Report Summary 1. Core View - The current market is in the new Brazilian sugarcane crushing season, with the main focus on the expected increase in Brazilian production. Indian sugar production has decreased and Thai production has increased. After the restrictions on domestic syrup and premixes and the completion of domestic sugar crushing, the overall situation has few variables [4]. 2. Industry Investment Rating - No investment rating information is provided in the report. 3. Summary by Related Catalogs 3.1 Price Forecast and Strategy - **Price Forecast**: The monthly price range of sugar is predicted to be between 5600 - 5800, with a current 20 - day rolling volatility of 8.04% and a historical percentile of 3.1% over 3 years [3]. - **Risk Management Strategies** - **Inventory Management**: For enterprises with high finished - product inventory worried about price drops, they can sell SR2507 futures at a 50% hedging ratio in the 5900 - 5950 range and sell SR507C6000 call options at a 75% ratio in the 10 - 20 range [3]. - **Procurement Management**: For those with low regular inventory and aiming to purchase based on orders, they can buy SR2507 futures at a 25% hedging ratio in the 5750 - 5800 range and sell SR509P5600 put options at a 75% ratio in the 30 - 40 range [3]. 3.2 Core Contradictions - The market is mainly debating the current and future sugar production in Brazil. Indian production decline and Thai production increase are established facts. After restrictions on domestic syrup and premixes and domestic sugar crushing completion, the situation is relatively stable. The recent market is trading on the expected increase in Brazilian production [4]. 3.3利多解读 (Positive Factors) - India's sugar production has declined this season, but the expected ending inventory of 480 - 500 million tons can meet domestic consumption from October to November 2025 [6]. - China has suspended the import of Thai syrup and premixes [6]. - In the second half of April in Brazil's central - southern region, the sugarcane crushing volume was 17.725 million tons, a 49.35% year - on - year decrease, sugar production was 856,000 tons, a 53.79% year - on - year decrease, and ethanol production decreased by 35.37% to 985 million liters. The sugar - cane ratio was 45.82% compared to 44.22% in the previous season. Rainfall in late April led to lower - than - expected crushing [6]. 3.4利空解读 (Negative Factors) - Heavy rainfall in Guangxi since May 9 has alleviated the previous drought [7]. - Analysis firm JOB predicts a 5% increase in Brazil's 25/26 sugar production to 46 million tons [7]. - Thailand's 24/25 sugar production is expected to increase to 10.39 million tons [7]. 3.5 Market Data - **Sales Data**: As of the end of April, the cumulative national sugar sales volume was 7.2446 million tons, a year - on - year increase of 1.4981 million tons (26.07%), and the cumulative sugar sales rate was 65.22% (the highest in the same period in the past 25 sugar - making seasons), 7.49 percentage points faster than the same period last year [9]. - **Basis Data**: On May 28, 2025, the basis between different regions and futures contracts showed various changes. For example, the basis of Nanning - SR01 was 481, with a daily increase of 34 and a weekly increase of 59 [10]. - **Futures Price and Spread Data**: On May 28, 2025, the closing prices of different sugar futures contracts showed different daily and weekly changes. For example, SR01 closed at 5674, with a daily decline of 0.6% and a weekly decline of 0.94% [11]. - **Spot Price and Regional Spread Data**: On May 28, 2025, the spot prices of sugar in different regions also changed. For example, the price in Nanning was 6155, with no daily change and a weekly increase of 5 [12]. - **Import Price Data**: On May 28, 2025, the import prices of Brazilian and Thai sugar decreased. For example, the in - quota price of Brazilian sugar was 4680, with a daily decrease of 16 and a weekly decrease of 106 [13].