Report Summary 1. Index Market Performance - The Shanghai Composite Index rose 0.42% to close at 3376.2 points, the Shenzhen Component Index rose 0.87%, the ChiNext Index rose 1.11%, the Northbound 50 Index rose 1.1%, the STAR 50 Index rose 0.45%, and the CSI A500 Index rose 0.48%. A-share trading volume reached 1.18 trillion yuan, up from 1.16 trillion yuan the previous day [7] - The closing prices, changes, trading volumes, and turnovers of the Shanghai 50, CSI 300, and CSI 1000 indices are as follows: Shanghai 50 closed at 2690.8243 with a 0.13% change, trading volume of 27.60 billion and turnover of 511.09 billion yuan; CSI 300 closed at 3868.7429 with a 0.43% change, trading volume of 116.80 billion and turnover of 2117.36 billion yuan; CSI 1000 closed at 6123.172 with a 0.88% change, trading volume of 186.96 billion and turnover of 2320.40 billion yuan [4] 2. CFFEX Stock Index Option Trading - The trading volume and open interest data of put and call options for the Shanghai 50, CSI 300, and CSI 1000 indices are presented, including put/call ratios (PCR) for both trading volume and open interest [4] 3. Volatility Analysis - Historical volatility chains and next - month at - the - money implied volatility, as well as volatility smile curves, are analyzed for the Shanghai 50, CSI 300, and CSI 1000 indices [7]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core View of the Report - The log market is expected to continue its oscillating and weakening pattern. Although the market has not shown a signal of stabilizing from the decline, the downside space is limited, and excessive bearishness is not advisable. Attention should be paid to the long - entry opportunity when the 09 contract stabilizes after a decline. Meanwhile, as the option volatility has slightly increased, attention should be paid to the opportunities of selling out - of - the - money put options and buying out - of - the - money call options on the 07 contract [3]. 3. Summary by Relevant Catalogs Log Price Range Forecast - The monthly price range forecast for logs is 740 - 800, with a current 20 - day rolling volatility of 16.28% and a historical percentile of 67.4% over three years [2]. Log Hedging Strategy - **Inventory Management**: For high log import volume and inventory, to prevent inventory losses, enterprises can short log futures (lg2507, sell, 25%, entry range 800 - 785) to lock in profits and cover production costs; buy put options (lg2507P775, buy, 50%, entry range 9.5 - 14) to prevent sharp price drops and sell call options (lg2507C800, sell, entry range 4.5 - 7.5) to reduce capital costs [2]. - **Procurement Management**: When the regular procurement inventory is low and procurement is based on orders, to prevent rising log prices from increasing procurement costs, buy log futures (lg2507, buy, 50%, entry range 750 - 800) to lock in procurement costs in advance; sell put options (lg2507P750, sell, 75%, entry range 5.5 - 12) to collect premiums and lock in the spot purchase price if the price drops [2]. Core Contradiction - Today, the 07 main contract increased its positions by 2057 lots and fell 1.58%, while the 09 contract increased positions by 813 lots and fell 1.16%. The spot price remained stable, and the basis strengthened. The closing basis was 35.1 based on the 8% over - length price of 5.9 - meter medium - grade A logs. In the 22nd week, 11 vessels of New Zealand logs were expected to arrive at 18 ports, 2 more than last week, a week - on - week increase of 22%, with a total arrival volume of about 372,000 cubic meters, an increase of 33,000 cubic meters from last week, a week - on - week increase of 10%. The May FOB price of 110 US dollars had active transactions, and subsequent arrivals were expected to remain high. June - July is the off - season for downstream consumption, and there is expected to be some pressure on the outbound volume. The latest FOB price is 110 - 112 US dollars, a 2 - dollar increase from the previous period. It is difficult to see a weakening of foreign quotes. Traders' losses have not been repaired, and they have the intention to jointly support prices. The