1. Report Industry Investment Ratings - Not provided in the given content 2. Core Views of the Report - L: Expected to open lower. Spot prices have risen sharply, and the basis has reached a record high. With oil prices rising and then falling, long positions should set trailing stops, and the industry can focus on reverse cash-and-carry opportunities. There are potential supply disruptions due to geopolitical factors and changes in supply and demand [1][8]. - PP: Expected to open lower. Oil prices are rising and then falling, and the basis has reached a record high. The industry can focus on reverse cash-and-carry or inter - month spread opportunities. Geopolitical disturbances may cause raw material shortages in marginal MTO and PDH devices, increasing upstream maintenance efforts. The cost side has strong support [1][11]. - PVC: Expected to open lower. Calcium carbide prices have stopped falling and rebounded, but high inventories limit the upside. There is a potential reduction in the load of global ethylene - based PVC due to raw material ethylene shortages. Attention should be paid to changes in export orders [1][15]. - PX/PTA: Expected to experience a callback. Trump's statement led to a significant decline in overnight crude oil prices, and the traffic volume in the Strait of Hormuz is gradually recovering. TA has a relatively high valuation, and the supply side has seen some changes in domestic device operations. The downstream polyester industry is improving, and the cost side of PX is positive. The supply - demand balance is tight in April [3]. - Ethylene Glycol (EG): Expected to experience a callback. Overnight crude oil prices have fallen significantly. The supply side has been affected by geopolitical military conflicts, with domestic device loads decreasing and overseas device maintenance increasing. The demand side is warming up, and the inventory pressure is expected to ease in March - April [3]. - Methanol: Expected to experience a callback. The geopolitical situation between the US and Iran is expected to ease, and overnight crude oil prices have opened significantly lower. Methanol has a relatively high valuation. The supply side has seen a slight decline in domestic methanol loads, and overseas devices are expected to reduce their loads. The demand side is weak and stable, and the inventory in ports is relatively high [3]. - Urea: Expected to experience a callback. The geopolitical conflict has eased. Although there are arbitrage opportunities at home and abroad, urea exports are difficult to liberalize before the end of the domestic spring plowing. Urea has a relatively high valuation, and the supply side has high production, while the demand side has a weak current situation but strong expectations. The inventory is at a high level, and the price is restricted by policies [3]. - Caustic Soda: Expected to open lower. The current in - plant inventory is at the highest level in the same period, and the domestic operation rate has not changed much. The geopolitical conflict in the Middle East has increased the expectation of load reduction in overseas devices. Attention should be paid to the progress of spring maintenance and changes in export orders [1][33]. 3. Summaries According to Related Catalogs L - **Market Data**: L05 closed at 7944 yuan/ton, up 3.3% from the previous day. The L05 basis was 1076 yuan/ton, and the L59 spread was 188 yuan/ton. The LL华北 price increased by 18.7% to 9020 yuan/ton [6][7]. - **Basic Logic**: Spot prices have risen sharply, and the basis has reached a record high. Oil prices are rising and then falling. In 2025, China imported 1.67 million tons of LL from 5 Persian Gulf countries (accounting for 35%), and the short - term blockage of the Strait of Hormuz may lead to a reduction in imports. The upstream maintenance efforts have increased, and the downstream sentiment has improved [8]. PP - **Market Data**: PP05 closed at 8034 yuan/ton, up 3.0% from the previous day. The PP05 basis was 1579 yuan/ton, and the PP59 spread was 349 yuan/ton. The PDH profit has increased significantly [9][10]. - **Basic Logic**: Oil prices are rising and then falling, and the basis has reached a record high. Geopolitical disturbances may cause raw material shortages in marginal MTO and PDH devices, increasing upstream maintenance efforts. The propane price increase has compressed PDH profits, and the cost side has strong support [11]. PVC - **Market Data**: V05 closed at 5466 yuan/ton, up 3.6% from the previous day. The V05 basis was 234 yuan/ton, and the V59 spread was - 111 yuan/ton. The price of calcium carbide has increased by 10.7% [13][14]. - **Basic Logic**: Calcium carbide prices have stopped falling and rebounded, and the Shandong double - ton profit has turned positive. High inventories limit the upside. There is a potential reduction in the load of global ethylene - based PVC due to raw material ethylene shortages. Attention should be paid to changes in export orders [15]. PX/PTA - **Market Data**: TA05 closed at 6070 yuan/ton. The PTA spot processing fee was 317.8 yuan/ton, and the basis was - 200 yuan/ton. The polyester load has increased, and the PTA inventory is at a relatively low level [16]. - **Basic Logic**: Geopolitical conflicts continue, and the cost side has driven the strong rise of aromatic hydrocarbon - related products. The supply side has seen some changes in domestic device operations, and the downstream demand is seasonally warming up. The PX fundamentals are improving, and the supply - demand balance is tight in April [17]. - **Strategy Recommendation**: Take profit on long positions. The price range of TA05 is [6320 - 6928] [18]. Ethylene Glycol (EG) - **Market Data**: EG05 closed at 4377 yuan/ton. The EG05 basis was - 112 yuan/ton, and the EG5 - 9 spread was 60 yuan/ton. The port inventory is relatively high, but it is expected to decrease [19]. - **Basic Logic**: The valuation of ethylene glycol has been repaired. The supply side has been affected by geopolitical military conflicts, with domestic device loads decreasing and overseas