| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Z0016628 | 叶信宁 | 205248月26日 | 品种 | 历史1年分位数 | 全历史分位数 | 价差 | 用新值 | 较前一日变化 | | | | | | | | | 86.40% | F期现价差 | 5.38 | -10.62 | 78.20% | H期现价差 | -11.24 | 2.15 | 67.2096 | 69.50% | 期现价差 | | | | | | | -42.30 | 27.00% | IC期现价差 | -29.85 | 36.0096 | IM期现价差 | -65.53 | 22.30% | -51.19 | 50.0096 | 50.70% | 次月-当月 | -3.00 | 3.20 | 59.0096 | | | 李月-当月 | -17. ...

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | Z0016628 | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 叶倩宁 | 2025年8月25日 | 全历史分位数 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 价差 | | | | | | | | | | 94.00% | 16.00 | 96,70% | F期现价差 | 21.87 | H期期价差 | 13,39 | 10,16 | 95.0096 | 08 30% | 前现价差 | | | | | | | IC期现价差 | 76.60% | 64.70% | -12.45 | 35.32 | IM湖砌价差 | -14.34 | -21.68 | 95.00% | 65.60% | 次月-当月 | 2.20 | 40.90% | 44.20% | -6.20 | | | 泰月-景月 | -19.20 | ...

Report Industry Investment Rating No relevant content provided. Core Views The reports present a comprehensive overview of various financial markets, including stock index futures, treasury bond futures, precious metals, container shipping, and provide schedules of economic data releases. Each section details the latest market data, price changes, and relevant indicators, offering insights for investors to assess market trends and potential investment opportunities. Summary by Directory Stock Index Futures Spread Daily Report - The F spot-futures spread is -1.40, with a change of 5.78 from the previous day, and a 1-year historical percentile of 58.30%. Other spreads such as H spot-futures spread, IC and IM inter - period spreads also show different values and changes [1]. - Cross - variety ratios like CSI 500/SSE 300, CSI 200/CSI 50, etc., have their own latest values, changes, and historical percentiles [1]. Treasury Bond Futures Spread Daily Report - For basis, the TS basis has an IRR of 1.2502, a latest value of 0.0243, and a change of - 0.0023 from the previous day, with a percentile of 11.20% since listing. Similar data is provided for TF, T, and TL basis [2]. - Inter - period spreads for TS, TF, T, and TL show different values and changes, as well as their respective historical percentiles [2]. - Cross - variety spreads such as TS - TF, TS - T, etc., also have corresponding values, changes, and historical percentiles [2]. Precious Metals Spot - Futures Daily Report - Domestic futures closing prices: The AU2510 contract closed at 772.68 yuan/gram, down 2.38 yuan (-0.31%) from the previous day; the AG2510 contract closed at 9042 yuan/kg, down 145 yuan (-1.58%) [6]. - Foreign futures closing prices: The COMEX gold main contract closed at 3392.20 US dollars/ounce, up 33.30 dollars (0.99%); the COMEX silver main contract closed at 37.90 US dollars/ounce, up 0.57 dollars (1.51%) [6]. - Spot prices: London gold was at 3347.34 US dollars/ounce, up 31.82 dollars (0.96%); London silver was at 37.86 US dollars/ounce, up 0.48 dollars (1.28%) [6]. - Basis, price ratios, interest rates, exchange rates, inventory, and position data are also provided [6]. Container Shipping Industry Spot - Futures Daily Report - Spot quotes: MAERSK's Shanghai - Europe freight rate was 2364 US dollars/FEU, up 6 dollars (0.25%); CMA CGM's was 2913 US dollars/FEU, up 34 dollars (1.18%), etc. [8]. - Shipping indices: The SCFIS (European route) settlement price index was 2180.17, down 55.3 (-2.47%); the SCFIS (US West route) was 1106.29, up 24.1 (2.23%) [8]. - Futures prices and basis: The EC2602 contract was at 1532.0, down 3.4 (-0.22%); the basis of the main contract was 700.2, down 43.0 (-5.79%) [8]. - Fundamental data: Global container shipping capacity supply remained unchanged at 3289.97 FTEU; Shanghai port on - time rate was 32.58, down 1.99 (-5.76%) [8]. Overseas and Domestic Data/Information Report - Overseas data includes economic indicators such as eurozone 8 - month manufacturing PMI, consumer confidence index, and US initial jobless claims, etc. [9]. - Domestic data includes steel production, inventory, and utilization rate, as well as various commodity data such as coal, coke, and lithium carbonate [10].

