, CSI 300, SSE 50, and CSI 1000[43][44][45] - **Performance metrics for hedging strategies** are detailed for each index. For CSI 500 futures, annualized returns range from -3.20% to -1.70%, with volatility between 3.83% and 4.75%. For CSI 300 futures, annualized returns range from 0.47% to 1.21%, with volatility between 2.92% and 3.27%. For SSE 50 futures, annualized returns range from 1.12% to 2.05%, with volatility between 3.00% and 3.40%. For CSI 1000 futures, annualized returns range from -6.26% to -4.21%, with volatility between 4.75% and 5.78%[47][52][56][58] - The **basis adjustment formula** is provided to account for dividend impacts on futures contracts. The formula is: $ Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Contract Days $ This adjustment ensures accurate analysis of futures basis by removing dividend effects[19][20][36]

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is based on methodologies from international practices and adjusted for the characteristics of China's options market. It includes a term structure to capture volatility expectations across different time horizons. As of October 17, 2025, the 30-day Cinda-VIX values for major indices are: 22.97 for SSE 50, 24.07 for CSI 300, 35.47 for CSI 500, and 30.70 for CSI 1000[61][62][63] - The report also discusses the **Cinda-SKEW index**, which measures the skewness of implied volatility across different strike prices of options. This index helps investors understand market expectations regarding the distribution of future returns and potential tail risks. Higher SKEW values indicate increased concerns about significant market downturns. As of October 17, 2025, the SKEW values for major indices are: 103.13 for SSE 50, 102.83 for CSI 300, 99.44 for CSI 500, and 99.76 for CSI 1000[68][72][74] - The report evaluates **four futures hedging strategies** based on CSI 500, CSI 300, SSE 50, and CSI 1000 indices. These strategies include "continuous monthly hedging," "continuous quarterly hedging," and "minimum discount hedging." The strategies are tested over the period from July 22, 2022, to October 17, 2025. Key metrics such as annualized return, volatility, maximum drawdown, net value, annual turnover, and year-to-date returns are analyzed for each strategy. For example, the minimum discount strategy for CSI 500 futures achieved an annualized return of -1.54%, a volatility of 4.60%, and a maximum drawdown of -7.97%[44][47][46] - The **annualized basis adjustment model** is introduced to account for the impact of dividend expectations on futures basis. The formula used is: $ Annualized\ Basis = (Actual\ Basis + (Expected\ Dividend\ Points))/Index\ Price \times 360/Days\ to\ Maturity $ This adjustment ensures that the basis reflects the dividend impact during the contract's lifetime[19][20][21] - The report provides **dividend point forecasts** for the next year for major indices: CSI 500 (81.96), CSI 300 (83.80), SSE 50 (68.34), and CSI 1000 (62.81). Additionally, the dividend points for specific contracts are estimated, such as 2.16 for IC2511, 3.95 for IF2511, 4.91 for IH2511, and 1.19 for IM2511[9][11][15][17] - The **performance of the hedging strategies** for each index is detailed. For example, the minimum discount strategy for CSI 300 futures achieved an annualized return of 1.23%, a volatility of 3.07%, and a maximum drawdown of -4.06%. For SSE 50 futures, the minimum discount strategy achieved an annualized return of 1.73%, a volatility of 3.05%, and a maximum drawdown of -3.91%. For CSI 1000 futures, the minimum discount strategy achieved an annualized return of -4.17%, a volatility of 5.55%, and a maximum drawdown of -11.11%[52][56][58]

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints - Since August, the bond market has experienced a significant correction. Some investors use derivatives for interest rate risk hedging, and Treasury bond futures are a suitable hedging tool [2]. - Hedging can mitigate the decline/ rise risk of bond portfolios. However, it faces challenges such as basis convergence during the contract tenure and price differences from contract roll - over. The effectiveness of a single hedging is usually within 1 - 2 months [3]. - Overall, hedging is difficult to achieve perfect results but is effective in most cases, especially for large - scale bond portfolios or those with illiquid old bonds. It can control the impact on principal within about 1bp in the short - term (1 - 2 months), and dynamic adjustment of the hedging ratio can further reduce losses [9]. 