Group 1: Energy - The international oil price continued to rise overnight, with the Brent 08 contract up 0.75%. The market is expected to be volatile and bullish in the short term, but there may be opportunities to short again after the peak season expectations and geopolitical fluctuations are fully priced in. The global oil inventory has increased by 2% since the second quarter, and the US API crude oil inventory decreased by 3.3 million barrels last week [1]. - High - sulfur fuel oil demand is relatively low, and its cracking and EFS are expected to weaken. Low - sulfur fuel oil follows the crude oil trend under the situation of weak supply and demand [20]. - The asphalt industry started destocking in June, and the destocking trend is expected to continue. The BU crack spread may face short - term callback pressure, but the upward trend is hard to reverse [21]. - The decline of 6 - month CP of liquefied petroleum gas is small. The market has stabilized, and the downward space is limited. The spot surplus pressure has eased, and the futures may have a small basis contraction, but it will maintain a low - level shock [22]. Group 2: Precious Metals - Precious metals oscillated weakly overnight. The US economic data this week is in focus, especially the non - farm payrolls on Friday. Gold can be bought on dips with strong support at $3000 [2]. Group 3: Base Metals - Copper prices rose overnight. The White House's tariff policy may increase the expectation of copper tariffs. The LME copper inventory decreased to 143,800 tons, and the spot premium was $50. The KK mine in Congo may resume production at the end of the month. Consider shorting on rebounds or actively rolling over contracts [3]. - Aluminum prices rebounded slightly overnight. The aluminum ingot social inventory increased by 8,000 tons, and the demand is facing challenges. There is resistance at the key position of 20,300 yuan, and it is advisable to short on rallies [4]. - The alumina supply elasticity is large after the profit recovery. The domestic operating capacity increased by 1.3 million tons to 89.3 million tons. It is advisable to short on rallies, and not to chase short when the discount is large [5]. - Zinc demand is in the off - season, and the fundamentals are changing from weak supply and demand to increasing supply and weak demand. Continue to short on rebounds [6]. - The cost support of lead is expected to gradually appear, and the lower support of SHFE lead is temporarily seen at 16,300 yuan/ton [7]. - Nickel prices rebounded, but the stainless - steel market is still in a situation of high supply and weak demand. The nickel iron inventory increased, and the pure nickel and stainless - steel inventories decreased. Short positions can be followed as the nickel price starts to fall [8]. - Tin prices rose overnight. The tin market still has the theme of tight concentrates, but the medium - term trend is downward. Hold short positions at high levels [9]. - The lithium carbonate futures price oscillated. The market inventory situation shows positive changes. The decline of Australian ore prices has slowed down, and the short - selling momentum has weakened [10]. - The industrial silicon price decreased with reduced positions. The supply is increasing while the demand is weak, and the inventory is at a high level. The price is expected to decline slowly [11]. - The polysilicon futures price decreased with reduced positions. The short - term demand is weak, and the price is expected to change from shock to weak. Pay attention to the support at 34,200 yuan/ton [12]. Group 4: Steel and Iron Ore - Steel prices rebounded overnight. The demand for rebar is under pressure in the off - season, and the supply and demand of hot - rolled coils have improved. The iron - water output is falling, and the negative feedback expectation still exists. The market is expected to rebound with fluctuations [13]. - The iron ore price rose overnight. The global supply has rebounded to a high level, and the domestic arrival volume has increased significantly. The demand is in the off - season, and the iron - water output is declining. The price is expected to be weakly volatile and may make up for the decline [14]. - The coke price rebounded. The iron - water output is falling slightly, and the second round of price cuts for coking has been fully implemented. The overall inventory has increased slightly, and the price support may decline due to the cost reduction of coking coal [15]. - The coking coal price rebounded. The production is still at a high level, the spot auction market is weak, and the terminal inventory is decreasing slightly. The price still has a downward driving force [16]. - The silicon - manganese price rebounded after a sharp decline. The inventory has decreased, but the supply is increasing slightly. The price is still weak [17]. - The silicon - iron price rebounded after a decline. The iron - water output is falling, the demand is fair, the supply is decreasing, and the price is still weak [18]. Group 5: Shipping - The shipping companies are raising the freight rates in late June. The 08 contract of the container shipping index (European line) shows a "strong reality, weak expectation" trend. There may be pulse - type market