Report Summary 1. Core View - Confirmation of off - season during peak season and the start of the release of the "reservoir" for the pig industry [1] 2. Fundamental Data - **Spot Prices**: Henan spot price is 12,430 yuan/ton, down 450 yuan; Sichuan spot price is 11,650 yuan/ton, unchanged; Guangdong spot price is 11,860 yuan/ton, down 200 yuan [2] - **Futures Prices**: The price of live - hog 2603 is 10,860 yuan/ton, down 135 yuan; live - hog 2605 is 11,625 yuan/ton, down 60 yuan; live - hog 2607 is 12,195 yuan/ton, down 50 yuan [2] - **Trading Volume and Open Interest**: For live - hog 2603, trading volume is 28,725 lots, down 8,149 lots, and open interest is 65,988 lots, down 8,876 lots; for live - hog 2605, trading volume is 48,568 lots, down 19,829 lots, and open interest is 143,321 lots, down 1,148 lots; for live - hog 2607, trading volume is 4,422 lots, down 3,540 lots, and open interest is 50,102 lots, down 154 lots [2] - **Price Spreads**: The basis of live - hog 2603 is 1,570 yuan/ton, down 315 yuan; the basis of live - hog 2605 is 805 yuan/ton, down 390 yuan; the basis of live - hog 2607 is 235 yuan/ton, down 400 yuan; the spread between live - hog 2603 and 2605 is - 765 yuan/ton, down 75 yuan; the spread between live - hog 2605 and 2607 is - 570 yuan/ton, down 10 yuan [2] 3. Market Information - Guangxi Yangxiang registered 100 lots of warehouse receipts for the March contract; Dekang registered 525 lots; Fuyuan registered 22 lots [3] 4. Trend Intensity - The trend intensity is - 2, indicating the most bearish view [4]

| 股指期货价差日报 | 投资咨询业务费格: 证监许可【2011】1292号 2026年2月5日 | Z0016628 | 叶倩宁 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 品种 | 全历史分位数 | 展新值 | 较前一日变化 | 历史1年分位数 | F期现价差 | -5.08 | 77.40% | 51.00% | 2.02 | | | | | | | | H期现价去 | 2.56 | 4.14 | 78.60% | 71.10% | 期现价差 | IC期现价差 | 14.54 | 19.24 | 98.30% | 96,70% | IM期现价差 | -3.72 | 77.53 | 80.00% | 79.40% | | 次月-当月 | -5.20 | -0.60 | 77.4096 | 48.80% | 零月-当月 | -33.80 | -1.20 | 48.30% | 32.60% | 远月-当月 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The overall supply of the meal market is under pressure, and the prices are generally declining. The international soybean market is in a relatively loose supply - demand situation, and prices may face pressure. The domestic spot supply of soybean meal has tightened, while the demand for rapeseed meal has weakened. The trading strategy suggests a bearish view for single - side trading, expanding the MRM spread for arbitrage, and selling a wide - straddle strategy for options [1][3][4][7][8] 3. Summary by Relevant Catalogs 3.1 Market Review - The US soybean market is oscillating. The US biodiesel policy has improved demand, but the impact is limited. South American market quotes are slightly down, and US soybean price decline supports the Brazilian quotes. The domestic soybean meal market is at a low level. Concerns about future arrivals have decreased, increasing the downward pressure. Rapeseed meal also shows downward pressure, with a larger decline than soybean meal. The soybean - rapeseed meal spread is expanding, and the near - month spreads of both are decreasing [3] 3.2 Fundamental Analysis International Market - US soybean carry - over stocks are raised to 350 million bushels, higher than the market forecast of 292 million bushels, mainly due to increased planting area. Quarterly grain inventory data is also bearish. Although US soybean exports have improved, the supply - demand situation is still loose. In South America, Brazilian new - crop soybeans are growing well, and exports are expected to increase. Brazilian old - crop soybeans have good export and crushing performance. Argentine old - crop soybean production is large, and the pressure on exports and crushing has eased [4] Domestic Market - The domestic spot supply of soybean meal has tightened. Oil mill operating rates are increasing but at a slower pace.