3. Summary by Related Contents 3.1 Reasons for Treasury Bond Futures Hedging - If investors expect interest rates to rise and hold cash bond positions, they can short Treasury bond futures in advance for selling hedging; conversely, it is buying hedging [2]. 3.2 Challenges in Hedging - Hedging faces the problem of basis convergence during the contract tenure. For selling hedging investors, there may be basis losses. Also, contract roll - over brings price differences, causing losses to selling hedging investors [3]. 3.3 Steps in Treasury Bond Futures Hedging - The three steps are: selecting the term contract, calculating the hedging ratio, and dynamically adjusting the hedging ratio. Usually, the most liquid main contract is selected. There are two mainstream methods for calculating the hedging ratio: the cheapest - to - deliver (CTD) method and the statistical model method. The CTD method includes the basis point value method and the modified duration method [3]. 3.4 Hedging Results of Selected Bonds - In early August, 3 bonds (250007, 250011, 240011) were selected for hedging. Using the basis point value method, 240011 achieved a hedging gain of 235,100 yuan, while 250011 had a loss of 12,000 yuan, accounting for 0.012% of the principal [8]. 3.5 Hedging Optimization - The hedging can be optimized by introducing the β coefficient or dynamic position adjustment. If investors are highly certain about the bond market decline, they can increase short positions in Treasury bond futures [9].

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to continuously hedge using futures contracts to minimize basis risk[44][45] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for eight trading days or until the remaining time to maturity is less than two days before selecting a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.83% (monthly), -2.06% (quarterly)[48] - Volatility: 3.87% (monthly), 4.77% (quarterly)[48] - Maximum Drawdown: -8.26% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9188 (monthly), 0.9405 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -3.58% (monthly), -1.35% (quarterly)[48] - **IF (CSI 300 Futures)**: - Annualized Return: 0.49% (monthly), 0.71% (quarterly)[51] - Volatility: 3.01% (monthly), 3.35% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0144 (monthly), 1.0211 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -0.89% (monthly), 0.12% (quarterly)[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.03% (monthly), 1.97% (quarterly)[54] - Volatility: 3.12% (monthly), 3.54% (quarterly)[54] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[54] - Net Value: 1.0307 (monthly), 1.0593 (quarterly)[54] - Annual Turnover: 12 (monthly), 4 (quarterly)[54] - 2025 YTD Return: -0.01% (monthly), 0.99% (quarterly)[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.04% (monthly), -4.45% (quarterly)[59] - Volatility: 4.74% (monthly), 5.79% (quarterly)[59] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8469 (monthly), 0.8805 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - 2025 YTD Return: -9.11% (monthly), -4.54% (quarterly)[59] 2. Minimum Basis Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.06%[48] - Volatility: 4.67%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9692[48] - Annual Turnover: 17.28[48] - 2025 YTD Return: -0.96%[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.31%[51] - Volatility: 3.14%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0392[51] - Annual Turnover: 15.25[51] - 2025 YTD Return: 0.56%[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[54] - Volatility: 3.14%[54] - Maximum Drawdown: -3.91%[54] - Net Value: 1.0516[54] - Annual Turnover: 15.93[54] - 2025 YTD Return: 1.04%[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.83%[59] - Volatility: 5.59%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.8949[59] - Annual Turnover: 15.91[59] - 2025 YTD Return: -3.89%[59] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture expectations over different time horizons[61] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market. The index reflects implied volatility from options pricing[61] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[61] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[69][70] - **Factor Construction Process**: Analyzes the slope of implied volatility curves to quantify the degree of skewness, with higher values indicating greater concern for tail risks[69][70] - **Factor Evaluation**: Useful for identifying market concerns about potential extreme downside risks[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.77[61] - CSI 300: 18.92[61] - CSI 500: 25.01[61] - CSI 1000: 23.34[61] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.27[70] - CSI 300: 99.19[70] - CSI 500: 102.27[70] - CSI 1000: 101.82[70]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core View of the Report The report aims to objectively reflect the research views of futures companies and securities companies on various commodity varieties, track hot - spot varieties, analyze market investment sentiment, and summarize investment driving logics. It is based on the publicly - released research reports of institutions in the current week, and the closing price data is from last Friday, with the weekly change calculated as the change in the closing price from the previous Friday [2]. 