conditions, and there is still room for the 08 contract to rise further. Short - selling in the short term needs to be cautious [19]. Group 6: Chemicals - The urea market is in a weak - shock state. The agricultural demand is in the off - season, the production enterprises are accumulating inventory, and the impact of the new Indian tender is small [23]. - The methanol price continued to rebound with increased positions. The demand from coastal olefin plants has increased, but the port inventory is rising. The coal price is falling, and the cost is under pressure [24]. - The styrene price is under pressure due to inventory accumulation at the main ports in East China and weak downstream demand [25]. - The demand for polyethylene and polypropylene is in the off - season, and the supply is relatively sufficient. The price support from the demand side is limited [26]. - The PVC industry may face inventory accumulation pressure, and the price may oscillate at a low level. The caustic soda market is weakly operating, with high - level supply and inventory pressure [27]. - The PX and PTA prices rebounded slightly with reduced positions. The supply - demand situation of upstream raw materials is gradually under pressure due to weakening demand [28]. - The ethylene glycol price remains weak, and the pressure will gradually appear after June [29]. - The short - fiber price oscillated and rebounded, and attention should be paid to the possibility of processing - margin repair. The bottle - chip market is in the peak - demand season, and the processing margin is low. Consider intervening in the processing - margin repair if production cuts are implemented [30]. Group 7: Building Materials - The glass industry's production capacity has increased slightly, the spot price has decreased, and the futures price is weakly operating. The inventory pressure is high, and the downstream demand is weak. Pay attention to the cost - side changes [31]. Group 8: Rubber - The natural rubber supply is increasing, the downstream demand is weakening, the synthetic rubber supply is decreasing, and the inventory is increasing. It is advisable to wait and see [32]. Group 9: Soda Ash - The soda ash futures price rebounded overnight. The inventory pressure is high, the supply is expected to increase, and the price is under pressure at a high level [33]. Group 10: Agricultural Products - The soybean and soybean meal prices lack upward drive. The supply is becoming more abundant, and the demand is relatively cautious. The market is expected to be short - term bearish, and attention should be paid to the impact of weather in June - August [34]. - The soybean oil and palm oil prices are expected to maintain a range - bound trend. The domestic soybean and palm oil will face pressure from large arrivals, and the overseas palm oil is in the production - increasing cycle [35]. - The Canadian canola futures price has upward drive, but the domestic canola market is affected by the Sino - Canadian trade relationship. It is advisable to reduce long positions and wait and see in the short term [36]. - The domestic soybean price is oscillating. The import supply is abundant, and the price is expected to be affected by weather in the medium term [37]. - The corn price is expected to be weakly volatile. The demand is weak, and the supply will increase with the listing of new wheat [38]. - The pig price is expected to decline in the short term due to increasing supply. In the medium term, the policy aims to stabilize the price, and attention should be paid to the actions of group enterprises [39]. - The egg price is expected to decline further due to increasing supply and the arrival of the off - season. Attention should be paid to the old - hen culling, weather, and feed prices [40]. - The cotton price is advisable to wait and see. The US cotton planting progress is behind, and the domestic cotton market has mixed conditions with some tight - inventory expectations but increasing off - season pressure [41]. - The sugar price is expected to oscillate. The Brazilian production data is mixed, and the domestic sugar market has reduced imports and light inventory pressure [42]. - The apple price is weakly operating. The market demand is decreasing, and the focus is on the new - season yield estimate. It is advisable to wait and see [43]. - The wood price has stopped falling and stabilized. The supply is expected to be low, and the demand is relatively good in the off - season. The price rebound power is insufficient, and it is advisable to wait and see [44]. - The pulp price declined. The port inventory is high, the demand is weak, and the import volume may decline. It is advisable to wait and see or try to go long on significant dips [45]. Group 11: Financial Futures - The stock index futures are expected to be in a high - level shock due to insufficient bullish drive. The uncertainty of geopolitical situation and US trade policy makes investors cautious. Pay attention to positive domestic policy signals [46]. - The treasury bond futures are oscillating. The market is in a narrow - range shock, and there may be long - position opportunities after over - decline. Pay attention to the entry timing of curve steepening in short - term multi - variety hedging [47].

Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) Core View of the Report The situation of Treasury bond futures is oscillating with an unclear trend, and the bond market may face pressure due to the ongoing recovery expectations [1]. 3) Summary by Relevant Catalogs a. Fundamental Tracking - On June 3, the 30 - year Treasury bond futures main contract rose 0.03%, while the 10 - year, 5 - year, and 2 - year main contracts fell 0.03%, 0.04%, and 0.04% respectively [1]. - In the money market, overnight shibor was 1.4100%, down 6.1bp from the previous trading day; 7 - day shibor was 1.5150%, down 10.2bp; 14 - day shibor was 1.5790%, down 16.0bp; 1 - month shibor was 1.6200%, unchanged from the previous trading day [1]. b. Previous Trading Day Treasury Bond Futures Market | Contract | Opening Price | High Price | Low Price | Closing Price | Change (%) | Amplitude (%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2509 (2 - year) | 102.386 | 102.388 | 102.350 | 102.352 | - 0.04 | 0.04 | 37274 | 115402 | | TF2509 (5 - year) | 106.005 | 106.040 | 105.940 | 105.960 | - 0.04 | 0.09 | 47214 | 138590 | | T2509 (10 - year) | 108.700 | 108.750 | 108.650 | 108.685 | - 0.03 | 0.09 | 42868 | 167327 | | TL2509 (30 - year) | 119.350 | 119.570 | 119.290 | 119.450 | 0.03 | 0.23 | 60835 | 93807 | - The 2 - year active CTD bond was 250006.IB with an IRR of 1.89%; the 5 - year was 240020.IB with an IRR of 1.80%; the 10 - year was 220010.IB with an IRR of 1.73%; the 30 - year was 210005.IB with an IRR of 1.82%. Currently, R007 is about 1.5877% [2]. c. Money Market - On June 3, the inter - bank pledged repurchase market traded 2.6 billion yuan, an increase of 47.17%. Overnight rate was 1.41%, down 19bp from the previous trading day; 7 - day rate was 1.56%, down 19bp; 14 - day rate was 1.57%, down 16bp; 1 - month rate was 1.55%, down 5bp [3]. d. Cash Bond - The Treasury bond yield curve shifted up by 0.30 - 1.62BP (2Y up 1.57BP to 1.48%; 5Y up 1.62BP to 1.58%; 10Y up 0.72BP to 1.68%; 30Y up 0.30BP to 1.90%). The credit bond yield curve showed mixed movements [3]. e. Macro and Industry News - On June 3, the central bank conducted 454.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% [7]. f. Trend Intensity - The trend intensity of Treasury bond futures is 0, with the range of trend intensity being integers in the [- 2, 2] interval [8].

1. Index Trends - On May 29th, the Shanghai Composite Index rose 0.7% to close at 3363.45 points, with a trading volume of 453.741 billion yuan; the Shenzhen Component Index rose 1.24% to close at 10127.2 points, with a trading volume of 731.681 billion yuan [1]. - The CSI 1000 Index rose 1.76% with a trading volume of 232.576 billion yuan, opening at 5980.86, closing at 6089.58, with a daily high of 6091.96 and a low of 5980.86 [1]. - The CSI 500 Index rose 1.47% with a trading volume of 148.095 billion yuan, opening at 5637.06, closing at 5719.91, with a daily high of 5724.52 and a low of 5637.06 [1]. - The SSE 50 Index rose 0.29% with a trading volume of 53.28 billion yuan, opening at 2684.49, closing at 2690.89, with a daily high of 2703.99 and a low of 2677.81 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 105.12 points from the previous close, with sectors such as Computer, Electronics, and Medicine & Biology significantly pulling the index up [2]. - The CSI 500 rose 82.67 points from the previous close, with Electronics, Medicine & Biology, and Computer sectors significantly pulling the index up [2]. - The SSE 50 rose 7.83 points from the previous close, with Electronics, Non - Banking Finance, and Medicine & Biology sectors pulling the index up, while Food & Beverage, Utilities, and Banking sectors pulling it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 66.97, IM01 of - 157.35, IM02 of - 309.74, and IM03 of - 475.64 [13]. - For IC contracts, IC00 had an average daily basis of - 53.15, IC01 of - 123.11, IC02 of - 229.29, and IC03 of - 349.52 [13]. - For IF contracts, IF00 had an average daily basis of - 22.88, IF01 of - 60.63, IF02 of - 90.54, and IF03 of - 127.91 [13]. - For IH contracts, IH00 had an average daily basis of - 15.56, IH01 of - 46.26, IH02 of - 51.34, and IH03 of - 52.09 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IM00 - 01 was - 53.1193, etc.) are provided [22]. - For IC contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IC00 - 01 was - 26.1467, etc.) are provided [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IF00 - 01 was - 5.99267, etc.) are provided [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IH00 - 01 was - 1.29644, etc.) are provided [27].