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The external market continues to focus on the U.S. soybean planting situation, and the weather speculation season will arrive after June. The domestic market is under continuous pressure from the actual supply, suppressing the prices of meal products. However, the bullish speculation on the weather market and the expectation of supply gaps due to the trade war cannot be falsified. Overall, the market is undervalued but waiting for a driving force [4]. 3. Summary by Related Catalogs 3.1 Oilseed Price Range Forecast - The monthly price range forecast for soybean meal is 2800 - 3300, with a current 20 - day rolling volatility of 12.0% and a 3 - year historical percentile of 1.9%. The price range for rapeseed meal is 2450 - 2750, with a current volatility of 0.1785 and a 3 - year historical percentile of 0.106 [3]. 3.2 Oilseed Hedging Strategy - **Trader Inventory Management**: When protein inventory is high and there are concerns about falling meal prices, traders can short soybean meal futures (M2509) to lock in profits and cover production costs, with a hedging ratio of 25% and an entry range of 3300 - 3400 [3]. - **Feed Mill Procurement Management**: When the regular procurement inventory is low and procurement is based on orders, feed mills can buy soybean meal futures (M2509) to lock in procurement costs in advance, with a hedging ratio of 50% and an entry range of 2850 - 3000 [3]. - **Oil Mill Inventory Management**: When there are concerns about excessive imported soybeans and low soybean meal selling prices, oil mills can short soybean meal futures (M2509) to lock in profits and cover production costs, with a hedging ratio of 50% and an entry range of 3100 - 3200 [3]. 3.3 Core Contradiction - The external market focuses on U.S. soybean planting, and the weather speculation season is approaching in June. The domestic market is pressured by actual supply, but bullish expectations cannot be falsified, and the market is undervalued waiting for a driver [4]. 3.4利多解读 No relevant content provided. 3.5利空解读 - The basis on the spot side remains weak, and future spot pressure will be more reflected in the basis. The futures market is stronger than the spot market due to unfalsifiable bullish expectations [6]. - In terms of arrivals, there will be 13 million tons in May, 11.5 million tons in June, 11.5 million tons in July, and 9.5 million tons in August. Supply is still abundant in the second and third quarters, but there is a gap in fourth - quarter purchases [7]. - After the end of the warrant registration month, the futures market rebounded slightly due to actual supply pressure. The monthly import volume of rapeseed vessels will be around 200,000 - 400,000 tons in the future [7]. 3.6 Oilseed Futures Prices - The closing prices and price changes of soybean meal and rapeseed meal futures contracts are provided, such as soybean meal 01 at 3013 (-0.3%), soybean meal 05 at 2710 (-0.22%), etc. [8]. 3.7 CBOT and Exchange Rate - The price of CBOT yellow soybeans is 1061.75 (unchanged), and the offshore RMB exchange rate is 7.1931 (up 0.21%) [11]. 3.8 Bean - Rapeseed Meal Spread - The spreads between different contracts of soybean meal and rapeseed meal, as well as the spreads between spot and futures prices, are provided, such as M01 - 05 at 303 (-3), RM01 - 05 at -7 (-1), etc. [12]. 3.9 Oilseed Import Cost and Crushing Profit - The import costs and profits of U.S. Gulf soybeans, Brazilian soybeans, and Canadian rapeseeds are provided, such as the import cost of U.S. Gulf soybeans (23%) at 4463.7908 (up 19.22), and the import profit of Brazilian soybeans at 238.8728 (up 11.8264) [13].

| | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 乙二醇 | 4150-4650 | 19.11% | 61.7% | | PX | 6300-6900 | 24.21% | 84.6% | | PTA | 4400-4900 | 22.88% | 63.2% | | 瓶片 | 5700-6250 | 18.56% | 63.0% | source： 南华研究 聚酯套保策略表 | 行为导 | 情景分析 | 现货敞 | 策略推荐 | 套保工具 买卖方 | | 套保比例 | 建议入场 | | --- | --- | --- | --- | --- | --- | --- | --- | | 向 | | 口 | | | 向 | （%） | 区间 | | 库存管 理 | 产成品库存偏高，担心乙二醇价格 下跌 | 多 | 为了防止存货叠加损失，可以根据企业的库存情况，做空乙二醇期货来锁定 | EG2509 EG2509P4 200 | 卖出 买入 | 25% | 4400-45 30-50 | | | | | 利润， ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report suggests patience and a "more watching, less action" approach. As interest rates rise slightly, the cost - effectiveness of bond allocation is increasing. The current narrow - fluctuating market is a good opportunity for allocation funds to gradually build positions. Rumors of bond fund redemptions, mainly concentrated in insurance, may not pose a significant risk, and subsequent funds are likely to flow back to the bond market. There are also rumors of large banks buying short - term bonds, which may be for future central bank bond purchases [1][3]. 3. Summary by Directory 3.1. Market Performance - Treasury bond futures opened and fluctuated upward throughout the day, turned positive in the afternoon, and slightly declined at the close. Interest rates rose in the afternoon, possibly due to fund redemption rumors. The central bank conducted 215.5 billion yuan of reverse repurchases, with 157 billion yuan maturing, resulting in a net injection of 58.5 billion yuan. The pressure of cross - month funds is emerging, with most maturities rising above 1.6%, and exchange - traded funds approaching 1.8%. However, the central bank's continuous net injection maintains liquidity expectations [1]. 3.2. Market Judgment - The bond market lacks a clear trend, but as interest rates rise slightly, the cost - effectiveness of allocation increases. The current market is unfavorable for trading positions but suitable for allocation funds to build positions. There are both redemption and buying rumors in the market. The rumored large - scale redemption of bond funds by insurance institutions is likely true, and subsequent funds may flow back to the bond market. There are also rumors that large banks are buying short - term bonds in preparation for central bank bond purchases [3]. 3.3. Data Overview - **Contract Data**: The prices of some contracts such as TS2506 and TF2506 remained unchanged on the day, while T2506 and TL2506 had slight increases. The open interest of most contracts increased, except for the TL contract, which decreased. The trading volume of some contracts decreased, while the TF contract increased [4]. - **Funding Rate Data**: DR001, DR007, and DR014 all showed declines. The trading volume of DR001, DR007, and DR014 remained unchanged [6]. - **Yield and Spread Data**: The report also presents various yield and spread data, including 10 - year and 30 - year Chinese government bond yields, 7Y - 2Y bond spreads, US 10 - year and 3 - month Treasury yields, and Sino - US interest rate spreads [13].

Core Insights - The main contract of the CSI 1000 Index futures closed at 2506 on May 28, with a slight decrease of 0.32% and a trading volume of 120,200 contracts [1][2] - Total trading volume for all contracts was 164,900, down by 30,100 contracts from the previous day [1][4] - The top 20 positions showed a net short position with a difference of 11,342 contracts [1] Group 1: Trading Volume and Positions - The total trading volume for the main contract was 120,200 contracts, reflecting a decrease of 30,100 contracts from the previous day [1] - The top 20 long positions totaled 223,800 contracts, down by 9,343 contracts, while the top 20 short positions totaled 250,400 contracts, down by 9,988 contracts [1][4] - The top three long positions were held by Guotai Junan (44,355 contracts), CITIC Futures (41,694 contracts), and Guotou Futures (13,197 contracts) [1][4] Group 2: Changes in Long and Short Positions - The top three long position increases were from GF Futures (5,056 contracts, up by 113), Shenyin Wanguo (2,850 contracts, up by 18), and Guoxin Futures (3,845 contracts, up by 15) [1] - The top three long position decreases were from CITIC Futures (23,985 contracts, down by 2,857), Guotai Junan (24,231 contracts, down by 1,415), and Dongzheng Futures (8,295 contracts, down by 1,325) [1] - The top three short position increases were from Huatai Futures (7,699 contracts, up by 163), Shenyin Wanguo (3,831 contracts, up by 84), and Zhongjin Futures (2,299 contracts, up by 80) [1]