Group 1: Stock Index Futures Spread Daily Report Core View - Presents the price spreads of stock index futures on August 20, 2025, including period - current spreads, inter - period spreads, and cross - variety ratios, along with their changes from the previous day and historical quantile information [1] Summary by Category - **Period - Current Spreads**: The F period - current spread is - 7.17, the H period - current spread is 2.98, the IC period - current spread is - 55.31, and the IM period - current spread is - 65.45 [1] - **Inter - period Spreads**: Different combinations of inter - period spreads for F, IH, IC, and IM are provided, showing various numerical values and changes [1] - **Cross - variety Ratios**: Ratios such as CSI 500/SSE 50, CSI 1000/CSI 300, and IC/IF are presented, with their current values, changes, and historical quantiles [1] Group 2: Bond Futures Basis and Spread Report Core View - Provides the basis, inter - period spreads, and cross - variety spreads of bond futures on August 19, 2025, along with their changes from the previous day and historical quantile information [2] Summary by Category - **Basis**: The TS basis is 1.2318, the TF basis is 1.1138, the T basis is 1.0701, and the TL basis is 1.1098 [2] - **Inter - period Spreads**: Different combinations of inter - period spreads for TS, TF, T, and TL are provided, showing various numerical values and changes [2] - **Cross - variety Spreads**: Spreads such as TS - TF, TS - T, and TF - TL are presented, with their current values, changes, and historical quantiles [2] Group 3: Precious Metals Spot - Futures Daily Report Core View - Presents the prices of domestic and foreign precious metals futures, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions on August 19, 2025, along with their changes from the previous day [4] Summary by Category - **Futures and Spot Prices**: Domestic and foreign gold and silver futures and spot prices show different degrees of decline [4] - **Basis**: The basis of different combinations of precious metals shows various numerical values and changes, with historical quantiles provided [4] - **Ratios**: Ratios such as COMEX gold/silver and SHFE gold/silver are presented, with their current values, changes, and percentage changes [4] - **Interest Rates and Exchange Rates**: The 10 - year US Treasury yield, 2 - year US Treasury yield, 10 - year TIPS Treasury yield, US dollar index, and offshore RMB exchange rate show different degrees of change [4] - **Inventory and Positions**: The inventory of precious metals on SHFE and COMEX and the positions of ETFs show different degrees of change [4] Group 4: Container Shipping Industry Spot - Futures Daily Report Core View - Presents the spot quotes, container shipping indexes, futures prices, basis, fundamental data of the container shipping industry on August 19, 2025, and relevant data for previous months, along with their changes and percentage changes [6] Summary by Category - **Spot Quotes**: The spot quotes of Shanghai - Europe shipping routes of different shipping companies show different degrees of rise and fall [6] - **Container Shipping Indexes**: The settlement price indexes of SCFIS and the Shanghai Export Container Freight Index show different degrees of rise and fall [6] - **Futures Prices and Basis**: The futures prices of different contracts of EC show different degrees of rise and fall, and the basis of the main contract declines [6] - **Fundamental Data**: The global container shipping capacity supply remains unchanged, and indicators such as port on - time rate, port call situation, monthly export amount, and overseas economic data show different degrees of change [6] Group 5: Overseas and Domestic Data/Information Report Core View - Lists the economic indicators and financial events of overseas and domestic markets on different dates and times, along with their data sources [8] Summary by Category - **Overseas Data/Information**: Includes the eurozone's CPI data and the US's API and EIA crude oil inventory data [8] - **Domestic Data/Information**: Covers the production and sales of double - coking coal, China's one - year loan prime rate, China's port commercial crude oil inventory, and other data [8]

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided reports. 2. Core Views - The reports mainly present the daily data of different futures, including price differences, closing prices, spot prices, and related economic indicators, aiming to help investors understand the market trends and price fluctuations of various futures [1][2][3][4][5]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Spread Daily Report - **Price Differences**: The report provides the latest values, changes from the previous day, historical 1 - year percentiles, and all - time percentiles of stock index futures' term - to - spot spreads and inter - term spreads for different varieties such as IF, IH, IC, and IM [1]. - **Calculation Methods**: It explains the calculation methods of term - to - spot spreads, inter - term spreads, and cross - variety ratios [1]. 