Report Overview - Date: May 30, 2025 - Report Type: Financial Futures Daily Report - Issuer: Everbright Futures 1. Investment Ratings - **Equity Index Futures**: Oscillating [1] - **Treasury Bond Futures**: Oscillating [3] 2. Core Views - **Equity Index Futures**: On May 29, the A - share market rebounded significantly, with the Wind All - A index rising 1.17% and trading volume reaching 1.21 trillion yuan. The CSI 1000, CSI 500, SSE 50, and SSE 300 indices also showed varying degrees of increase. The TMT and pharmaceutical biological sectors led the rebound. Although the economic data in April declined compared to March, it remained resilient. The social retail sales year - on - year rate was 5.1%, supported by the "trade - in" policy. The social credit demand in April was weak, with the cumulative new RMB loans reaching 10.06 trillion yuan, a year - on - year increase of 2.86%, and M2 year - on - year growth of 8%. The Sino - US joint statement and recent policy announcements, such as the central bank's reserve requirement ratio and interest rate cuts, and measures to encourage long - term funds to enter the market, are conducive to the repair of corporate balance sheets and the stable rise of stock market valuations. The internal policy drive is the main line for the equity index in 2025 [1]. - **Treasury Bond Futures**: On May 29, the 30 - year, 10 - year, 5 - year, and 2 - year treasury bond futures contracts all declined. The central bank conducted 266 billion yuan of 7 - day reverse repurchase operations, with a net investment of 11.15 billion yuan after 154.5 billion yuan of reverse repurchase maturities. In the short term, the bond market is difficult to have a trend - based market and will follow the changes in the capital and economic fundamentals. The bond market is in a sideways oscillation pattern after adjustment. Short - term attention should be paid to the May PMI data and whether the central bank restarts treasury bond trading operations [3]. 3. Daily Price Changes 3.1 Equity Index Futures and Stock Indices | Variety | May 29, 2025 | May 28, 2025 | Change | Change Rate | | --- | --- | --- | --- | --- | | IH | 2,673.6 | 2,665.4 | 8.2 | 0.31% | | IF | 3,832.8 | 3,805.0 | 27.8 | 0.73% | | IC | 5,668.6 | 5,568.0 | 100.6 | 1.81% | | IM | 6,031.0 | 5,899.0 | 132.0 | 2.24% | | SSE 50 | 2,690.9 | 2,683.1 | 7.8 | 0.29% | | SSE 300 | 3,858.7 | 3,836.2 | 22.5 | 0.59% | | CSI 500 | 5,719.9 | 5,637.2 | 82.7 | 1.47% | | CSI 1000 | 6,089.6 | 5,984.5 | 105.1 | 1.76% | [4] 3.2 Treasury Bond Futures | Variety | May 29, 2025 | May 28, 2025 | Change | Change Rate | | --- | --- | --- | --- | --- | | TS | 102.35 | 102.40 | - 0.054 | - 0.05% | | TF | 105.87 | 106.02 | - 0.15 | - 0.14% | | T | 108.48 | 108.73 | - 0.255 | - 0.23% | | TL | 118.69 | 119.40 | - 0.71 | - 0.59% | [4] 4. Market News - On May 29, the spokesperson of the Ministry of Foreign Affairs, Mao Ning, stated in response to a question from AFP that in the tariff issue, China has repeatedly clarified its stance that tariff wars and trade wars have no winners, and protectionism harms the interests of all parties [5]. 5. Chart Analysis 5.1 Equity Index Futures - The report presents the trends of IH, IF, IM, and IC main contracts, as well as the basis trends of each index futures contract [7][8][9][10][11] 5.2 Treasury Bond Futures - The report shows the trends of treasury bond futures main contracts, treasury bond spot yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates [14][17][18][19] 5.3 Exchange Rates - The report displays the central parity rates of the US dollar, euro against the RMB, forward exchange rates, and exchange rates among major currencies such as the US dollar, euro, pound, and yen [22][23][24][26][27] 6. Team Members - Zhu Jintao, Master of Economics from Jilin University, is the director of the macro - financial research at Everbright Futures Research Institute [29] - Wang Dongying, an equity index analyst with a master's degree from Columbia University, focuses on equity index futures, macro - fundamental quantification, key industry research, index earnings report analysis, and market capital tracking [29]

Core Viewpoint - The significant basis management challenges in stock index futures since 2024 are attributed to the historical low basis spreads, particularly influenced by the liquidity crisis in small-cap stocks and the concentrated exercise of out-of-the-money options, indicating strong short-selling pressure from institutional traders [2]. Group 1: Basis Spread Analysis - As of May 23, the annualized basis spreads for the main stock index futures of CSI 300, CSI 500, and CSI 1000 reached 11.08%, 19.08%, and 23.43% respectively [2]. - The substantial basis spread in the CSI 50 and CSI 300 is primarily driven by seasonal dividends, with the annualized hedging costs for the current quarter being -0.27% and 2.86% respectively, suggesting limited impact from upcoming dividends [4][5]. Group 2: Small-Cap Stock Concerns - Despite the influence of dividends, the basis spreads for CSI 500 and CSI 1000 futures remain at historically low levels, indicating a declining risk appetite for small-cap indices among large institutional investors [7]. - The number of neutral strategy products has remained high, with 6,569 products registered since December 31, 2019, but only 2,326 have been liquidated early, suggesting a significant amount of capital is still engaged in stock index futures [7][8]. Group 3: Market Trends and Institutional Behavior - The market has shifted from technology stocks to large-cap blue-chip stocks, driven by macroeconomic events and policy changes, which has increased institutional demand for stable growth assets [10]. - The current high basis costs may erode the alpha portion of neutral strategies, while the potential for profit in arbitrage strategies is lower due to increased volatility and borrowing costs [11][13].

