| 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 ...

| 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 - No information provided regarding the industry investment rating in the given reports. 2. Core Views 2.1. Precious Metals - The short - term market for precious metals is affected by geopolitical situations and the upcoming Fed decision. Gold prices are expected to maintain a strong and volatile trend. It is recommended to take profits on gold long positions at high prices and buy out - of - the - money call options instead of taking long positions. [3] - For silver, rising raw material costs may reduce industrial demand, but new demand from AI and other fields may support prices. ETF holdings are falling due to regulatory restrictions, and short - term prices may experience sharp fluctuations. It is advisable to pay attention to risk - control measures and adopt a strategy of buying on dips with light positions. [3] - Platinum and palladium prices are supported by their macro - financial attributes and tight supply, and their price centers are rising in tandem with gold. However, the easing supply in the London spot market may limit the upside. It is recommended to buy on dips and sell at high prices within a day. [3] 2.2. Container Shipping - The container shipping market shows a downward trend in freight rates. The SCFIS and SCFI indices for major routes have declined, and most futures contracts have also decreased. Although there are some positive signs in fundamentals such as an increase in port punctuality and export volume, the overall market remains under pressure. [5] 3. Summary by Relevant Catalogs 3.1. Stock Index Futures Spread Daily Report - **Spot - Futures Spread**: F has a spot - futures spread of 12.51, H has 11.61, IC has - 1.33, and IM has - 24.95. Their historical 1 - year and all - time percentiles vary, and there are also changes compared to the previous day. [1] - **Inter - delivery Spread**: There are significant differences in inter - delivery spreads (such as next - month minus current - month, quarterly - month minus current - month, etc.) among different varieties, and their percentiles also show different levels. [1] - **Cross - Variety Ratio**: Ratios such as CSI 300/Shanghai Stock Exchange 50, CSI 1000/CSI 300, and others have their own values, changes, and percentiles. [1] 3.2. Treasury Bond Futures Spread Daily Report - **IRR and Basis**: Different varieties (TS, TF, T, TL) have their own implied repo rates (IRR) and basis values, along with changes compared to the previous day and their percentiles since listing. [2] - **Inter - delivery Spread**: Each variety has inter - delivery spreads (such as current - quarter minus next - quarter, next - quarter minus the quarter after next), with corresponding changes and percentiles. [2] - **Cross - Variety Spread**: Spreads between different varieties (TS - T, TF - T, etc.) are provided, along with their changes and percentiles. [2] 3.3. Precious Metals Spot - Futures Daily Report - **Domestic Futures Closing Prices**: For AU2604, AG2604, PT2606, and PD2606 contracts, their closing prices on January 27 and 26, price changes, and percentage changes are given. [3] - **Foreign Futures Closing Prices**: Closing prices, price changes, and percentage changes of COMEX gold, silver, NYMEX platinum, and palladium futures on January 27 and 26 are presented. [3] - **Spot Prices**: Spot prices of London gold, silver, platinum, and palladium, as well as Shanghai Gold Exchange's T + D products, are provided, along with their changes and percentage changes. [3] - **Basis**: The basis values of gold TD - Shanghai gold main contract, silver TD - Shanghai silver main contract, etc., their changes, and historical 1 - year percentiles are shown. [3] - **Price Ratios**: Ratios such as COMEX gold/silver, Shanghai Futures Exchange gold/silver, etc., their changes, and percentage changes are given. [3] - **Interest Rates and Exchange Rates**: Values, changes, and percentage changes of 10 - year and 2 - year US Treasury yields, 10 - year TIPS Treasury yields, US dollar index, and offshore RMB exchange rate are presented. [3] - **Inventory and Holdings**: Inventory and holding data of Shanghai Futures Exchange and COMEX for gold and silver, as well as ETF holdings, are provided, along with their changes and percentage changes. [3] 3.4. Container Shipping Industry Spot - Futures Daily Report - **Shipping Indices**: SCFIS (European and US - West routes) and SCFI (composite, European, US - West, and US - East routes) indices show their values, changes, and percentage changes on different dates. [5] - **Futures Prices and Basis**: Futures prices of different contracts (EC2602, EC2604, etc.) and the basis of the main contract are provided, along with their changes and percentage changes. [5] - **Fundamental Data**: Global container shipping capacity supply, port punctuality, port calls, monthly export volume, and overseas economic indicators (such as Eurozone PMI, EU consumer confidence index, US manufacturing PMI, etc.) are presented, along with their changes and percentage changes. [5]

