Group 1: Investment Ratings - No investment ratings provided in the report Group 2: Core Views - Gold's price has corrected on the chart. In January, precious metals are expected to maintain high volatility due to uncertainties such as the impact of US economic data on Fed policies and geopolitical situations in South America. It is recommended to pay attention to volatility changes and for long - position investors to buy at low prices [1] - For silver, there may be a correction risk due to potential passive selling from the global commodity index rebalancing in the short term. In a high - volatility market, it is advisable to keep a light long - position and use options to lock in profits [1] - The trends of platinum and palladium may gradually stabilize. With the strong performance of the outer - market, the price center of platinum is gradually rising, and a low - buying strategy is recommended. Palladium's fundamentals are relatively weaker and it tends to follow the market. The platinum - palladium ratio is expected to rise further, and investors can choose the right time for hedging arbitrage [1] Group 3: Market Data Summaries Domestic Futures Closing Prices - AU2602 contract closed at 977.56 yuan/gram on December 31, down 0.74% from the previous day [1] - AG2602 contract closed at 17,074 yuan/kilogram on December 31, down 5.88% from the previous day [1] - PT2606 contract closed at 527.25 yuan/gram on December 31, down 10.61% from the previous day [1] - PD2606 contract closed at 425.20 yuan/gram on December 31, down 4.97% from the previous day [1] Foreign Futures Closing Prices - COMEX gold主力 contract closed at 4341.90 on January 2, up 0.23% from December 31 [1] - COMEX silver主力 contract closed at 72.27 on January 2, up 1.81% from December 31 [1] - NYMEX platinum主力 contract closed at 2161.80 dollars/ounce on January 2, up 4.43% from December 31 [1] - NYMEX palladium主力 contract closed at 1695.50 on January 2, up 2.08% from December 31 [1] Spot Prices - London gold was at 4332.51 on the current day, up 0.33% from the previous day [1] - London silver was at 72.82 on the current day, up 1.74% from the previous day [1] - Spot platinum was at 2132.00 dollars/ounce on the current day, down 4.22% from the previous day [1] - Spot palladium was at 1641.00 on the current day, down 1.14% from the previous day [1] - Shanghai Gold Exchange's gold T + D was at 974.39 yuan/gram on the current day, down 0.80% from the previous day [1] - Shanghai Gold Exchange's silver T + D was at 17,059 yuan/kilogram on the current day, down 5.85% from the previous day [1] - Shanghai Gold Exchange's platinum 9995 was at 512 yuan/gram on the current day, down 9.49% from the previous day [1] Basis - The basis of gold TD - Shanghai gold主力 was - 3.17, with a historical 1 - year quantile of 46.10% [1] - The basis of silver TD - Shanghai silver主力 was - 15, with a historical 1 - year quantile of 60.60% [1] - The basis of London gold - COMEX gold was - 0.39, with a historical 1 - year quantile of 77.40% [1] - The basis of London silver - COMEX silver was 0.56, with a historical 1 - year quantile of 97.00% [1] Ratios - COMEX gold/silver ratio was 60.08, down 1.56% from the previous day [1] - Shanghai Futures Exchange's gold/silver ratio was 57.25, up 5.46% from the previous day [1] - NYMEX platinum/silver ratio was 1.28, up 2.31% from the previous day [1] - Guangzhou Futures Exchange's platinum/palladium ratio was 1.24, down 5.94% from the previous day [1] Interest Rates and Exchange Rates - 10 - year US Treasury yield was 4.19%, up 0.2% from the previous day [1] - 2 - year US Treasury yield was 3.47%, unchanged from the previous day [1] - 10 - year TIPS Treasury yield was 1.94%, up 0.5% from the previous day [1] - US dollar index was 98.46, up 0.21% from the previous day [1] - Offshore RMB exchange rate was 6.9699, down 0.15% from the previous day [1] Inventory and Positions - Shanghai Futures Exchange's gold inventory was 97,704, unchanged from the previous day [1] - Shanghai Futures Exchange's silver inventory was 691,638 kilograms, down 8.48% from the previous day [1] - COMEX gold inventory was 36,402,970, up 0.41% from the previous day [1] - COMEX silver inventory was 449,773,368, up 0.08% from the previous day [1] - COMEX gold registered warehouse receipts were 19,361,515, unchanged from the previous day [1] - COMEX silver registered warehouse receipts were 127,264,198, down 0.70% from the previous day [1] - SPRD gold ETF position was 1065, down 0.51% from the previous day [1] - SLV silver ETF position was 16,444, unchanged from the previous day [1]