Report Summary 1. Report Industry Investment Rating No specific industry investment rating is provided in the report. 2. Core View of the Report The report suggests that the medium - to long - term trend of precious metals is bullish, while the short - term shows some fluctuations. Due to the high volatility of gold and the 90 - day tariff suspension observation period of external economies entering the second half, it is expected that there will be a period of volatility reduction and consolidation from the end of May to June. Short - term corrections are regarded as medium - to long - term buying opportunities, but prices may remain in a high - level oscillation recently [5]. 3. Summary by Relevant Catalogs 3.1 Market Review - On Tuesday, precious metal prices adjusted. The U.S. stock, bond, and foreign exchange markets rose, indicating alleviated concerns about U.S. finances and improved risk appetite. Funds flowed back to the U.S. market, and concerns about U.S. tariffs on the EU eased. The U.S. consumer confidence index exceeded expectations. The gold 2506 contract closed at $3299.7 per ounce, down 1.27%; the U.S. silver 2507 contract closed at $33.385 per ounce, down 0.77%. The SHFE gold 2508 main contract closed at 771.6 yuan per gram, down 1.27%; the SHFE silver 2506 contract closed at 8217 yuan per kilogram, down 0.64% [2]. 3.2 Interest Rate Cut Expectations and Fund Holdings - According to CME's "FedWatch" data, the probability of the Fed keeping interest rates unchanged in June is 97.8%, and the probability of a 25 - basis - point rate cut is 2.2%. In July, the probability of keeping rates unchanged is 76.6%, the probability of a cumulative 25 - basis - point cut is 22.9%, and the probability of a cumulative 50 - basis - point cut is 0.5%. In September, the probability of keeping rates unchanged is 38.6%, the probability of a cumulative 25 - basis - point cut is 49.5%, the probability of a cumulative 50 - basis - point cut is 11.6%, and the probability of a cumulative 75 - basis - point cut is 0.2%. The SPDR Gold ETF holdings remained at 922.46 tons, and the iShares Silver ETF holdings remained at 14217.5 tons. The SHFE silver inventory increased by 31 tons to 988.3 tons, and the SGX silver inventory decreased by 91.8 tons to 1482.5 tons as of the week ending May 16 [3]. 3.3 This Week's Focus - The Japanese Ministry of Finance conducted a rare "survey" of the bond market and considered reducing the issuance of ultra - long - term bonds, leading to a sharp rebound in Japanese bonds and improved demand for U.S. bonds. This week, key data to watch include the U.S. April PCE data and the University of Michigan consumer confidence index on Friday evening. The domestic market will be closed on Friday night due to the Dragon Boat Festival holiday. Regarding events, at 08:00 on Wednesday, FOMC permanent voter and New York Fed President Williams will participate in a panel discussion at the Bank of Japan's Institute for Monetary and Economic Studies. At 02:00 on Thursday, the Fed will release the minutes of its May monetary policy meeting [4]. 3.4 Price and Inventory Data - **Precious Metal Futures and Spot Prices**: SHFE gold main - continuous contract is at 771.6 yuan per gram, down 0.73%; SGX gold TD is at 768.48 yuan per gram, down 0.7%; CME gold main contract is at $3327.4 per ounce, down 1.29%. SHFE silver main - continuous contract is at 8217 yuan per kilogram, down 0.76%; SGX silver TD is at 8189 yuan per kilogram, down 0.61%; CME silver main contract is at $33.385 per ounce, down 0.76% [7]. - **Inventory and Holdings**: SHFE gold inventory is 17247 kilograms (unchanged); CME gold inventory is 1206.4256 tons, down 0.021 tons. SHFE gold holdings are 204795 lots (unchanged); SPDR gold holdings are 922.46 tons (unchanged). SHFE silver inventory is 988.32 tons, up 30.94 tons, or 3.23%; CME silver inventory is 15467.857 tons, up 18.9066 tons, or 0.12%; SGX silver inventory is 1482.48 tons, down 91.86 tons, or - 5.83%. SHFE silver holdings are 364419 lots (unchanged); SLV silver holdings are 14217.50369 tons (unchanged) [13][16]. 3.5 Other Market Data - **Stock, Bond, and Commodity Market Overview**: The U.S. dollar index is at 99.5748, up 0.59%; the U.S. dollar against the Chinese yuan is at 7.1931, up 0.21%. The Dow Jones Industrial Average is at 41603.07 points, down 0.61%. WTI crude oil spot is at $60.89 per barrel, down 0.96%. LmeS copper 03 is at $9614 per ton, up 0.99%. The 10 - year U.S. Treasury yield is at 4.51%, down 0.66%; the 10 - year U.S. real interest rate is at 2.11%, down 3.21%; the 10 - 2 year U.S. Treasury yield spread is at 0.51%, down 5.56% [21].

