行业 金融期货周报 日期 2026 年 1 月 9 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ |  股指 - - | 3 | | | --- | --- | --- | | 一、市场回顾 - - | 3 | | | 二、成交持仓分析 - - | 4 | | | 三、基差、跨期价差及跨品种价差分析 - - | 5 | | | 四、行业板块概况 - | | | | - | 7 | | | 五、估值比较 - - | 8 | | |  国债 - - | 10 | | | 一、本周市场回顾 - - | 10 | | | 二、市场分析 - - | 19 | | | 三、 ...

| 2026年1月6日 | 投资咨询业务资格:证监许可【2011】1292 | | | | | | | | | 熊客健 | Z0019608 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 种类 | | 日期 | | 品种 | | IRR (%) | | 最新值 | 较前一交易日变化 | 上市以来百分位数 | | | | | | 2026-01-05 | TS基差 | | 1.4303 | | 0.0004 | 0.0074 | 17.50% | | | 基差 | | | 2026-01-05 | TF基差 | | 1.6224 | | -0.0349 | 0.0290 | 44.00% | | | | | | 2026-01-05 | T基差 | | 1.2733 | | 0.0966 | -0.0665 | 42.90% | | | | | | 2026-01-05 | TL基差 | | 1.5810 | | 0.3365 | -0.4905 | 54.30% | | | | | | 2026- ...

知识图强,求实奉献,客户至上,合作共赢 | 集运产业期现日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可 【2011】1292号 2026年1月5日 | | | | 叶倩宁 | Z0016628 | | 集运指数 | | | | | | | 结算价指数 | 12月29日 | 12月22日 | 涨跌 | 涨跌幅 | 单位 | | SCFIS (欧洲航线) | 1742.64 | 1589.20 | 153.4 | 9.66% | 点 | | SCFIS (美西航线) | 1301.41 | 952.10 | 349.3 | 36.69% | | | 上海出口集装箱运价 | 12月19日 | 12月12日 | 涨跌 | 涨跌幅 | 单位 | | SCFI综合指数 | 1552.92 | 1506.46 | 46.5 | 3.08% | 点 | | SCFI (欧洲) | 1533 | 1538 | -5.0 | -0.33% | 美元/TEU | | SCFI (美西) | 1992 | 1780 | 212.0 | 11.9 ...

纯苯苯乙烯日报 | 2025-12-24 苯乙烯去库周期结束，基差再度走弱 纯苯与苯乙烯观点 纯苯方面：纯苯主力基差-100元/吨（+34）。纯苯港口库存27.30万吨（+1.30万吨）；纯苯CFR中国加工费126美元/ 吨（-6美元/吨），纯苯FOB韩国加工费119美元/吨（-6美元/吨），纯苯美韩价差181.9美元/吨（-3.0美元/吨）。华东纯 苯现货-M2价差-135元/吨（-10元/吨）。 纯苯下游方面：己内酰胺生产利润-350元/吨（+0），酚酮生产利润-902元/吨（+25），苯胺生产利润789元/吨（+178）， 己二酸生产利润-1018元/吨（+0）。己内酰胺开工率69.20%（-5.37%），苯酚开工率76.00%（-3.50%），苯胺开工率 61.35%（-14.59%），己二酸开工率59.60%（+0.40%）。 苯乙烯方面：苯乙烯主力基差71元/吨（+61元/吨）；苯乙烯非一体化生产利润-190元/吨（+30元/吨），预期逐步压 缩。苯乙烯华东港口库存139300吨（+4600吨），苯乙烯华东商业库存84550吨（+2250吨），处于库存回建阶段。苯 乙烯开工率69.1%（+0.8% ...