1. Report Industry Investment Ratings - Stock Index: Neutral, with an expectation of a volatile trend [1] - Treasury Bonds: Bearish [2] 2. Core Viewpoints of the Report - **Stock Index**: On May 28, most A - share market indices pulled back. In April, economic data showed a decline compared to March but remained resilient. The social credit demand was weak. Recently, multiple departments announced policies to support the capital market, and internal policy efforts are the main theme for the stock index in 2025. These measures are conducive to helping enterprises repair their balance sheets, promoting the stable development of the real economy, and steadily increasing stock market valuations [1] - **Treasury Bonds**: Treasury bond futures closed with slight declines across various tenors. The central bank conducted reverse repurchase operations, resulting in a net injection of funds. In the short - term, the bond market is unlikely to have a trend - based market. After macro - level disturbances, the bond market will fluctuate according to the capital situation and economic fundamentals. Short - term attention should be paid to the May PMI data and whether the central bank restarts treasury bond trading operations [2] 3. Summary by Directory 3.1 Research Views - **Stock Index**: On May 28, the Wind All - A index dropped 0.2% with a trading volume of 1.03 trillion yuan. The CSI 1000, CSI 500, SSE 50, and SSE 300 indices all declined. The consumer sector was relatively strong, while the basic chemicals and agriculture, forestry, animal husbandry, and fishery sectors were weak. In April, the year - on - year growth of social retail sales was 5.1%, supported by the "trade - in" policy. The cumulative new RMB loans in April were 10.06 trillion yuan, a year - on - year increase of 2.86%, and the year - on - year growth of M2 was 8%. The joint statement between China and the US laid a good foundation for future trade negotiations. The central bank announced reserve requirement ratio and interest rate cuts, and regulatory authorities introduced measures to support the capital market. In the first quarter, the decline in the revenue growth rate of A - share listed companies narrowed for three consecutive quarters, and the net profit increased year - on - year by about 4%, but the ROE was still in the bottom - building stage [1] - **Treasury Bonds**: On May 28, the 30 - year, 5 - year, and 2 - year treasury bond futures main contracts declined, and the 10 - year main contract was basically stable. The central bank conducted 2155 billion yuan of 7 - day reverse repurchase operations, with 1570 billion yuan of reverse repurchases maturing, resulting in a net injection of 585 billion yuan. The weighted average interest rates in the inter - bank and exchange repurchase markets showed different trends. In the short - term, the bond market lacks a clear trend [2] 3.2 Daily Price Changes - **Stock Index Futures**: On May 28, compared with May 27, the IH, IF, IC, and IM contracts all declined, with declines of - 0.12%, - 0.11%, - 0.18%, and - 0.27% respectively [3] - **Stock Indices**: The SSE 50, SSE 300, CSI 500, and CSI 1000 indices all declined on May 28 compared with May 27, with declines of - 0.08%, - 0.08%, - 0.26%, and - 0.40% respectively [3] - **Treasury Bond Futures**: On May 28, compared with May 27, the TS, TF, and TL contracts declined, and the T contract was basically stable [3] - **Treasury Bond Yields**: The yields of 2 - year, 5 - year, and 30 - year treasury bonds increased, while the yield of 10 - year treasury bonds decreased [3] 3.3 Market News - From January to April, the total operating revenue of national state - owned and state - holding enterprises was flat compared with the previous year, and the total profit was 1349.14 billion yuan, a year - on - year decline of 1.7% [4] 3.4 Chart Analysis - **Stock Index Futures**: The report provides charts of the trends and basis of IH, IF, IM, and IC main contracts [6][7][10] - **Treasury Bond Futures**: The report includes charts of the trends, basis, inter - period spreads, cross - variety spreads, and capital interest rates of treasury bond futures main contracts, as well as the yields of treasury bond spot bonds [13][15][17] - **Exchange Rates**: The report presents charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, and exchange rates between major currencies [20][21][24]