3. Summary by Relevant Catalogs 3.1行情数据 - **Commodities**: From June 23 to June 27, 2025, commodities such as coke, copper, and iron ore had price increases, with coke rising 2.67%, copper rising 2.47%, and iron ore rising 1.92%. Commodities like corn, gold, and palm oil had price decreases, with corn falling 1.04%, gold falling 1.56%, and palm oil falling 1.87%. Crude oil had a significant drop of 12.02% [3]. - **A - shares**: During the same period, the CSI 500 rose 3.98%, the SSE 50 rose 1.27%, and the CSI 300 rose 1.95% [3]. - **Overseas Stocks**: The Nikkei 225 rose 4.55%, the Nasdaq Index rose 4.25%, and the S&P 500 rose 3.44% [3]. - **Bonds**: The 5 - year Chinese Treasury bond rose 0.64%, the 10 - year Chinese Treasury bond rose 0.30%, and the 2 - year Chinese Treasury bond rose 0.19% [3]. - **Foreign Exchange**: The euro - US dollar exchange rate rose 1.69%, the US dollar index fell 1.52%, and the US dollar central parity rate fell 0.09% [3]. 3.2大宗商品观点汇总 3.2.1宏观金融板块 - **Stock Index Futures**: Among 8 institutions' views, 2 were bullish, 1 was bearish, and 5 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, a low risk - premium rate of the CSI 300, increased issuance of equity - oriented public funds, and sufficient bottom - supporting funds. Bearish factors included short - term difficulty in improving corporate fundamentals, the central bank's change in monetary policy stance, and over - heated market sentiment [4]. - **Treasury Bond Futures**: Among 7 institutions' views, 3 were bullish, 1 was bearish, and 3 were for a sideways market. Bullish factors included net liquidity injection by the central bank, weak credit and inflation data, and strong demand for bond allocation. Bearish factors included the central bank's change in monetary policy stance, the stock - bond seesaw effect, and rising long - term interest rates [4]. 3.2.2能源板块 - **Crude Oil**: Among 9 institutions' views, 3 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included falling US and Cushing crude oil inventories, reduced Russian exports, and geopolitical tensions. Bearish factors included the decline in geopolitical premiums, expected OPEC production increases, and weak terminal demand [5]. - **Eggs**: Among 8 institutions' views, 2 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included postponed peak - season stocking, approaching stocking season, potential egg - price increases, and reduced supply due to heat. Bearish factors included limited decline in laying - hen inventory, high chick - replenishment volume, high new - production capacity, and postponed downstream stocking [5]. 3.2.3有色板块 - **Copper**: Among 7 institutions' views, 5 were bullish, 0 were bearish, and 2 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, improved risk appetite, and falling global visible inventories. Bearish factors included the substitution effect of recycled copper, weakening downstream procurement, and weakening terminal demand [6]. - **Methanol**: Among 7 institutions' views, 0 were bullish, 1 was bearish, and 6 were for a sideways market. Bullish factors included limited port - available goods, expected low port inventories, and increased downstream demand. Bearish factors included expected increases in Iranian imports, port inventory accumulation, potential MTO device maintenance, and a loosening supply - demand pattern [6]. 3.2.4贵金属 - **Gold**: Among 7 institutions' views, 4 were bullish, 1 was bearish, and 2 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, a downward trend in real interest rates, and the strengthening of gold's safe - haven property. Bearish factors included reduced safe - haven demand, capital flowing to risky assets, and technical - level sell - offs [7]. 3.2.5黑色板块 - **Iron Ore**: Among 8 institutions' views, 2 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included increased molten - iron production, expected decline in overseas shipments, and improved macro sentiment. Bearish factors included rising port inventories, increased global shipments, weakening demand for five major steel products, and narrowing basis [7].