| 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 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025年12月23日 | 品种 | 爰新值 | 历史1年分位数 | 全历史分位数 | 较前一日变化 | 价差 | | | | | | | | | | | F期现价差 | -46.82 | 11.0096 | 5.6096 | -5.65 | 52 80% | H期现价差 | -1.83 | -3.89 | 46.70% | 期现价差 | | | | | | | IC期现价差 | -132.46 | -18.31 | 8,1096 | 1.00% | 5.00% | -204.75 | -191.00 | 3.00% | IM期现价差 | -15.60 | 次月-当月 | 4.40 | 33.6096 | 28.50% | | | 零月-当月 | -26 ...

| 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12月22日 | 历史1年分位数 | 品种 | 匿新債 | 全历史分位数 | 较前一日变化 | | | | | | | | | | | 价元 | -41.18 | IE期前分差 | -38.79 | 13.90%6 | 7.10% | | | | | | | | | | | | H期配分器 | 68.40% | 2.06 | 5.58 | 77.40% | 期现价差 | IC期现价差 | -114.15 | 2.00% | -114.32 | 14.70% | IM期现价差 | -188.01 | 5.00% | 4.30% | -3.26 | | 次月-当月 | -20.00 | -0.80 | 21.30% | 22 60% | 李月- ...

Group 1: Stock Index Futures Spread 1. Report Industry Investment Rating No relevant content provided. 2. Core View The report presents the latest values, historical quantiles, and changes compared to the previous day for various stock index futures spreads on December 12, 2025, including IF, IH, IC, and IM, as well as cross - variety ratios [1]. 3. Summary by Related Catalog - **Futures - Spot Spreads**: IF futures - spot spread is - 12.58 (1 - year quantile: 5.04%, all - time quantile: 59.40%); IH is - 7.23 (1 - year: 0.61%, all - time: 30.70%); IC is - 8.49 (1 - year: 90.10%, all - time: 71.40%); IM is - 7.40 (1 - year: 95.00%, all - time: 75.60%) [1]. - **Inter - delivery Spreads**: For IF, spreads like next - month minus current - month is - 16.80, etc.; for IH, spreads such as next - month minus current - month is - 7.20; for IC, next - month minus current - month is - 4.20; for IM, next - month minus current - month is - 4.20 [1]. - **Cross - variety Ratios**: Ratios like CSI 500/CSI 300 is 1.5559, IC/IF is 1.5584, etc., are presented with their changes and quantiles [1]. Group 2: Treasury Bond Futures Spread 1. Report Industry Investment Rating No relevant content provided. 2. Core View The report shows the latest values, changes compared to the previous trading day, and percentiles since listing for various treasury bond futures spreads on December 12, 2025, including TS, TF, T, and TL, as well as cross - variety spreads [3]. 3. Summary by Related Catalog - **Basis**: TS basis is 1.7270 (change: - 0.0774, percentile: 35.30%); TF basis is 1.7233 (change: - 0.0742, percentile: 48.90%); T basis is 1.4883 (change: 0.0223, percentile: 51.10%); TL basis is 1.5214 (change: 0.4679, percentile: 51.70%) [3]. - **Inter - delivery Spreads**: For TS, spreads like current - quarter minus next - quarter is - 0.0040; for TF, current - quarter minus next - quarter is - 0.0350; for T, current - quarter minus next - quarter is 0.1700; for TL, current - quarter minus next - quarter is 0.2100 [3]. - **Cross - variety Spreads**: Spreads like TS - TF is - 3.4110, TS - T is - 5.6260, etc., are provided [3]. Group 3: Precious Metals Spot - Futures 1. Report Industry Investment Rating No relevant content provided. 2. Core View The report provides the closing prices, price changes, and percentage changes of domestic and foreign precious metals futures, spot prices, basis, ratios, yields, exchange rates, inventory, and positions on December 11, 2025 [5]. 3. Summary by Related Catalog - **Domestic Futures Closing Prices**: AU2602 contract is 957.90 yuan/g (increase: 1.50, 0.16%); AG2602 contract is 14488 yuan/kg (increase: 115, 0.80%); etc. [5]. - **Foreign Futures Closing Prices**: COMEX gold is 4309.30 (increase: 51.00, 1.20%); COMEX silver is 63.98 (increase: 1.78, 2.85%); etc. [5]. - **Spot Prices**: London gold is 4279.10 (increase: 51.45, 1.22%); London silver is 63.55 (increase: 1.82, 2.94%); etc. [5]. - **Basis**: Gold TD - SHFE gold is - 5.55 (change: - 0.28, 1 - year quantile: 4.40%); Silver TD - SHFE silver is - 41 (change: - 45, 1 - year quantile: 