3.2 Treasury Bond Futures Spread Daily Report - **Price Differences**: Presents the latest values, changes from the previous trading day, and percentiles since listing of the basis, inter - term spreads, and cross - variety spreads of different treasury bond futures varieties (TS, TF, T, TL) [2]. - **Calculation Notes**: Provides notes on the calculation of basis, percentiles, and spreads [2]. 3.3 Precious Metals Spot - Futures Daily Report - **Prices**: Shows the closing prices of domestic and foreign futures, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions of precious metals (gold and silver) on different dates, along with their price changes and percentage changes [3]. 3.4 Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Lists the spot quotes of shipping companies on the Shanghai - Europe route and their price changes and percentage changes [4]. - **Indices**: Provides the settlement price indices of shipping routes and Shanghai export container freight rates, along with their price changes and percentage changes [4]. - **Futures and Basis**: Presents the futures prices, price changes, and basis of container shipping futures contracts [4]. - **Fundamentals**: Includes data on shipping capacity supply, port - related indicators, export amounts, and overseas economic indicators, along with their changes and percentage changes [4]. 3.5 Trading Calendar - **Data Sources**: Specifies the time, data sources, and economic indicators or financial events of overseas and domestic data and information [5]. 3.6 Fund Flow and Key Seats' Position Changes Daily Report - The content of this report is incomplete and cannot be effectively summarized.

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the reports. 2. Core Views The reports present daily data on various futures, including stock index futures, treasury bond futures, precious metal futures, and container shipping futures, along with related indicators such as spreads, basis, and price ratios, to help investors understand market trends and price relationships. 3. Summary by Relevant Catalogs Stock Index Futures Spread Daily Report - **Price Spreads**: Provides current values, changes from the previous day, 1 - year and all - time historical quantiles for various stock index futures spreads, including IF, IH, IC, and IM, covering both spot - futures spreads and inter - delivery spreads [1]. - **Cross - Variety Ratios**: Presents ratios and their changes for different cross - variety combinations, such as CSI 500/CSI 300, IC/IF, etc., along with their historical quantiles [1]. Treasury Bond Futures Spread Daily Report - **Basis**: Shows the basis, its change, and the percentile since listing for different treasury bond futures (TS, TF, T, TL), as well as the internal rate of return (IRR) for TS [2]. - **Inter - Delivery Spreads**: Reports the inter - delivery spreads and their changes and historical percentiles for different treasury bond futures contracts [2]. - **Cross - Variety Spreads**: Provides cross - variety spreads and their changes for different combinations of treasury bond futures [2]. Precious Metal Spot - Futures Daily Report - **Prices**: Presents domestic and foreign futures closing prices, spot prices, and their changes and percentage changes for gold and silver [4]. - **Basis**: Reports the basis, its change, and historical 1 - year quantiles for different combinations of precious metal spot and futures [4]. - **Price Ratios**: Shows price ratios and their changes for different precious metal combinations [4]. - **Interest Rates and Exchange Rates**: Provides data on 10 - year and 2 - year US Treasury yields, 10 - year TIPS Treasury yields, the US dollar index, and the offshore RMB exchange rate, along with their changes [4]. - **Inventory and Holdings**: Reports inventory and holding data and their changes for precious metals in different markets [4]. Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Presents spot quotes and their changes for different shipping companies on the Shanghai - Europe route [6]. - **Container Shipping Indexes**: Provides settlement price indexes and their changes for different container shipping routes, as well as Shanghai export container freight rates and their changes [6]. - **Futures Prices and Basis**: Reports futures prices, their changes, and basis data for container shipping futures contracts [6]. - **Fundamental Data**: Includes data on global container shipping capacity supply, port - related indicators, monthly export amounts, and overseas economic indicators, along with their changes [6]. Overseas and Domestic Data/Information Report - **Overseas Data**: Lists economic indicators and financial events in the eurozone and the US, including economic sentiment indexes, inflation rates, and small - business confidence indexes [9]. - **Domestic Data**: Presents economic indicators and events in different domestic sectors, such as port inventories, to - port forecasts, and production - sales ratios [9].