| 指数表现 | A股 | 沪深300 | 上证50 | 创业板 | 中证500 | | --- | --- | --- | --- | --- | --- | | 收盘价 | 3340.69 | 3839.40 | 2685.28 | 1991.64 | 5652.15 | | 涨跌（%） | -0.18 | -0.54 | -0.52 | -0.68 | -0.31 | | 估值 | 沪深300 | 上证50 | 中证500 | 标普500 | 德国DAX | | PE(TTM) | 12.45 | 10.86 | 28.55 | 25.33 | 20.74 | | 环比变化 | -0.04 | -0.01 | -0.06 | 0.51 | 0.17 | | 风险溢价 | 沪深300 | 上证50 | 中证500 | 标普500 | 德国DAX | | 1/PE-10利率 | - | - | - | -0.50 | 2.29 | | 环比变化 | - | - | - | - | -0.01 | | 资金流向 | A股 | 主板 | 中小企业板 | 创业板 | 沪深300 | | 最新值 | -472.89 ...

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 6900-7200 | 15.22% | 78.4% | source： 南华研究 聚乙烯套保策略表 | | 情景分析 | 现货 | 策略推荐 | 套保工具 | 买卖 | 套保比例(%) | 建议入 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | 敞口 | | | 方向 | | 场区间 | | | 产成品库存偏高，担心 塑料价格下跌 | 多 | 为了防止存货跌价损失，可以根据企业的库存情 况，做空塑料期货来锁定利润，弥补企业的生产 成本 | L2509 | 卖出 | 25% | 7150- 7200 | | | | | 卖出看涨期权收取权利金降低成本，若聚乙烯价 格上涨还可以锁定现货卖出价格 | L250 ...

1. Report Industry Investment Rating No information provided in the given content. 2. Core View of the Report - Glass: If the low price persists, attention should be paid to the increase in cold - repair expectations. Although the valuation of glass is relatively low, the short - term fundamentals and cost support are weak [3]. -纯碱: The pressure on the futures market continues. Newly invested production capacity may gradually release output, and the maintenance cannot provide short - term support. With the cost decline, there is still profit in the industrial chain. It should be treated bearishly, and further price cuts by soda ash plants are needed for the continuous decline of soda ash prices [3]. 3. Summary by Related Catalogs 3.1 Glass and Soda Ash Price Range Forecast - Glass price range forecast (monthly): 900 - 1200, current 20 - day rolling volatility is 27.22%, and the historical percentile of the current volatility in 3 years is 43.9% [2]. - Soda ash price range forecast (monthly): 1100 - 1400, current 20 - day rolling volatility is 29.95%, and the historical percentile of the current volatility in 3 years is 44.9% [2]. 3.2 Glass and Soda Ash Hedging Strategies - Glass inventory management: For high - inventory situations, to prevent inventory losses, sell FG2509 glass futures at a 50% hedging ratio with an entry range of 1100; sell FG509 call options at a 50% hedging ratio with an entry range of 20 - 30, which can also lock in the spot selling price [2]. - Soda ash inventory management: For high - inventory situations, to prevent inventory losses, sell SA2509 soda ash futures at a 50% hedging ratio with an entry range of 1350; sell SA509 call options at a 50% hedging ratio with an entry range of 40 - 50, which can also lock in the spot selling price [2]. 