13.20%); etc. [5]. - **Ratios**: COMEX gold/silver is 67.36 (decrease: - 1.10, - 1.61%); SHFE gold/silver is 66.12 (decrease: - 0.42, - 0.64%); etc. [5]. - **Yields and Exchange Rates**: 10 - year US Treasury yield is 4.14% (increase: 0.01, 0.2%); 2 - year US Treasury yield is 3.52% (decrease: - 0.02, - 0.6%); etc. [5]. - **Inventory and Positions**: SHFE gold inventory is 91302 (increase: 3, 0.00%); SHFE silver inventory is 780600 kg (increase: 38755, 5.22%); etc. [5]. Group 4: Container Shipping Industry Spot - Futures 1. Report Industry Investment Rating No relevant content provided. 2. Core View The report presents the settlement price indices, futures prices, basis, and fundamental data of the container shipping industry on December 12, 2025 [6]. 3. Summary by Related Catalog - **Shipping Indices**: SCFIS (European route) is 1509.10 points (increase: 25.4, 1.72%); SCFIS (US West route) is 960.51 (decrease: - 988.3, - 50.71%); SCFI composite index is 1403.13 points (increase: 9.6, 0.69%) [6]. - **Futures Prices and Basis**: EC2602 (main contract) is 1689.0 points (increase: 23.8, 1.43%); basis (main contract) is - 179.9 (change: - 23.8, 15.25%) [6]. - **Fundamental Data**: Global container shipping capacity supply is 3352.62 FTEU (increase: 0.02, 0.00%); Shanghai port on - time rate is 40.00% (decrease: - 9.08, - 18.50%); monthly export amount is 3303.50 billion US dollars (increase: 249.97, 8.19%) [6].

1. Report Industry Investment Rating - No relevant information provided 2. Core Views of the Report - The reports mainly present the latest data on various financial products including stock index futures spreads, bond futures spreads, precious metals spot - futures, and container shipping industry spot - futures. These data cover price changes, basis differences, and historical percentile positions, providing a basis for investors to understand market trends and make investment decisions. 3. Summary by Related Categories 3.1 Stock Index Futures Spreads - **Price - Spot Spreads**: For example, the IF price - spot spread was - 2.60, the IH price - spot spread was - 7.84, the IC price - spot spread was - 33.79, and the IM price - spot spread was 9.86 on the relevant day [1]. - **Inter - period Spreads**: There are detailed data on spreads between different contract months such as the next - month and current - month, far - month and current - month, etc. For instance, the IC next - month minus current - month spread was - 16.60 [1]. - **Cross - variety Ratios**: Ratios like CSI 500/CSI 300 were 1.5584, with historical percentile positions provided, indicating their relative valuation levels [1]. 3.2 Bond Futures Spreads - **IRR and Basis**: The 15 - contract IRR was 1.6378, and the basis of different bond futures contracts had various values and changes compared to the previous trading day. For example, the T basis was 1.4325 on 2025 - 12 - 10 [2]. - **Inter - period Spreads**: Spreads between different contract quarters such as the current - quarter and next - quarter, and next - quarter and far - quarter were reported. For example, the TF current - quarter minus next - quarter spread was - 0.0350 on 2025 - 12 - 10 [2]. - **Cross - variety Spreads**: Spreads between different bond futures varieties like TS - TF were - 3.3690 on 2025 - 12 - 10 [2]. 3.3 Precious Metals Spot - Futures - **Futures Closing Prices**: Domestic futures closing prices of AU2602, AG2602, etc. showed price increases or decreases compared to the previous day. For example, the AU2602 contract price rose from 951.54 to 956.40, a 0.51% increase [3]. - **Spot Prices**: London gold, silver, and other spot prices also had corresponding changes. For instance, London gold rose from 4206.59 to 4227.65, a 0.50% increase [3]. - **Basis and Ratios**: The basis between gold TD and Shanghai gold futures, gold - silver ratios, etc. were presented. For example, the basis of gold TD - Shanghai gold futures was - 5.27, and the COMEX gold/silver ratio was 68.46 [3]. - **Interest Rates, Exchange Rates, and Inventories**: 10 - year and 2 - year US Treasury yields, the US dollar index, etc. had changes. Inventory data of precious metals on the Shanghai Futures Exchange and COMEX also showed different trends [3]. 