1. Report Industry Investment Rating - No information about the industry investment rating is provided in the reports. 2. Core Views - The reports mainly present the latest values, changes compared to the previous day, historical percentile rankings of various futures spreads, prices, and related economic indicators across different sectors including stock index futures, treasury bond futures, precious metals, container shipping, and provide a trading calendar with relevant data and information sources [1][2][6][8][9]. 3. Summary by Related Catalogs Stock Index Futures - **Price Spreads**: IC, IM, IF, and IH have different current - spot price spreads and inter - period price spreads. For example, the IC current - spot price spread is - 96.50, up 14.64 from the previous day, with a 1 - year historical percentile of 20% and an all - time percentile of 3.3096 [1]. - **Cross - Variety Ratios**: Ratios such as CSI 500/CSI 300, CSI 500/SSE 50, and IC/IF are presented, along with their changes and historical percentile rankings. For instance, the CSI 500/CSI 300 ratio is 1.5405, up 0.0002 from the previous day, with a 1 - year historical percentile of 99.10% and an all - time percentile of 58.70% [1]. Treasury Bond Futures - **Basis and IRR**: Different types of treasury bond futures (TS, TF, T, TL) have their respective basis values, Internal Rate of Return (IRR), and changes compared to the previous day, as well as historical percentile rankings since listing. For example, the TS basis is 1.2966, up 0.0153 from the previous day, with a historical percentile of 12.40% [2]. - **Inter - period and Cross - Variety Spreads**: There are inter - period spreads and cross - variety spreads for different treasury bond futures, along with their changes and historical percentile rankings [2]. Precious Metals - **Futures and Spot Prices**: Domestic and foreign futures closing prices, spot prices of precious metals (gold and silver) are provided, along with their price changes and percentage changes. For example, the AU2510 contract closed at 787.80 yuan/gram on August 8, up 2.78 yuan or 0.35% from the previous day [6]. - **Basis and Ratios**: Basis values between spot and futures, and price ratios between different precious metals are presented, along with their changes and historical percentile rankings [6]. - **Interest Rates, Exchange Rates, Inventory, and Positions**: Information on interest rates (such as 10 - year US Treasury bond yield), exchange rates (such as the US dollar index), inventory (such as Shanghai Futures Exchange gold inventory), and positions (such as SPDR Gold ETF holdings) is provided, along with their changes and percentage changes [6]. Container Shipping - **Spot Quotes**: Spot freight rates from Shanghai to Europe for different shipping companies (MAERSK, CMA CGM, etc.) are given, along with their price changes and percentage changes. For example, MAERSK's Shanghai - Europe freight rate was 2878 US dollars/FEU on August 11, up 88 US dollars or 3.19% from the previous day [8]. - **Shipping Indexes**: Settlement price indexes of container shipping (SCFIS, SCFI) for different routes (European, US West, US East) are presented, along with their price changes and percentage changes [8]. - **Futures Prices and Basis**: Futures prices of container shipping contracts (EC2602, EC2510, etc.) and the basis of the main contract are provided, along with their price changes and percentage changes [8]. - **Fundamental Data**: Data on container shipping capacity supply, port - related indicators (port on - time rate, port calls), foreign trade indicators (monthly export amount), and overseas economic indicators (eurozone PMI, US manufacturing PMI) are given, along with their changes and percentage changes [8]. Trading Calendar - **Overseas Data/Information**: Economic indicators and financial events from overseas, such as the MPOB palm oil monthly report, Brazilian secex weekly report, and USDA export inspection and crop growth data in the US, are listed [9]. - **Domestic Data/Information**: Economic indicators and financial events in China, including global manganese ore shipping volume, iron ore shipping and arrival data, and SMM electrolytic copper social inventory, are provided [9].