提货量 has decreased slightly, and inventory is declining. Market transactions have increased significantly. As of January 30, the actual soybean crushing volume is 2.2961 million tons, the operating rate is 63.16%, soybean inventory is 6.355 million tons, a decrease of 3.56% from last week and an increase of 44.77% year - on - year. Soybean meal inventory is 930,400 tons, an increase of 3.54% from last week and 3.54% year - on - year. The demand for rapeseed meal is gradually weakening. Oil mill operating rates have increased, but rapeseed supply is low, and granular rapeseed meal inventory is still high, so there is supply pressure. As of January 30, coastal oil mill rapeseed inventory is 58,000 tons, a decrease of 2,000 tons from last week, and rapeseed meal inventory is 1,000 tons, an increase of 1,000 tons from last week [6] 3.3 Logic Analysis - The positive impact of the US biodiesel policy on soybean crushing is limited, and further upward momentum for US soybeans is weak. The recent rise in the US dollar index may not be sustainable. International market uncertainties mainly come from weather. In the domestic market, future soybean arrivals are expected to decrease, and the supply is uncertain. The spot market provides some support, but the upside for the futures market is limited. Rapeseed meal also faces downward pressure. As imports increase, the supply will improve. The demand for rapeseed meal may improve with the tightening of soybean meal supply, and the soybean - rapeseed meal spread will expand. The near - month spreads of both soybean meal and rapeseed meal are decreasing [7] 3.4 Trading Strategies - Single - side trading: Adopt a bearish view - Arbitrage: Expand the MRM spread - Options: Sell a wide - straddle strategy [8] 3.5 Soybean Pressing Profit - The pressing profit data from different sources (Argentina and Brazil) and different shipping dates are provided, showing the changes in pressing profit compared with the previous day [9]

光期研究 -50 0 50 100 150 200 09 10 10 10 11 11 12 12 01 01 02 02 03 03 04 04 05 2105-2109 2205-2209 2305-2309 2405-2409 2505-2509 2605-2609 光期黑色：铁矿石基差及价差监测日报 2026 年 2 月 4 日 1 光大证券 2020 年 半 年 度 业 绩 E V E R B R I G H T S E C U R I T I E S 1.1 合约价差 | 期货合约 | 今日收盘价 | 上日收盘价 | 变化 | 合约价差 | 今日价差 | 上日价差 | 变化 | | --- | --- | --- | --- | --- | --- | --- | --- | | I05 | 777.5 | 783.0 | -5.5 | I05-I09 | 17.5 | 17.0 | 0.5 | | I09 | 760.0 | 766.0 | -6.0 | I09-I01 | 11.0 | 12.5 | -1.5 | | I01 | 749.0 | 753.5 | -4.5 | I01-I05 | ...

| 股指期货价差日报 | 投资和咖业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年2月2日 | 品种 | 最新值 | 历史1年分位数 | 全历史分位数 | 较前一日变化 | | | | | | | | | | | | 4.66 | 92.60% | 77.50% | 上期间处差 | -25.47 | H期现价来 | 7.50 | -11.98 | 94.60% | 90.70% | 期现价差 | | | | | | | IC期现价差 | 90.10% | -8.12 | -7.88 | 71,60% | IM期现价差 | 5.74 | 18.79 | 90.00% | 91,20% | 次月-当月 | -8.40 | 92.6096 | 62.40% | 1.00 | | | 零月-当月 | -10.20 | -7.20 | ...

1. Report Industry Investment Ratings - No information about industry investment ratings is provided in the reports. 2. Core Views 2.1 Futures Index Spread - The report presents the latest values, historical quantiles, and changes compared to the previous day of various futures index spreads, including price spreads and cross - period spreads of IF, IH, IC, and IM, as well as cross - variety ratios [1]. 2.2 Treasury Bond Futures Spread - It shows the latest values, changes compared to the previous trading day, and historical quantiles of basis, cross - period spreads, and cross - variety spreads of different treasury bond futures (TS, TF, T, TL) [2]. 2.3 Precious Metals Spot and Futures - The market for precious metals is expected to maintain a strong and volatile trend. For gold, it is recommended to take profit on long positions at high prices and use call options instead of long positions. For silver, although there are factors suppressing and supporting the price, it is suggested to maintain a light - position long - buying strategy on dips. For platinum and palladium, the price center continues to rise, but the upward space may be limited, and a low - buying strategy is recommended [3]. 2.4 Container Shipping Industry Spot and Futures - The settlement price indices of container shipping routes have declined, while the futures prices of container shipping contracts have generally increased. The supply of container shipping capacity has slightly increased, and some foreign trade - related indicators and overseas economic indicators have shown certain changes [4]. 