Group 1: Index Trends - On May 28th, the Shanghai Composite Index had a change of -0.02%, closing at 3339.93 points with a trading volume of 389.341 billion yuan; the Shenzhen Component Index had a change of -0.26%, closing at 10003.27 points with a trading volume of 620.609 billion yuan [1]. - The CSI 1000 Index had a change of -0.4%, with a trading volume of 191.733 billion yuan, an opening price of 6006.89, a closing price of 5984.46, a daily high of 6023.82, and a daily low of 5972.18 [1]. - The CSI 500 Index had a change of -0.26%, with a trading volume of 119.96 billion yuan, an opening price of 5651.88, a closing price of 5637.24, a daily high of 5660.47, and a daily low of 5628.42 [1]. - The SSE 300 Index had a change of -0.08%, with a trading volume of 162.496 billion yuan, an opening price of 3843.07, a closing price of 3836.24, a daily high of 3849.74, and a daily low of 3833.96 [1]. - The SSE 50 Index had a change of -0.08%, with a trading volume of 44.83 billion yuan, an opening price of 2686.73, a closing price of 2683.06, a daily high of 2691.48, and a daily low of 2681.86 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 24.0 points compared to the previous closing price, with sectors such as Computer, Electronics, and Medicine & Biology significantly dragging down the index [3]. - The CSI 500 Index decreased by 14.91 points compared to the previous closing price, with the Food & Beverage sector significantly boosting the index, while sectors such as National Defense & Military Industry, Automobile, and Computer significantly dragging it down [3]. - The SSE 300 Index decreased by 3.16 points compared to the previous closing price, with sectors such as Transportation, Household Appliances, and Communication significantly boosting the index, while sectors such as Electronics, Power Equipment, and Automobile significantly dragging it down [3]. - The SSE 50 Index decreased by 2.22 points compared to the previous closing price, with sectors such as Petroleum & Petrochemical, Public Utilities, and Coal significantly boosting the index, while sectors such as Automobile, Electronics, and Banking significantly dragging it down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was -96.74, IM01 was -188.82, IM02 was -344.92, and IM03 was -518.57 [14]. - For IC contracts, the average daily basis for IC00 was -78.15, IC01 was -152.25, IC02 was -265.01, and IC03 was -391.8 [14]. - For IF contracts, the average daily basis for IF00 was -32.25, IF01 was -71.05, IF02 was -102.95, and IF03 was -142.39 [14]. - For IH contracts, the average daily basis for IH00 was -18.32, IH01 was -49.61, IH02 was -55.82, and IH03 was -58.14 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs are presented, such as at 09:45, IM00 - 01 was -53.1193, IM00 - 02 was -158.791, etc. [25]. - For IC contracts, at 09:45, IC00 - 01 was -26.1467, IC00 - 02 was -90.0318, etc., along with their annualized costs [26]. - For IF contracts, at 09:45, IF00 - 01 was -5.99267, IF00 - 02 was -13.4098, etc., and their annualized costs are provided [26]. - For IH contracts, at 09:45, IH00 - 01 was -1.29644, IH00 - 02 was 1.559889, etc., with corresponding annualized costs [28].

1. Index Trends - On May 27th, the Shanghai Composite Index dropped by -0.18% to close at 3340.69 points with a trading volume of 394.409 billion yuan; the Shenzhen Component Index fell by -0.61% to close at 10029.11 points with a trading volume of 604.517 billion yuan [1]. - The CSI 1000 Index decreased by -0.34% with a trading volume of 193.606 billion yuan, opening at 6019.54, closing at 6008.46, reaching a high of 6023.14 and a low of 5971.35 [1]. - The CSI 500 Index declined by -0.31% with a trading volume of 125.276 billion yuan, opening at 5666.3, closing at 5652.15, reaching a high of 5667.87 and a low of 5629.13 [1]. - The SSE 50 Index went down by -0.52% with a trading volume of 49.856 billion yuan, opening at 2699.69, closing at 2685.28, reaching a high of 2709.29 and a low of 2684.71 [1]. - The CSI 300 Index decreased by -0.54% with a trading volume of 178.467 billion yuan, opening at 3857.63, closing at 3839.4, reaching a high of 3865.43 and a low of 3834.85 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 20.33 points from the previous close. Sectors such as Medicine and Biology, and Basic Chemicals had a significant positive impact, while sectors like Computer, Machinery, and Electronics had a negative impact [2]. - The CSI 500 dropped 17.31 points from the previous close. The Medicine and Biology sector had a positive impact, while Machinery, Non - ferrous Metals, and Electronics had a negative impact [2]. - The CSI 300 dropped 20.71 points from the previous close. The Banking sector had a positive impact, while Automobile, Non - ferrous Metals, and Electronics had a negative impact [2]. - The SSE 50 dropped 14.14 points from the previous close. The Banking sector had a positive impact, while Food and Beverage, Electronics, and Non - ferrous Metals had a negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the daily average basis was -98.04 for IM00, -190.8 for IM01, -349.56 for IM02, and -527.69 for IM03 [12]. - For IC contracts, the daily average basis was -76.59 for IC00, -151.74 for IC01, -269.32 for IC02, and -399.41 for IC03 [12]. - For IF contracts, the daily average basis was -29.87 for IF00, -68.48 for IF01, -100.62 for IF02, and -139.97 for IF03 [12]. - For IH contracts, the daily average basis was -17.04 for IH00, -48.29 for IH01, -54.82 for IH02, and -57.71 for IH03 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values for IM00 - 01, IM00 - 02, etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IC00 - 01, IC00 - 02, etc. [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IF00 - 01, IF00 - 02, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IH00 - 01, IH00 - 02, etc. [25].