Report Summary 1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the reports. 2. Core Views The reports present a comprehensive analysis of various futures markets, including stock index futures, treasury bond futures, precious metal futures, and container shipping futures. They provide detailed data on price differences, ratios, and related market indicators, helping investors understand market trends and potential investment opportunities. 3. Summary by Relevant Catalogs Stock Index Futures - **Price Differences**: The reports provide detailed data on the price differences of various stock index futures, including IF, IH, IC, and IM. For example, the IF term - spot price difference is -3.33, with a historical 1 - year percentile of 34.10% and a full - historical percentile of 34.80% [1]. - **Cross - period Price Differences**: Different cross - period price differences are presented, such as the difference between the next - month and current - month contracts, and the difference between the quarterly - month and current - month contracts for each index futures [1]. - **Cross - variety Ratios**: Ratios between different stock index futures, like IC/IF, IC/IH, and IF/IH, are also provided, along with their historical percentiles [1]. Treasury Bond Futures - **Basis and IRR**: Data on the basis and implied repo rate (IRR) of treasury bond futures, including TS, TF, T, and TL, are given. For example, the TS basis on 2025 - 07 - 25 is 1.4667, with a change of 0.0162 from the previous day and a historical percentile of 19.10% [2]. - **Cross - period Price Differences**: Cross - period price differences for different contracts of treasury bond futures, such as the difference between the current - quarter and next - quarter contracts, are presented [2]. - **Cross - variety Price Differences**: Price differences between different treasury bond futures, like TS - TF, TS - T, and TF - T, are also provided [2]. Precious Metal Futures - **Futures and Spot Prices**: The reports show the closing prices of domestic and foreign precious metal futures, including AU2510, AG2510, COMEX gold, and COMEX silver, as well as their changes and price - to - spot differences [4]. - **Price Ratios and Spreads**: Ratios between gold and silver futures, such as COMEX gold/silver and SHFE gold/silver, and spreads between different gold and silver products, like gold TD - SHFE gold and silver TD - SHFE silver, are provided [4]. - **Interest Rates and Exchange Rates**: Information on interest rates (e.g., 10 - year US Treasury bond yield, 2 - year US Treasury bond yield) and exchange rates (e.g., US dollar index, offshore RMB exchange rate) is also included [4]. Container Shipping Futures - **Spot Quotes**: Spot quotes for container shipping from Shanghai to Europe by different shipping companies, such as MAERSK, CMA, and MSC, are provided, along with their changes [6]. - **Shipping Indexes**: Settlement price indexes, including SCFIS (European route) and SCFIS (US West route), and Shanghai export container freight indexes, such as SCFI composite index and SCFI (European), are presented, along with their changes [6]. - **Futures Prices and Basis**: Futures prices of container shipping futures contracts, like EC2602, EC2604, and EC2508 (the main contract), and the basis of the main contract are provided, along with their changes [6]. - **Fundamentals**: Data on container shipping fundamentals, including global container shipping capacity supply, port on - time rates, and overseas economic indicators (e.g., Eurozone composite PMI, EU consumer confidence index), are also given [6]. Trading Calendar - **Overseas Data/Information**: Information on overseas data and information sources for different sectors, such as Brazilian secex weekly reports in the agricultural sector and USDA export inspection and crop growth data in the US, is provided [7]. - **Domestic Data/Information**: Domestic data and information sources for different sectors, including black and non - ferrous metals (e.g., global manganese ore shipments, iron ore shipments), energy and chemicals (e.g., MEG port inventory in East China, Shandong local refinery crude oil arrivals), and special commodities (e.g., glass sales - to - production ratio, polysilicon production and inventory), are presented [7].