3. Summary by Directory 3.1 Futures Index Spread - **Price Spreads**: The latest values of IF, IH, IC, and IM price spreads are 14.81, 94.30, 20.84, and - 21.99 respectively, with high historical quantiles [1]. - **Cross - period Spreads**: The cross - period spreads of different contracts show various changes and historical quantiles, such as the cross - period spread between the next month and the current month of IF being 5.00, with a historical quantile of 98.30% [1]. - **Cross - variety Ratios**: The cross - variety ratios of different futures varieties also have corresponding latest values, changes, and historical quantiles, like the IC/IF ratio being 0.0101, with a historical quantile of 99.10% [1]. 3.2 Treasury Bond Futures Spread - **Basis**: The basis of TS, TF, T, and TL on January 28, 2026, are 1.3579, 1.1624, 1.0471, and 0.8136 respectively, with different historical quantiles [2]. - **Cross - period Spreads**: The cross - period spreads of different contracts of TF, T, and TL show various values and changes, for example, the cross - period spread between the current quarter and the next quarter of TF is - 0.0450, with a historical quantile of 21.40% [2]. - **Cross - variety Spreads**: The cross - variety spreads between different treasury bond futures, such as TS - TF, TS - T, etc., also have corresponding values and changes [2]. 3.3 Precious Metals Spot and Futures - **Domestic Futures Closing Prices**: On January 28, 2026, the closing prices of AU2604, AG2604, PT2606, and PD2606 contracts are 1186.20, 29219, 694.80, and 504.00 respectively, with different price changes and price change rates [3]. - **Foreign Futures Closing Prices**: The closing prices of COMEX gold, COMEX silver, NYMEX platinum, and NYMEX palladium on January 28, 2026, are 5411.00, 116.62, 2705.10, and 2095.50 respectively, with corresponding price changes and price change rates [3]. - **Spot Prices**: The spot prices of London gold, London silver, etc., also have price changes and price change rates, for example, the spot price of London gold on January 28, 2026, is 5413.81, with a price change of 233.58 and a price change rate of 4.51% [3]. - **Basis**: The basis of different precious metals shows different values and historical quantiles, such as the basis of gold TD - Shanghai gold main contract being - 2.16, with a historical quantile of 46.10% [3]. - **Ratios**: The ratios of different precious metals, such as COMEX gold/silver, have corresponding values and changes [3]. - **Interest Rates and Exchange Rates**: The 10 - year US Treasury bond yield, 2 - year US Treasury bond yield, etc., have different values and changes [3]. - **Inventory and Positions**: The inventories and positions of different precious metals, such as the inventory of Shanghai Futures Exchange gold and silver, have corresponding changes [3]. 3.4 Container Shipping Industry Spot and Futures - **Container Shipping Indices**: The settlement price indices of SCFIS (European route) and SCFIS (US West route) on January 26, 2026, are 1859.31 and 1294.32 respectively, with price decreases and price change rates of - 4.86% and - 0.84% respectively [4]. - **Shanghai Export Container Freight Rates**: The SCFI comprehensive index and the freight rates of different routes have declined, for example, the SCFI comprehensive index on January 23, 2026, is 1457.86, with a price decrease of - 116.3 and a price change rate of - 7.39% [4]. - **Futures Prices and Basis**: The futures prices of different container shipping contracts have generally increased, and the basis of the main contract has decreased, for example, the price of EC2604 (main contract) on January 28, 2026, is 1229.0, with a price increase of 35.1 and a price change rate of 2.94%, and the basis of the main contract is 630.3, with a price decrease of - 35.1 and a price change rate of - 5.27% [4]. - **Fundamental Data**: The global container shipping capacity supply has slightly increased, and some foreign trade - related indicators and overseas economic indicators have shown certain changes, such as the port on - time rate in Shanghai increasing by 4.53% [4].