Group 1: Energy - International oil prices closed slightly lower overnight, with the Brent 07 contract down 0.8%. The market driver may shift to the medium - term logic. After the US - Iran nuclear talks on Friday, the focus may return to supply - demand. With inventory accumulation and OPEC+ production increase, oil prices may fluctuate weakly around the May 31 OPEC+ meeting [2] - Precious metals fell overnight. Gold is still bullish in the long - term, but currently in a volatile adjustment. Maintain the idea of buying on dips [3] - High - sulfur fuel oil's FU cracking spread is expected to oscillate at a high level. Low - sulfur fuel oil's unilateral trend follows crude oil, with weak supply - demand guidance [21] - In June, domestic asphalt refineries plan to produce 231 million tons, a 14.4% year - on - year increase. Demand shows seasonal improvement but is still lower year - on - year. The BU cracking spread is under pressure [22] - Overseas LPG supply is abundant and weakening. Domestic terminals have high inventory, and the short - term fundamentals have limited improvement power. The market runs weakly [23] Group 2: Metals - Overnight, Lun copper oscillated slightly. LME inventory continued to decline. Hold short positions in the second - half - year contracts [4] - Overnight, Shanghai aluminum rose slightly. The market is in a strong - reality situation. Test the resistance at 20300 yuan. Consider selling on rallies if it breaks through [5] - Guinea's alumina mine production impact expansion is unlikely. Spot is tight in the short - term, but the long - term is pessimistic. Don't chase short positions [6] - SMM 0 zinc is at 22,730 yuan/ton. With the end of the peak season, zinc is mainly for short - allocation [7] - Shanghai lead is running weakly. Keep an eye on consumption performance in the future [8] - Nickel and stainless steel markets are weak. Nickel iron inventory increased by 900 tons, and pure nickel inventory decreased by 2,000 tons. Consider short - entry [9] - Tin prices oscillated lower. Continue the short - allocation idea [10] - Lithium carbonate prices rebounded. The market is waiting for supply - demand improvement. Short - sellers should take profit opportunistically [11] - Industrial silicon futures prices continued to decline. Supply pressure accumulates, and demand is weak. Silicon prices are expected to decline [12] - Polysilicon prices rebounded to above the cost line. In June, supply is expected to increase, and prices may run weakly [13] - Steel prices continued to decline overnight. In the off - season, demand is weak, and supply pressure is high. The market is bearish [14] - Iron ore prices oscillated weakly. Supply is in a seasonally strong stage, and demand is in the off - season. Prices may oscillate weakly [15] - Coke prices rebounded slightly after hitting the bottom. Carbon supply is abundant, and pay attention to the negative feedback [16] - Coking coal prices rebounded slightly after hitting the bottom. Supply is abundant, and don't be overly bearish [17] - Manganese silicon prices continued to decline. The fundamentals have slightly improved. Pay attention to the impact of tariffs [18] - Ferrosilicon prices oscillated narrowly. Demand is okay, and prices are still weak due to the black market [19] Group 3: Chemicals - Styrene supply increases, and inventory may rise slightly. Downstream demand is weak [26] - Polypropylene and polyethylene markets are weak. Supply and demand support is limited [27] - PVC prices continue to weaken. Supply is high, and demand is weak. Caustic soda is under pressure at high levels [28] - PX supply increases, and demand is expected to be low. PTA is in de - stocking. There is pressure on supply increase and demand weakening in the long - term [29] - Ethylene glycol's near - term supply - demand is good, but there will be pressure after June [30] - Short - fiber prices follow raw materials and oscillate weakly. Bottle - chip production is increasing, and consider short - term processing margin repair [31] - Glass prices are weak. Inventory pressure is high, and supply is volatile. Be cautious [32] - Natural rubber supply is increasing, and demand is slightly decreasing. Synthetic rubber supply is decreasing, and inventory is increasing [33] - Urea futures lack upward momentum. The market oscillates weakly in the short - term [24] - Methanol supply is expected to increase significantly. The market runs weakly, and pay attention to the macro