Quantitative Models and Construction Methods Model Name: Continuous Hedging Strategy - **Construction Idea**: The strategy is based on the analysis of basis convergence factors and optimization strategies[43] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[44] - **Spot End**: Hold the total return index of the corresponding underlying index[44] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[44] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[44] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[44] - **Evaluation**: The strategy is designed to optimize hedging by continuously adjusting positions based on basis convergence factors[43] Model Name: Minimum Basis Strategy - **Construction Idea**: The strategy selects the contract with the smallest annualized basis discount for hedging[45] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[45] - **Spot End**: Hold the total return index of the corresponding underlying index[45] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[45] - **Rebalancing Rules**: When rebalancing, calculate the annualized basis of all tradable futures contracts on the day and select the contract with the smallest annualized basis discount for opening a position. Hold the same contract for 8 trading days or until the remaining days to expiration are less than 2 days, then select a new contract (excluding futures contracts with less than 8 days to expiration). Even if the selection result is to hold the original contract unchanged, continue to hold for 8 trading days[45] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[45] - **Evaluation**: The strategy aims to minimize basis discount by selecting the optimal contract for hedging[45] Model Backtesting Results Continuous Hedging Strategy - **CSI 500 Index Futures**: - **Annualized Return**: -2.77% (monthly), -2.08% (quarterly), -0.98% (minimum basis)[47] - **Volatility**: 3.88% (monthly), 4.77% (quarterly), 4.69% (minimum basis)[47] - **Maximum Drawdown**: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[47] - **Net Value**: 0.9215 (monthly), 0.9405 (quarterly), 0.9718 (minimum basis)[47] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 17.53 (minimum basis)[47] - **2025 YTD Return**: -3.31% (monthly), -1.35% (quarterly), -0.69% (minimum basis)[47] - **CSI 300 Index Futures**: - **Annualized Return**: 0.58% (monthly), 0.77% (quarterly), 1.42% (minimum basis)[52] - **Volatility**: 3.02% (monthly), 3.37% (quarterly), 3.16% (minimum basis)[52] - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[52] - **Net Value**: 1.0171 (monthly), 1.0226 (quarterly), 1.0418 (minimum basis)[52] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.46 (minimum basis)[52] - **2025 YTD Return**: -0.63% (monthly), 0.27% (quarterly), 0.82% (minimum basis)[52] - **SSE 50 Index Futures**: - **Annualized Return**: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum basis)[56] - **Volatility**: 3.14% (monthly), 3.57% (quarterly), 3.16% (minimum basis)[56] - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[56] - **Net Value**: 1.0315 (monthly), 1.0605 (quarterly), 1.0521 (minimum basis)[56] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.81 (minimum basis)[56] - **2025 YTD Return**: 0.07% (monthly), 1.11% (quarterly), 1.09% (minimum basis)[56] - **CSI 1000 Index Futures**: - **Annualized Return**: -6.00% (monthly), -4.44% (quarterly), -3.79% (minimum basis)[58] - **Volatility**: 4.73% (monthly), 5.78% (quarterly), 5.60% (minimum basis)[58] - **Maximum Drawdown**: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - **Net Value**: 0.8523 (monthly), 0.8843 (quarterly), 0.9009 (minimum basis)[58] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 16.02 (minimum basis)[58] - **2025 YTD Return**: -8.76% (monthly), -4.36% (quarterly), -3.55% (minimum basis)[58] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - **Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset[61] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[61] - **Data**: As of June 27, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.47, 16.92, 23.84, and 21.35, respectively[61] - **Evaluation**: The index accurately reflects the volatility expectations of the market for different time horizons[61] Factor Name: Cinda-SKEW - **Construction Idea**: Measures the skewness of implied volatility across different strike