品 研 2026年1月5日 能化套利范式总结7 陈鑫超 投资咨询从业资格号：Z0020238 1) 终点支持:即顺着终点方向做优化,而非逆着终点方向做路径; 2) 路径大幅偏离下:若发生路径大幅偏离,对冲策略本身逐步转变成单品种矛盾,此时另一腿换成 其自身产业链品种会相对合理且安全; 3) 路径演绎上:波动率上仍然关注气体>液体>固体（即波动率大的品种往往会抢跑） 因而在 "做矮子里面拔将军"这件事情的时候要额外关注波动率带来的短期影响; 无论是跨期套利还是对冲套利形式,底层逻辑仍然有效,但由于资金来源多样化以及交易路径变化, 底层逻辑展现形式开始分化,跨期套利上,市场交易预期行情带来月间结构畸形以及熊市正套等进感维行 情，而跨品种对冲套利上由于能化商品逻辑趋于一致,不以终点为锚的路径交易反而事倍功半,而顺着终 点的路径优化策略仍然是当下最优解。 请务必阅读正文之后的免责条款部分 1 chenxinchao@gtht.com 所有商品板块中,能源化工作为以对冲为主要策略载体的板块一直以来是对冲策略的高地。由于成本 端犹动以及网状供需结构,能化板块套利逻辑的开发及总结已经成为市场参与该板块的主要形式。能化板 块 ...

Core Insights - The interview highlights the success of He Ran, who won the championship in the hedging arbitrage group of the national futures (options) trading competition, emphasizing the importance of adhering to one's trading strategy despite market fluctuations [1] Group 1: Trading Philosophy and Strategy - He Ran attributes his success to the principle of "sticking to one's strategy," which helped him navigate through significant profit drawdowns and periods without gains during the competition [1] - His trading approach focuses on swing trading and arbitrage, primarily utilizing cross-commodity arbitrage in stock index futures and hedging arbitrage in options, capitalizing on the considerable profit potential in a volatile market [1] Group 2: Risk Management and Emotional Control - He Ran has established clear trading principles, using K-line breakthroughs as critical references for opening positions, stop-loss, and take-profit decisions [2] - He emphasizes strict adherence to stop-loss rules, such as a maximum loss of 0.5% per trade and a daily drawdown limit of 3%, which he believes is essential for protecting capital [2] - He Ran acknowledges the impact of emotions like anxiety, greed, and fear on trading decisions and advises distancing oneself from the market during negative emotional states to avoid larger losses [2] Group 3: Future Outlook and Advice for New Traders - He Ran views his recent competition success as a new starting point, focusing on strategy optimization rather than short-term rankings, aiming for long-term stable profits [2] - He offers practical advice for novice traders, recommending starting with simulated trading to achieve stable profits before transitioning to real trading with small capital, while prioritizing capital protection [2]

1. Report Industry Investment Rating The report does not explicitly provide an overall industry - wide investment rating. However, it offers individual outlooks for each energy and chemical product, which can be summarized as follows based on the rating standard: - **Oscillating**: PX, PTA, short - fiber, polyester bottle - chips, methanol, urea, LLDPE, PP, PL, PVC, caustic soda [11][12][18][19][22][25][26][27][29] - **Oscillating Weakly**: crude oil, asphalt, high - sulfur fuel oil, low - sulfur fuel oil, pure benzene, styrene, ethylene glycol [6][7][9][10][13][14][16] 2. Core Viewpoints - The crude oil price is in a volatile pattern during the National Day holiday. OPEC+ continues to increase production, and geopolitical factors still cause disruptions. The rebound space of crude oil is limited due to the weakening crack spread of refined oil [1][2]. - The prices of basic chemical products changed little during the National Day holiday. The industrial chain lacks a clear trend due to the volatile crude oil and the low valuation of chemicals. Investors can try positive spreads for severely loss - making products [2]. - Different energy and chemical products have different market trends. For example, asphalt prices are under pressure due to the expected increase in production; high - sulfur and low - sulfur fuel oils follow the trend of crude oil; methanol shows a slight inventory build - up during the holiday and oscillates [2]. 3. Summary by Related Catalogs 3.1 Market News and Main Logic of Crude Oil - **Market News**: EIA raises the 2025 and 2026 US oil production forecasts. OPEC+ eight oil - producing countries will further increase production by 137,000 barrels per day in November. There are ongoing conflicts between Russia and Ukraine, and the Hamas reaches an agreement to end the Gaza war [6]. - **Main Logic**: During the holiday, oil prices first fell and then rose. OPEC+ continues to increase production, and the supply surplus pressure remains. The conflict between Palestine and Israel eases, and the geopolitical disturbances are mainly from the Russia - Ukraine conflict. The US commercial crude oil inventory and production increase, and the refinery operating rate rises. If geopolitical disturbances weaken, the oil price center may move down [7]. 