impact [25] Group 4: Agricultural Products - Domestic soybean meal prices are generally falling. Supply is loose, and there is no continuous upward driver [34] - Domestic soybean oil and palm oil prices oscillate. Supply is increasing, and they follow US soybean prices [35] - Rapeseed meal and oil are recommended to be long - biased. Rapeseed meal may be stronger [36] - Domestic soybeans oscillate. Import supply is abundant from May to July, and weather affects prices [37] - Corn prices may oscillate weakly. Supply is increasing, and pay attention to inventory changes [38] - Live pig futures oscillate weakly. Supply is expected to increase in the medium - long term [39] - Egg futures fall sharply, and spot prices rebound. Egg prices may decline after the Dragon Boat Festival [40] - Cotton prices are affected by US - China relations. Inventory is decreasing, and consider option strategies [41] - Sugar prices are expected to oscillate. Brazilian production is the focus, and domestic supply and demand are stable [42] - Apple prices are weak. Market focuses on new - season production estimates [43] - Wood prices are weak. Supply has some positive factors, but demand is in the off - season [44] - Pulp prices fall. Inventory is still high, and demand is weak. Consider buying on dips [45] Group 5: Others - The CCFI (European Line) may be at the end of the decline. The spot price is close to the central level. Pay attention to the peak - season price increase [20] - A - shares oscillated lower. With overseas risk preference rising, A - shares may oscillate more evenly in the short - term [46] - Treasury bond futures oscillate weakly. Directional strategies may not break through, and curve steepening needs data support [47]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Core Views - **Stock Index**: After Trump postponed 50% of the tariffs, the EU stated that the EU - US trade negotiations had "new impetus" and planned to "advance rapidly." Japan planned to use LNG projects and shipbuilding technology to seek tariff concessions from the US, aiming to reach an agreement by mid - June. ECB President Lagarde said the euro could become an alternative to the US dollar. Domestically, the market rotation was fast, the main driving force was weak, and trading volume was insufficient, so the stock index might fluctuate weakly [1]. - **Treasury Bonds**: Since early May, factors such as the profit - taking after the "dual cuts," the bond market's risk - aversion sentiment due to the 90 - day tariff suspension, concerns about "deposit migration" after the deposit rate cut, and worries about bond issuance supply had a bearish impact on the bond market. Current bond market investors were generally cautious, and the view of "bullish but not buying" limited the depth of market adjustment to some extent and provided the probability and odds for subsequent trading [3]. 3. Strategy Recommendations - **Stock Index**: Adopt a defensive and wait - and - see strategy [2]. - **Treasury Bonds**: Bullish in the short term [4]. 4. Market Review - **Stock Index**: The main contract futures of CSI 300 fell 0.61%, that of SSE 50 fell 0.46%, that of CSI 500 rose 0.33%, and that of CSI 1000 rose 0.69% [6]. - **Treasury Bonds**: The 10 - year main contract rose 0.00%, the 5 - year main contract rose 0.01%, the 30 - year main contract rose 0.13%, and the 2 - year main contract rose 0.03% [9]. 5. Technical Analysis - **Stock Index**: The KDJ indicator of the Shanghai Composite Index suggested a weak trend [7]. - **Treasury Bonds**: The KDJ indicator of the T main contract showed a fluctuating and strong trend [10]. 6. Futures Data | Date | Futures Variety | Closing Price (yuan/contract) | Change (%) | Trading Volume (lots) | Open Interest (lots) | | ---- | ---- | ---- | ---- | ---- | ---- | | 2025 - 05 - 23 | CSI 300 Continuous | 3,831.20 | - 0.61 | 62,863 | 138,782 | | 2025 - 05 - 23 | SSE 50 Continuous | 2,684.40 | - 0.46 | 34,244 | 51,685 | | 2025 - 05 - 23 | CSI 500 Continuous | 5,594.60 | 0.33 | 56,454 | 110,791 | | 2025 - 05 - 23 | CSI 1000 Continuous | 5,925.00 | 0.49 | 133,893 | 181,503 | | 2025 - 05 - 23 | 10 - year Treasury Bond Continuous | 108.855 | 0.00 | 52,310 | 166,526 | | 2025 - 05 - 23 | 5 - year Treasury Bond Continuous | 106.060 | 0.01 | 48,389 | 125,742 | | 2025 - 05 - 23 | 30 - year Treasury Bond Continuous | 119.760 | 0.13 | 58,787 | 91,927 | | 2025 - 05 - 23 | 2 - year Treasury Bond Continuous | 102.430 | 0.03 | 31,127 | 102,629 | [12]