device maintenance increasing. The demand side is warming up, and the inventory pressure is expected to ease in March - April [20]. - **Strategy Recommendation**: Take profit on long positions. The price range of EG05 is [4400 - 4705] [21]. Methanol - **Market Data**: The methanol主力 is at a high level in the past year. The comprehensive profit is - 156.8 yuan/ton, and the East China basis is - 84 yuan/ton. The spot prices in the European and American methanol markets have risen [24]. - **Basic Logic**: The domestic methanol device load has decreased but is still at a high level in the same period. Overseas devices are expected to reduce their loads. The demand side is weak and stable, and the port inventory is at a high level in the historical same period. The short - term geopolitical conflict intensity affects the market trend [23][24]. - **Strategy Recommendation**: Take profit on long positions. The price range of MA05 is [2520 - 2800] [25]. Urea - **Market Data**: UR05 closed at 1847 yuan/ton. The Shandong small - particle urea basis was - 13 yuan/ton, and the UR5 - 9 spread was 39 yuan/ton. The production capacity utilization rate is high, and the inventory is increasing [26]. - **Basic Logic**: Urea has a relatively high absolute valuation. The demand side has a weak current situation but strong expectations. The social inventory is increasing. Under the background of "export quota" and "ensuring supply and stabilizing prices", the price has an upper and lower limit. The market has expectations for spring fertilization and potential export speculation [27][28]. - **Strategy Recommendation**: Take profit on long positions and buy out - of - the - money put options. The price range of UR05 is [1830 - 1900] [29]. Caustic Soda - **Market Data**: SH05 closed at 2442 yuan/ton. The SH05 basis was - 222 yuan/ton, and the SH59 spread was - 23 yuan/ton. The prices of caustic soda in different regions have increased to varying degrees [31][32]. - **Basic Logic**: The spot market fundamentals are still weak, and the futures price is at a premium. The current in - plant inventory is at the highest level in the same period, and the domestic operation rate has not changed much. The geopolitical conflict in the Middle East has increased the expectation of load reduction in overseas devices. Attention should be paid to the progress of spring maintenance and changes in export orders [33].

Report Overview - Report Date: November 11, 2025 [doc id='1'] - Report Company: China Merchants Futures Co., Ltd. [doc id='1'] 1. Market Performance Stock Index Futures and Spot Market - On November 10, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.53% to close at 4,018.6 points; the Shenzhen Component Index rose 0.18% to close at 13,427.61 points; the ChiNext Index fell 0.92% to close at 3,178.83 points; the STAR 50 Index fell 0.57% to close at 1,407.56 points. Market turnover was 2.1944 trillion yuan, an increase of 174.2 billion yuan from the previous day [doc id='2']. - In terms of industry sectors, beauty care (+3.6%), food and beverage (+3.22%), and commercial and retail (+2.69%) led the gains; power equipment (-1.09%), machinery and equipment (-0.71%), and electronics (-0.51%) led the losses [doc id='2']. - In terms of market strength, IH > IF > IM > IC. The number of rising/flat/falling stocks was 3,373/118/1,952 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -12.1 billion, -13.3 billion, 400 million, and 25.1 billion yuan respectively, with changes of -100 million, +4.4 billion, -4.2 billion, and -100 million yuan respectively [doc id='2']. - The basis of the next - month contracts of IM, IC, IF, and IH were 142.25, 108, 23.05, and -0.14 points respectively. The annualized basis yields were -15.67%, -12.26%, -4.09%, and 0.04% respectively, and the three - year historical quantiles were 13%, 12%, 23%, and 45% respectively [doc id='2']. Bond Futures Market - On November 10, interest - rate bonds rose slightly. Among the active contracts, TS remained flat, TF rose 0.02%, T rose 0.01%, and TL rose 0.22% [doc id='3']. - For the current active 2512 contracts: - The CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of +0bps, a corresponding net basis of -0.011, and an IRR of 1.6% [doc id='3']. - The CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of -0.25bps, a corresponding net basis of -0.025, and an IRR of 1.75% [doc id='3']. - The CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of -0.75bps, a corresponding net basis of -0.006, and an IRR of 1.56% [doc id='3']. - The CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of -1bps, a corresponding net basis of -0.031, and an IRR of 1.75% [doc id='3']. - In terms of the money market, the central bank injected 119.9 billion yuan and withdrew 78.3 billion yuan through open - market operations, resulting in a net injection of 41.6 billion yuan [doc id='3']. 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains a bullish view on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [doc id='3']. Bond Futures - In the short term, it is bullish. The implied interest rate of ultra - long bonds (2.2) has sufficient cost - effectiveness. In the medium - to - long term, with an upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [doc id='3']. 3. Economic Data - High - frequency data shows that at the beginning of November, the import and export business climate was better than the same period, while the infrastructure business climate was worse than the same period [doc id='10']. 4. Tables and Figures Tables - Table 1 shows the performance of stock index futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and basis [doc id='6']. - Table 2 shows the performance of Treasury bond futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and net basis [doc id='7']. - Table 3 shows the changes in the short - term money market interest rates, including SHIBOR overnight rates [doc id='10']. Figures - Figure 1 shows the term structure of Treasury bond spot prices [doc id='8']. - Figure 2 shows the tracking of domestic meso - level data [doc id='11'].