1. Report Industry Investment Rating - No information provided in the reports. 2. Core Views - The reports present data on various types of futures, including stock index futures, Treasury bond futures, precious metal futures, and container shipping futures, as well as related spot prices, spreads, and other indicators. They show the latest values, changes from the previous day, historical quantiles, and other information to help investors understand the market conditions of different futures products [1][2][4][6]. 3. Summary by Related Catalogs Stock Index Futures - **Price Spread Data**: The report provides detailed price spread data for IF, IH, IC, and IM stock index futures, including spot - futures spreads and inter - period spreads. For example, the IF spot - futures spread is - 7.84, with a change of 2.73 from the previous day, and the historical 1 - year quantile is 40.90% [1]. Treasury Bond Futures - **IRR and Basis**: Information on IRR, basis, and price spreads for TS, TF, T, and TL Treasury bond futures is given. For instance, the TS basis is 1.5781, with a change of 0.0115 from the previous day, and the historical quantile is 23.00% [2]. Precious Metal Futures - **Price and Spread**: It shows the closing prices of domestic and foreign precious metal futures, spot prices, and basis. For example, the AU2510 contract closed at 778.74 yuan/gram on July 24, down 1.79% from the previous day, and the gold TD - Shanghai gold main contract basis is - 3.64 [4]. Container Shipping Futures - **Spot and Futures Prices**: The report includes spot quotes for Shanghai - Europe container shipping, container shipping index data, futures prices, and basis. For example, the MAERSK spot price for Shanghai - Europe on July 25 is 3104 dollars/FEU, up 0.16% from the previous day, and the EC2602 futures contract price on July 24 is 1562.3, up 5.75% from the previous day [6]. Data and Information Calendar - **Domestic and Overseas Data**: It lists domestic and overseas economic data and events to be released, such as the US June durable goods orders monthly rate, and domestic 2000 billion yuan 1 - year MLF due on a certain day [9].

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the reports. 2. Core Views Each report presents data and analysis on different futures markets, including stock index futures, Treasury bond futures, precious metals, container shipping, and a trading calendar, without a unified core view. 3. Summary by Report Stock Index Futures Spread Daily Report - **IF, IH, IC, and IM Futures**: Presents the latest values, changes from the previous day, historical 1 - year and all - time percentiles of spot - futures spreads and inter - period spreads for IF, IH, IC, and IM futures. For example, the IF spot - futures spread is 37.60% with a change of - 9.16 [1]. - **Cross - Variety Ratios**: Provides cross - variety ratios such as CSI 500/CSI 300, CSI 1000/CSI 300, etc., along with their changes and percentiles [1]. Treasury Bond Futures Spread Daily Report - **IRR and Basis**: Shows the latest values, changes from the previous trading day, and percentiles since listing for the implied repo rate (IRR) and basis of TS, TF, and TL Treasury bond futures [2]. - **Inter - Period and Cross - Variety Spreads**: Presents inter - period spreads (e.g., current quarter - next quarter) and cross - variety spreads (e.g., TS - TF) for different Treasury bond futures, along with their changes and percentiles [2]. Precious Metals Spot - Futures Daily Report - **Futures and Spot Prices**: Reports domestic and foreign futures closing prices, spot prices, and their changes and percentage changes for gold and silver on July 22 and 21. For example, the AU2510 contract rose 0.40% to 784.84 yuan/gram on July 22 [3]. - **Basis, Ratios, Yields, and Inventories**: Provides basis values, ratios (e.g., COMEX gold/silver), yields of US Treasury bonds, the US dollar index, and inventory data for precious metals, along with their changes [3]. Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes and Indexes**: Gives spot quotes for Shanghai - Europe shipping prices and various container shipping indexes (e.g., SCFIS, SCFI), along with their changes and percentage changes [5]. - **Futures Prices and Basis**: Presents futures prices and basis values for container shipping futures contracts, along with their changes [5]. - **Fundamental Data**: Includes data on shipping capacity supply, port performance, export volume, and overseas economic indicators, along with their changes [5]. Trading Calendar - **Overseas and Domestic Data/Information**: Lists overseas and domestic economic indicators and financial events to be released on July 23, including time, data source, and relevant details [6].