1. Report Industry Investment Rating - The provided reports do not mention industry investment ratings. 2. Report Core Views 2.1 Futures Index Spread Report - Provides data on futures index spreads including price differences between current and futures prices, and across different contract months for various stock index futures such as IF, IH, IC, and IM on January 27, 2026, along with historical percentile data [1]. 2.2 Treasury Bond Futures Spread Report - Presents data on treasury bond futures spreads including basis, inter - period spreads, and cross - variety spreads for TS, TF, T, and TL on January 27, 2026, and their historical percentile rankings since listing [2]. 2.3 Precious Metals Spot - Futures Report - Short - term precious metals market is expected to maintain a strong and volatile trend. Gold is showing increased upward momentum above the 20 - day moving average, and long positions should be held. Silver is driven by factors like capital sentiment, with a strong but volatile short - term trend. Platinum and palladium prices are rising due to macro - financial factors and supply constraints, and a low - buying strategy is recommended [4]. 2.4 Container Shipping Industry Spot - Futures Report - On January 26, 2026, the container shipping index showed declines in some routes. Futures prices of related contracts increased, and the basis of the main contract decreased. Fundamental data indicates a slight increase in global container shipping capacity supply, and some overseas economic indicators showed different trends [6]. 3. Summary by Relevant Catalogs 3.1 Futures Index Spread Report - **Price Differences**: IF current - futures spread is 12.44, up 5.73 from the previous day; IH is 8.61, up 3.01; IC is 32.90% (with a decrease of 36.69); IM is 22.70% (with a decrease of 76.23). For cross - period spreads, differences vary among different contract months [1]. - **Percentiles**: Historical 1 - year and full - history percentiles are provided for each spread, showing the relative position of the current spread value in historical data [1]. 3.2 Treasury Bond Futures Spread Report - **Basis**: TS basis is 1.3290 on January 26, 2026, up 0.0141; TF is 1.3355, up 0.0144; T is 1.3663, up 0.0117; TL is 0.2730 [2]. - **Inter - period Spreads**: Different inter - period spreads (e.g., current - season to next - season, current - season to next - next - season) for each type of treasury bond futures are presented, along with their changes and historical percentiles [2]. - **Cross - variety Spreads**: Spreads between different types of treasury bond futures (e.g., TS - TF, TS - T, TF - T) are given, with their values, changes, and historical percentiles [2]. 3.3 Precious Metals Spot - Futures Report - **Domestic Futures**: On January 26, 2026, AU2604 rose 27.68 (2.48%); AG2604 rose 2242 (8.98%); PT2606 rose 58.80 (8.57%); PD2606 rose 36.85 (7.40%) [4]. - **Foreign Futures**: COMEX gold rose 21.70 (0.44%); COMEX silver rose 0.63 (0.61%); NYMEX platinum fell 197.60 (-7.13%); NYMEX palladium fell 54.50 (-2.66%) [4]. - **Spot Prices**: London gold rose 28.57 (0.57%); London silver rose 0.53 (0.52%); spot palladium and other spot prices also had different changes [4]. - **Basis**: Gold TD - Shanghai gold main contract basis is 0.94, up 6.23; silver TD - Shanghai silver main contract basis and other basis data are provided, along with historical 1 - year percentiles [4]. - **Ratio**: Ratios such as COMEX gold/silver, SHFE gold/silver, NYMEX platinum/palladium, and GFE platinum/palladium are presented, with their changes [4]. - **Interest Rates and Exchange Rates**: 10 - year US Treasury yield fell 0.02 (-0.5%); 2 - year US Treasury yield fell 0.04 (-1.1%); 10 - year TIPS Treasury yield fell 0.02 (-1.0%); US dollar index fell 0.45 (-0.47%); offshore RMB exchange rate rose 0.0006 (0.01%) [4]. - **Inventory and Positions**: Changes in inventory and positions of precious metals in domestic and foreign exchanges and ETFs are reported [4]. 3.4 Container Shipping Industry Spot - Futures Report - **Shipping Index**: SCFIS (European route) fell 94.9 (-4.86%); SCFIS (US - West route) fell 11.0 (-0.84%); SCFI composite index fell 116.3 (-7.39%); SCFI (European), SCFI (US - West), and SCFI (US - East) also declined [6]. - **Futures Prices and Basis**: Futures prices of contracts such as EC2602, EC2604 (main contract), etc., increased. The basis of the main contract decreased by 61.9 (-8.59%) [6]. - **Fundamental Data**: Global container shipping capacity supply increased by 1.74 (0.05%); Shanghai port on - time rate increased by 1.81 (4.53%); Shanghai port berthing increased by 9.00 (2.61%); monthly export amount increased by 275.84 (8.35%); some overseas economic indicators had different changes [6].