3.4 Container Shipping Industry Spot - Futures - **Shipping Indexes**: The SCFIS (European route) increased by 1.72% from 1483.65 to 1509.10, while the SCFIS (US West route) decreased by 50.71% from 1948.77 to 960.51. The SCFI comprehensive index increased by 0.69% [5]. - **Futures Prices and Basis**: Futures prices of EC2602 (main contract) and others had price changes, and the basis of the main contract changed by 41.01% [5]. - **Fundamental Data**: Global container shipping capacity supply increased by 0.01%, Shanghai port on - time rate decreased by 18.50%, and Shanghai port berthing increased by 5.83%. Monthly export amount increased by 8.19%. Overseas economic indicators such as the euro - zone comprehensive PMI increased by 0.57% [5].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - In the short - term, the domestic pure benzene has a large real - time arrival pressure, with port inventory accelerating accumulation. The overseas gasoline shortage has passed, but the price difference between the US and South Korea in the pure benzene market is still being repaired. Downstream提货 is weak, and downstream开工 is further decreasing in the off - season. Styrene maintains low - load maintenance, CPL开工 drops to the lowest level of the year, phenol开工 rebounds, and aniline and adipic acid开工 fluctuate within a range [3]. - For styrene, port inventory further declines, and the port basis remains strong. Styrene maintains low - level operation, port inventory continues to decrease, and downstream提货 is acceptable. The downstream开工 shows differentiation. EPS开工 rebounds slightly in the off - season but still has inventory pressure; ABS开工 decreases due to continuous finished - product inventory pressure; PS开工 continues to rise at the end of the year as the finished - product inventory pressure eases [3]. Summary by Directory 1. Pure Benzene and EB's Basis Structure, Inter - period Spread - The pure benzene main contract basis is - 130 yuan/ton (+12), and the spot - M2 paper cargo spread is - 150 yuan/ton (+35 yuan/ton). The EB main contract basis is 156 yuan/ton (- 48 yuan/ton) [1]. 2. Production Profits and Domestic - Foreign Spreads of Pure Benzene and Styrene - Pure benzene CFR China processing fee is 116 US dollars/ton (+2 US dollars/ton), and FOB South Korea processing fee is 113 US dollars/ton (+1 US dollar/ton). The pure benzene US - South Korea price difference is 195.0 US dollars/ton (+14.0 US dollars/ton). Styrene non - integrated production profit is - 140 yuan/ton (- 121 yuan/ton), and it is expected to gradually compress [1]. 3. Inventory and Operating Rates of Pure Benzene and Styrene - Pure benzene port inventory is 26.00 million tons (+3.60 million tons), and styrene East China port inventory is 146,800 tons (- 13,800 tons), and the East China commercial inventory is 87,800 tons (- 8,600 tons). Pure benzene开工 rate data is not provided, and styrene开工 rate is 68.9% (+1.6%) [1]. 4. Operating Rates and Production Profits of Styrene Downstream - EPS production profit is 191 yuan/ton (+153 yuan/ton), PS production profit is - 9 yuan/ton (+153 yuan/ton), and ABS production profit is - 776 yuan/ton (+89 yuan/ton). EPS开工 rate is 56.36% (+1.61%), PS开工 rate is 59.00% (+1.40%), and ABS开工 rate is 68.30% (- 2.90%) [2]. 5. Operating Rates and Production Profits of Pure Benzene Downstream - Caprolactam production profit is - 360 yuan/ton (+90), phenol - ketone production profit is - 952 yuan/ton (+25), aniline production profit is 848 yuan/ton (+95), and adipic acid production profit is - 1,129 yuan/ton (+59). Caprolactam开工 rate is 79.15% (- 7.53%), phenol开工 rate is 82.00% (+1.00%), aniline开工 rate is 77.23% (+0.04%), and adipic acid开工 rate is 60.00% (+0.60%) [1]. Strategy - Unilateral: None - Basis and Inter - period: Conduct inter - period positive arbitrage for EB2601 - EB2602 at low prices. - Cross - variety: Expand the spread of EB2601 - BZ2603 at low prices [4].