prices[69] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[69] - **Data**: As of June 27, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 95.51, 97.95, 93.74, and 101.14, respectively[70] - **Evaluation**: The index provides valuable insights into market expectations of extreme events and tail risks[70] Factor Backtesting Results Cinda-VIX - **SSE 50**: 17.47[61] - **CSI 300**: 16.92[61] - **CSI 500**: 23.84[61] - **CSI 1000**: 21.35[61] Cinda-SKEW - **SSE 50**: 95.51[70] - **CSI 300**: 97.95[70] - **CSI 500**: 93.74[70] - **CSI 1000**: 101.14[70]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - Steel prices rebounded this week, but the loss of off - peak electricity remains large. Short - process steel production resumed, and long - process steel still maintained high molten iron output. Overall steel supply is high. - Steel apparent demand continued to decline seasonally. Domestic downstream demand lacks bright spots, and overseas steel exports have declined from their peak. The pressure on sheet metal is expected to increase. - Steel is still destocking, but the destocking speed has slowed down significantly, and rebar has started to accumulate inventory. - Although the Sino - US tariff situation has eased, steel export orders may decline after July. - The blast furnace output has reached its peak, but the profit is high, and steel mills have insufficient motivation to reduce production. The steel price trend is downward [4][7]. 3. Summary by Directory Chapter 1: Steel Market Summary and Outlook Summary - **Supply**: This week, the small - sample production of rebar decreased by 7.05 tons to 218.46 tons, while that of hot - rolled coil increased by 9.20 tons to 328.75 tons. The daily average molten iron output of 247 blast furnaces was 241.8 tons (- 0.11), and the capacity utilization rate of 49 independent electric arc furnace steel mills was 33.9% (+ 1.2). - **Demand**: The small - sample apparent demand for rebar was 229.03 tons (- 19.65), and that for hot - rolled coil was 320.92 tons (- 6.01). Domestic demand in various fields was mixed, and overseas steel exports declined from their peak. - **Inventory**: Rebar inventory decreased by 10.57 tons, hot - rolled coil inventory increased by 7.83 tons, and the total inventory decreased by 1.79 tons. - **Outlook**: Entering the off - season, the apparent demand is expected to continue to decline seasonally. The supply is high, and the steel price trend is downward [4]. Chapter 2: Price and Profit Review Summary - **Spot Prices**: On Friday, the rebar summary price in Shanghai was 3120 yuan (unchanged), and in Beijing was 3160 yuan (+ 10). The hot - rolled coil price in Shanghai was 3210 yuan (+ 10), and in Tianjin was 3130 yuan (- 20). - **Profit**: The cash - in - hand profit of long - process rebar in North China was - 24.10 yuan/ton, and the cost was 3164.10 yuan/ton. The flat - rate electricity cost of electric arc furnaces in East China was about 3371 yuan (converted to the futures market), with a profit of - 288.63 yuan/ton; the off - peak electricity cost was about 3206 yuan, with a profit of - 124 yuan/ton [13][4]. Chapter 3: Important Domestic and Overseas Macroeconomic Data Summary - **Domestic**: In May, China's official manufacturing PMI was 49.5%, up 0.5 percentage points from the previous month; the Caixin manufacturing PMI was 48.3. From January to April 2025, China's fixed - asset investment growth rate declined month - on - month. In April, new social financing was 1.16 trillion yuan, and new RMB loans were 280 billion yuan. - **Overseas**: In May, the US Markit manufacturing PMI was 52.3, and the eurozone manufacturing PMI was 49.4. The OECD lowered the US GDP growth forecast for 2025 to 1.6% and for 2026 to 1.5%. The US ADP employment increase in May was lower than expected [35][46]. Chapter 4: Steel Supply, Demand, and Inventory Situation Summary - **Supply**: The daily average molten iron output of 247 blast furnaces was 241.8 tons (- 0.11), and the capacity utilization rate of 49 independent electric arc furnace steel mills was 33.9% (+ 1.2). - **Demand**: The small - sample apparent demand for rebar and hot - rolled coil decreased. The construction material demand was lackluster, and the export of steel products declined. - **Inventory**: Rebar inventory decreased, while hot - rolled coil inventory increased [4][66][74].