3.2 Situation of Other Energy and Chemical Products - **Asphalt**: The expected increase in production puts pressure on asphalt futures prices. The geopolitical premium declines, and the supply tension eases. The asphalt price is over - valued compared to other products [9]. - **High - sulfur Fuel Oil**: The premium turns negative, and it follows the trend of crude oil. The demand has some improvement, but the major drivers are weakening [10]. - **Low - sulfur Fuel Oil**: It oscillates weakly following crude oil. It faces pressure at the 3500 level, and there are supply and demand challenges [10]. - **Methanol**: The inventory slightly accumulates during the holiday. The inland inventory pressure is limited, but the port inventory pressure is high. There may be short - term low - buying opportunities [22]. - **Urea**: The supply - demand pattern is loose. The impact of the Indian tender during the holiday is limited, and the short - term fundamentals are weak. The market may oscillate and wait for policy adjustments and the progress of autumn sowing [23]. - **PX**: The supply increases while the demand is weak, and the processing fee is under pressure. The inventory is expected to accumulate slightly in November and December [11]. - **PTA**: The cost side stabilizes, and attention should be paid to the implementation of downstream production cuts. The mid - term inventory accumulation is expected [12]. - **Ethylene Glycol**: The supply pressure is large during the National Day due to smooth device restarts. The port arrival volume increases, and the price is expected to oscillate weakly [16]. - **Short - fiber**: The cost guidance and self - supply - demand drive are limited. The inventory and profit remain within a certain range [18]. - **Polyester Bottle - chips**: Attention should be paid to whether factories strictly follow the production - cut plan after profit repair. The processing fee expansion space is limited [19]. - **Styrene**: The cost support gradually appears, but the high inventory of upstream and downstream is difficult to reduce. The profit is at a low level, and one can try to widen the profit [15]. - **LLDPE**: There are geopolitical disturbances during the holiday. The impact of oil prices on the opening of polyolefins is limited. The fundamental support is weak, and it is advisable to hold short positions [25]. - **PP**: OPEC+ increases production, and oil prices fluctuate widely during the holiday. The supply side has an incremental trend, and the inventory pressure exists. It oscillates in the short term [26]. - **PL**: Some devices stop during the holiday, and the market trading atmosphere is cautious. The volatility may increase [27]. - **PVC**: The fundamental pressure exists. The upstream production is expected to increase, and the downstream demand is stable. The cost change is expected to be small [29]. - **Caustic Soda**: The spot price is weak, and the futures price may continue to be weak. Attention should be paid to downstream stocking and upstream production changes [29]. 3.3 Variety Data Monitoring - **Inter - period Spread**: Different products have different inter - period spread values and changes, such as Brent M1 - M2 at 0.37 with a change of 0.07, and PX 1 - 5 months at - 40 with a change of - 8 [31]. - **Basis and Warehouse Receipts**: Each product has corresponding basis values, changes, and warehouse receipt quantities. For example, the basis of asphalt is 76 with a change of 42, and the warehouse receipt is 44,430 [32]. - **Inter - variety Spread**: There are different inter - variety spread values and changes, like 1 - month PP - 3MA at - 132 with a change of 42, and 1 - month TA - EG at 387 with a change of - 41 [34]. 3.4 Commodity Index - The comprehensive index of commodities is 2224.82, down 0.46%; the commodity 20 index is 2499.78, down 0.42%; the industrial products index is 2219.36, down 0.85% [276]. - The energy index on September 30, 2025, is 1199.36, with a daily decline of 2.25%, a 5 - day decline of 0.27%, a 1 - month decline of 1.59%, and a year - to - date decline of 2.33% [278].