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]

Report on Stock Index Futures Spread Core Information - **Date**: January 23, 2026 - **Analysis of Spread Data**: - **Futures - Spot Spread**: F期现价差 latest value is -4.31, H期现价差 is 8.07, IC期现价差 is 12.41, IM期现价差 is -16.75 [1] - **Inter - Delivery Spread**: For example, 次月 - 当月 spread in different contracts has various values and historical percentile rankings, like -2.60 with a 1 - year percentile of 87.70% and all - time percentile of 54.20% in some cases [1] - **Cross - Variety Ratio**: IC/IF is 1.7799, IC/IH is 2.7440, IF/IH is 1.5417, etc., with corresponding historical percentile rankings [1] Report on Treasury Bond Futures Spread Core Information - **Date**: January 23, 2026 - **Analysis of Spread Data**: - **Basis Spread**: TS基差 is 1.4233, TF基差 is 1.4873, T基差 is 1.6004, TL基差 is 2.0488, with changes compared to the previous day and historical percentile rankings [2] - **Inter - Delivery Spread**: Different contracts' 当季 - 下季, 下季 - 隔季 spreads have specific values and historical percentile rankings, e.g., TS跨期价差 当季 - 下季 is -0.0420 with a 17.50% historical percentile [2] - **Cross - Variety Spread**: TS - TF is -3.4270, TS - T is -5.7420, TF - T is -2.3150, etc., with changes and historical percentile rankings [2] Report on Precious Metals Futures - Spot Core Information - **Date**: January 23, 2026 - **Price and Spread Analysis**: - **Domestic Futures Closing Price**: AU2604合约 closed at 1087.58 yuan/g, AG2604合约 at 23339 yuan/ten grams, etc., with price changes and percentage changes [4] - **Foreign Futures Closing Price**: COMEX黄金主力合约 closed at 4938.40, COMEX白银主力合约 at 96.22, etc., with price changes and percentage changes [4] - **Spot Price**: London gold is 4938.35, London silver is 96.20, etc., with price changes and percentage changes [4] - **Basis Spread**: Gold TD - 沪金主力 is -3.66, Silver TD - 沪银主力 is -10794, etc., with changes and historical percentile rankings [4] - **Ratio**: COMEX金/银 is 51.33, 上期所金/银 is 46.60, etc., with price changes and percentage changes [4] - **Interest Rate and Exchange Rate**: 10 - year US Treasury yield is 4.26%, 2 - year US Treasury yield is 3.61%, etc., with changes and percentage changes [4] - **Inventory and Position**: 上期所黄金库存 is 102009 kg, 上期所白银库存 is 589052, etc., with changes and percentage changes [4]

| 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21日 | 最新值 | 品种 | 历史1年分位数 | 全历史分位数 | 较前一日变化 | | | | | | | | | | | | F期现价差 | -10.28 | -4.42 | 68.00% | 38.0096 | 4.75 | H期配分去 | 3.09 | 91.30% | 83.20% | 期现价差 | | | | | | | IC期现价差 | 22.94 | 97.50% | 1.00 | 86,1096 | IM期现价差 | -25.52 | 28.00% | -61.95 | 75.00% | 次月-当月 | -2.00 | 2.20 | 89.30% | 55.60% | | | 零月-当月 | -36.60 | 44.2 ...

| 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20日 | 品种 | 爰新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -5.86 | 2.82 | 76.20% | 48.80% | -2.97 | H期配分去 | 1.66 | 74.50% | 66.10% | 期现价差 | | | | | | | IC期现价差 | 0.33 | -21.95 | 84.00% | 50.2096 | IM期现价差 | -79.05 | -8.15 | 75.00% | 21.60% | -4.20 | 次月-当月 | 7.00 | 81.90% | 50.90% | | | -44.00 | 零月-当月 | -30.20 ...

| 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20日 | 品种 | 爰新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -5.86 | 2.82 | 76.20% | 48.80% | -2.97 | H期配分去 | 1.66 | 74.50% | 66.10% | 期现价差 | | | | | | | IC期现价差 | 0.33 | -21.95 | 84.00% | 50.2096 | IM期现价差 | -79.05 | -8.15 | 75.00% | 21.60% | -4.20 | 次月-当月 | 7.00 | 81.90% | 50.90% | | | -44.00 | 零月-当月 | -30.20 ...