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints 1. Index Futures Spread - The report provides the latest values, changes from the previous day, and historical percentile data of the current - futures spreads and inter - period spreads of various index futures such as IF, IH, IC, and IM, as well as cross - variety ratios. [1] 2. Treasury Bond Futures Spread - It presents the latest values, changes, and historical percentile data of the basis, inter - period spreads, and cross - variety spreads of different treasury bond futures including TS, TF, T, and TL. [2] 3. Precious Metals Spot - Futures - The short - term precious metals market is expected to maintain a strong and volatile trend. Gold is recommended to hold long positions and sell out - of - the - money put options. Silver has strong short - term trends but large market volatility, and risk control should be emphasized. Platinum and palladium prices are rising due to macro - financial factors and supply shortages, and it is advisable to sell out - of - the - money options on platinum and palladium futures to earn volatility reduction benefits. [7] 4. Container Shipping Industry Spot - Futures - The settlement price indices and Shanghai export container freight rates of the container shipping industry have generally declined. The futures prices of some contracts have small fluctuations, and the basis of the main contract has a slight decrease. The global container shipping capacity supply remains stable, and some foreign trade - related indicators and overseas economic data have different degrees of change. [8] Group 3: Summary by Related Catalogs 1. Index Futures Spread - **Current - Futures Spreads**: For example, the IF current - futures spread is 6.70 with a historical 1 - year percentile of 97.10%. The IH current - futures spread is 5.61, down 2.47 from the previous day, with a historical 1 - year percentile of 85.70%. [1] - **Inter - Period Spreads**: Such as the IF next - month - current - month spread is 5.20 with a historical percentile of 99.10%. [1] - **Cross - Variety Ratios**: The CSI 500/CSI 300 ratio is 1.8267, up 0.0511, with a historical 1 - year percentile of 99.50%. [1] 2. Treasury Bond Futures Spread - **Basis**: The TS basis is 1.4225, up 0.0013 from the previous day, with a historical percentile of 17.60%. [2] - **Inter - Period Spreads**: The TS current - season - next - season spread is - 0.0320, up 0.0040, with a historical percentile of 18.40%. [2] - **Cross - Variety Spreads**: The TS - TF spread is - 3.4620, down 0.0350, with a historical percentile of 10.60%. [2] 3. Precious Metals Spot - Futures - **Domestic Futures Closing Prices**: The AU2604 contract closed at 1115.64 yuan/gram on January 23, up 2.58% from the previous day. [7] - **Foreign Futures Closing Prices**: The COMEX gold主力 contract closed at 4983.10 dollars/ounce on January 23, up 0.91% from the previous day. [7] - **Spot Prices**: The London gold price is 4981.31 dollars/ounce, up 0.87% from the previous day. [7] - **Basis**: The gold TD - Shanghai gold主力 basis is - 5.29, down 1.63 from the previous day, with a historical 1 - year percentile of 46.10%. [7] - **Price Ratios**: The COMEX gold/silver ratio is 48.26, down 5.98% from the previous day. [7] - **Interest Rates and Exchange Rates**: The 10 - year US Treasury yield is 4.24%, down 0.5% from the previous day. [7] - **Inventory and Positions**: The Shanghai Futures Exchange gold inventory is 102009, unchanged from the previous day. [7] 4. Container Shipping Industry Spot - Futures - **Container Shipping Indices**: The SCFIS (European route) settlement price index on January 19 is 1954.19, down 0.11% from the previous period. [8] - **Shanghai Export Container Freight Rates**: The SCFI comprehensive index on January 23 is 1457.86, down 7.39% from the previous period. [8] - **Futures Prices and Basis**: The EC2602 contract closed at 1717.7 points on January 23, up 0.59% from the previous day. The basis of the main contract is 815.9, down 0.07% from the previous day. [8] - **Fundamental Data**: The global container shipping capacity supply on January 25 is 3372.94 million TEU, unchanged from the previous day. The port on - time rate in Shanghai in December is 41.81, up 4.53% from the previous month. [8]

1 光期研究 光期黑色：铁矿石基差及价差监测日报 2026 年 1 月 2 2 日 光大证券 2020 年 半 年 度 业 绩 E V E R B R I G H T S E C U R I T I E S 1.1 合约价差 | 期货合约 | 今日收盘价 | 上日收盘价 | 变化 | 合约价差 | 今日价差 | 上日价差 | 变化 | | --- | --- | --- | --- | --- | --- | --- | --- | | I05 | 784.0 | 789.5 | -5.5 | I05-I09 | 17.5 | 18.0 | -0.5 | | I09 | 766.5 | 771.5 | -5.0 | I09-I01 | 14.0 | 14.5 | -0.5 | | I01 | 752.5 | 757.0 | -4.5 | I01-I05 | -31.5 | -32.5 | 1.0 | 图表1：05-09合约价差（单位：元/吨） 图表2：09-01合约价差（单位：元/吨） 2.2 基差：图表 -50 0 50 100 150 200 09 10 10 10 11 11 12 12 01 01 0 ...

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月22日 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -0.27 | 10.01 | 90.10% | 63.30% | 6.42 | 88.50% | H期现价来 | 1.67 | 95.00% | 期现价差 | | | | | | | IC期现价差 | 29.89 | 30.89 | 99.50% | 99.30% | IM期现价差 | 48.25 | 17.09 | 95.00% | 99.50% | 次月-当月 | -1.40 | 0.60 | 89.7096 | 57.10% | | | 李月-当月 | 44.60% | -36.40 ...