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Overseas: Before the release of PCE data, market optimism has subsided, and the three major U.S. stock indexes showed mixed results [2]. - Domestic: The market remains in a state of shrinking volume and is in a volatile market with relatively low overall risks [2]. 3. Summary by Relevant Catalogs Market Analysis - Macro: China's Ministry of Commerce announced that the Chinese government is conducting export controls on rare - earth - related items in accordance with laws and regulations. Applications for civilian and compliant exports are approved in a timely manner. President Xi Jinping held talks with French President Macron, emphasizing mutual understanding and support on core interests and major concerns [1]. - Overseas: The number of initial jobless claims in the U.S. last week unexpectedly decreased by 27,000 to 191,000, the lowest level since September 2022. The three major U.S. stock indexes closed with mixed results, with the Nasdaq rising 0.22% to 23,505.14 points [1]. - Stock Indexes: The three major A - share indexes showed divergent trends. The Shanghai Composite Index fell 0.51% to 3878 points, and the ChiNext Index fell 1.12%. Most sector indexes declined. The machinery, electronics, and national defense and military industries led the gains, while the beauty care, social services, commercial retail, and textile and apparel industries led the declines. The trading volume of the Shanghai and Shenzhen stock markets was less than 1.6 trillion yuan [1]. - Futures Market: In the futures market, the basis of IC and IM continued to repair, and the trading volume and open interest of the four major stock index futures decreased simultaneously [1]. Strategy The overseas market's optimism has subsided before the PCE data release. The domestic market maintains a shrinking volume and is in a volatile state with low risks [2]. Macro Economic Charts - The report includes charts showing the relationship between the U.S. dollar index and A - share trends, the U.S. Treasury yield and A - share trends, the RMB exchange rate and A - share trends, and the U.S. Treasury yield and A - share style trends [6][7]. Spot Market Tracking Charts - Table 1 shows the daily performance of major domestic stock indexes on December 4 and 3, 2025, including the Shanghai Composite Index, Shenzhen Component Index, ChiNext Index, etc. For example, the Shanghai Composite Index decreased by 0.06% from 3878.00 to 3875.79 [12]. - Charts include the trading volume of the Shanghai and Shenzhen stock markets and the margin trading balance [13]. Stock Index Futures Tracking Charts - Table 2 shows the trading volume and open interest of stock index futures (IF, IH, IC, IM). For example, the trading volume of IF decreased by 5184 to 92574, and the open interest decreased by 3942 to 261904 [16]. - Table 3 shows the basis (futures - spot) of stock index futures for different contracts (current month, next month, current quarter, next quarter). For example, the current - month contract basis of IF is - 15.97 with a change of - 3.12 [40]. - Table 4 shows the inter - delivery spread of stock index futures, including spreads such as next month - current month, next quarter - current month, etc. For example, the next - month - current - month spread of IF is - 18.40 with a change of - 2.40 [46][47]. - Charts include the open interest of different contracts, the latest open - interest ratio, foreign - funded net open - interest quantity, basis, and inter - delivery spread of different stock index futures [17][20][28][30][31][38][41][43][51].