3.3 Core Contradictions - Glass: The industrial chain faces over - supply pressure in the future; the off - season of demand and weak expectations have not triggered new cold - repair expectations [3]. - Soda ash: There is a consensus on over - supply expectations, and there are still new production capacities in the long - term; the cost continues to decline, and there is still profit in the industrial chain [3]. 3.4利多解读 - Glass: The supply side remains in a low - fluctuation state; the futures price is approaching the full - industrial - chain loss state; at low prices, cold - repair expectations are disturbing [3]. - Soda ash: The maintenance of manufacturers from May to June is gradually being realized; exports exceed expectations, alleviating the domestic over - supply pressure [3]. 3.5利空解读 - Glass: There is still ignition expectation on the supply side, and there is no large - scale cold - repair expectation; the actual demand is weak; the overall social inventory is high, and the off - season is coming [3]. - Soda ash: New production capacities continue to be put into operation; the social inventory is at an absolute historical high; there is still profit in the industrial chain [3]. 3.6 Glass Futures Price and Monthly Spread - On May 27, 2025, the price of glass 05 contract was 1127, down 3 (- 0.27%) from the previous day; the price of 09 contract was 1031, up 12 (1.18%); the price of 01 contract was 1084, up 3 (0.28%) [4][6]. - The monthly spread (5 - 9) was 96, down 15 from the previous day; the monthly spread (9 - 1) was - 53, up 9; the monthly spread (1 - 5) was - 43, up 6 [6]. 3.7 Glass Spot Price - On May 27, 2025, the average price of glass in the Shahe area was 1155.8, down 0.4 from the previous day [7]. - The prices of 5mm float glass in various regions remained unchanged on that day [7]. 3.8 Soda Ash Futures Price and Monthly Spread - On May 27, 2025, the price of soda ash 05 contract was 1268, down 20 (- 1.55%) from the previous day; the price of 09 contract was 1231, down 23 (- 1.83%); the price of 01 contract was 1212, down 25 (- 2.02%) [8]. - The monthly spread (5 - 9) was 37, up 3 (8.82%) from the previous day; the monthly spread (9 - 1) was 19, up 2 (11.76%); the monthly spread (1 - 5) was - 56, down 5 (9.8%) [8]. 3.9 Soda Ash Spot Price and Spread - On May 27, 2025, the prices of heavy and light soda ash in most regions remained unchanged, except that the heavy - soda ash price in the East China region decreased by 50 [8]. - The spread between heavy and light soda ash varied by region, with values such as 100 in North China, 50 in South China, etc. [8].

主力合约前20席位中，空头增仓前三名分别是：物产中大、持仓4695、增仓1382，东方财富、持仓7193、增仓960，徽商期货、持 仓6611、增仓946；空头减仓前三名分别是：东证期货、持仓9191、减仓-3504，中信期货、持仓22180、减仓-2138，方正中期、 持仓5864、减仓-1975。 文章来源:新浪期货 | | | | | 2025年5月27日氧化铝主力合约2509持仓数据一览 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 名次 会员名称 成交量(双边) | | 增减 | 会员 | 持买单 | 增减 | 会员 | 持卖单 | 增减 | | ਹ | 国泰君安 | 172,773 | -100,511 | 国泰君安 31,708 | | -3,554 | 国泰君安 71,812 | | -73 | | 2 | 中信期货 | 141,559 | -64.866 | 东证期货 | 20,183 | 4,998 | 中信建投 | 22,439 | 485 | | 3 | 东证期货 | 119, ...