Report Overview - The report is a financial research on financial futures, including stock index futures and treasury bond futures, released by China Merchants Futures Co., Ltd. on August 22, 2025 [1][2] 1. Market Performance Stock Index Futures - On August 21, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.13% to 3771.1 points, the Shenzhen Component Index fell 0.06% to 11919.76 points, the ChiNext Index fell 0.47% to 2595.47 points, and the STAR 50 Index rose 0.09% to 1149.15 points. Market turnover was 2.4603 trillion yuan, an increase of 11.9 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+1.5%), petroleum and petrochemicals (+1.39%), and beauty care (+0.98%) led the gains, while machinery (-1.08%), power equipment (-0.98%), and composites (-0.73%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2169/164/3087 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -20.9 billion, -30.8 billion, 5.6 billion, and 46.1 billion yuan respectively, with changes of -8.4 billion, -9.7 billion, +6.7 billion, and +11.4 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 99.94, 87.37, 14.27, and -2.02 points respectively, with annualized basis yields of -9.57%, -9.05%, -2.31%, and 0.49% respectively, and three - year historical quantiles of 39%, 18%, 36%, and 50% respectively [2] Treasury Bond Futures - On August 21, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.426, down 0.13 bps from the previous day; the five - year bond was 1.639, down 1.32 bps; the ten - year bond was 1.728, down 0.99 bps; and the thirty - year bond was 2.135, down 1.96 bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of -0.25 bps, a corresponding net basis of 0.019, and an IRR of 1.24%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.096, and an IRR of 1.22%; the CTD bond of the ten - year treasury bond futures was 250007.IB, with a yield change of -2 bps, a corresponding net basis of 0.098, and an IRR of 0.16%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of -3 bps, a corresponding net basis of 0.401, and an IRR of 0.58% [2] - In terms of the money market, the central bank's net injection was 124.3 billion yuan through open market operations [2] 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - Given the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL in the medium - to - long term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic medium - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, with negative scores indicating weakening sentiment [9][11][12]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate various risk varieties of stock index futures on dips [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Relevant Catalogs Market Performance - On August 14, the four major A-share stock indexes adjusted, with the Shanghai Composite Index down 0.46% to 3666.44 points, the Shenzhen Component Index down 0.87% to 11451.43 points, the ChiNext Index down 1.08% to 2469.66 points, and the STAR 50 Index up 0.75% to 1085.74 points. The market turnover was 23,063 billion yuan, an increase of 131.1 billion yuan from the previous day. Non-bank finance led the gains, while comprehensive, national defense and military industry, and communication led the losses. In terms of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 734/41/4644 respectively. The net inflows of institutional, main, large, and retail funds in the Shanghai and Shenzhen stock markets were -25.4 billion, -28.9 billion, 6.2 billion, and 48.1 billion yuan respectively, with changes of -33.1 billion, -19 billion, +18.5 billion, and +33.5 billion yuan respectively [2] Stock Index Futures - The basis of IM, IC, IF, and IH next-month contracts was 47.29, 49.65, 9.51, and -0.13 points respectively, with annualized basis yields of -6.28%, -7.15%, -2.11%, and 0.04% respectively, and three-year historical quantiles of 57%, 31%, 37%, and 45% respectively [3] - On August 14, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.411, up 1.33 bps from the previous day; the implied interest rate of the five-year bond was 1.583, up 1.57 bps; the implied interest rate of the ten-year bond was 1.679, up 1.74 bps; and the implied interest rate of the thirty-year bond was 2.056, up 2.33 bps [3] Treasury Bond Futures - The CTD bond of the 2-year treasury bond futures was 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.021, and an IRR of 1.22%; the CTD bond of the 5-year treasury bond futures was 240020.IB, with a yield change of +1.25 bps, a corresponding net basis of 0.031, and an IRR of 1.11%; the CTD bond of the 10-year treasury bond futures was 250007.IB, with a yield change of +0.9 bps, a corresponding net basis of 0.016, and an IRR of 1.27%; the CTD bond of the 30-year treasury bond futures was 210005.IB, with a yield change of +2.25 bps, a corresponding net basis of -0.104, and an IRR of 2.29% [4] - In terms of the money market, the central bank injected 128.7 billion yuan and withdrew 160.7 billion yuan, resulting in a net withdrawal of 32 billion yuan [4] Economic Data - High-frequency data shows that the recent import and export and social activity prosperity have declined [11]