futures price is at a discount, and there is no profit in selling for hedging, so there is no strong motivation to sell on the futures market [3]. Spot and Basis - On June 5, 2025, the spot prices of various specifications of logs in different ports remained unchanged compared to the previous day and five days ago. The basis (after conversion) was calculated according to the formula: basis (after conversion)=spot price with 108% over - length - main contract futures price ± premium/discount (subtract premium or add discount) [5][8]. Log Data Overview - **Supply**: The radiation pine import volume in April 2025 was 1.65 million cubic meters, a decrease of 60,000 cubic meters from the previous month and a year - on - year decrease of 10.3% [9]. - **Inventory**: As of May 30, 2025, the national port inventory was 3.41 million cubic meters, a decrease of 20,000 cubic meters from the previous week and a year - on - year increase of 2.1%. The port inventory in Shandong was 1,895,000 cubic meters, a decrease of 25,000 cubic meters from the previous week and a year - on - year decrease of 4.5%. The port inventory in Jiangsu was 1,135,153 cubic meters, an increase of 35,553 cubic meters from the previous week and a year - on - year increase of 35.3% [9]. - **Demand**: As of May 30, 2025, the average daily outbound volume of logs at ports was 628,000 cubic meters, an increase of 7,000 cubic meters from the previous week and a year - on - year decrease of 9.9%. The average daily outbound volume in Shandong was 331,000 cubic meters, an increase of 11,000 cubic meters from the previous week and a year - on - year decrease of 1.8%. The average daily outbound volume in Jiangsu was 229,000 cubic meters, a decrease of 7,000 cubic meters from the previous week and a year - on - year decrease of 12.3% [9]. - **Profit**: As of June 6, 2025, the radiation pine import profit was - 46 yuan per cubic meter, an increase of 1 yuan from the previous week, and the spruce import profit was - 108 yuan per cubic meter, also an increase of 1 yuan from the previous week [9]. Factors Affecting the Market - **Positive Factors**: Due to continuous import losses, traders have the intention to jointly support prices; macro - policies are exerting force; the overall sentiment of commodities has improved [7]. - **Negative Factors**: The demand is weaker than expected, and the sales are slow; the subsequent shipping volume has recovered [7].

研究员: 许方莉 期货从业资格号F3073708 期货投资咨询从业证书号Z0017638 免责声明 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完整性不做任 何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否符合其特定状况。本 报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。如引用、刊发，需注明出处为 瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修改。 | 项目类别 | 数据指标 | 最新 | 环比 数据指标 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | | 期货收盘价(活跃合约):菜籽油(日,元/吨) | 9152 | 51 期货收盘价(活跃合约):菜籽粕(日,元/吨) | 2567 | 24 | | 期货市场 | 菜油月间差(9-1):(日,元/吨) | 157 | 15 菜粕月间价差(9-1)(日,元/吨) | 254 | 22 | | | 主力合约持仓量:菜油(日,手) | 301781 | - ...

Report Information - Report Title: Nanhua Commodity Index Daily Report [2] - Report Date: June 4, 2025 [2] - Stock Code: 603093 [2] Market Data Summary Index Performance - **Composite Index**: The Nanhua Composite Index (NHCI) closed at 2382.69, up 0.89% (20.93 points) from the previous close of 2361.76, with an annualized return of -14.10% and an annualized volatility of 14.05% [3]. - **Sector Indices**: The Nanhua Black Index (NHFI) had the largest increase among sector indices, rising 2.11% (47.81 points) to 2318.50. The Nanhua Non - Ferrous Metal Index (NHNF) had the smallest increase, up 1.30% (21.09 points) to 1646.41. The Nanhua Agricultural Product Index (NHAI) had the largest decline, down - 0.23% (-2.43 points) to 1053.62, and the Nanhua Precious Metal Index (NHPMI) had the smallest decline, down - 0.02% (-0.23 points) to 1221.32 [1][3]. - **Theme Indices**: Among theme indices, only the Nanhua Oilseeds and Oils Index (NHOOl) declined, down - 0.51% (-5.99 points) to 1172.97. The Nanhua Black Raw Material Index (NHFM) had the largest increase, rising 2.58% (23.28 points) to 926.60, and the Nanhua Economic Crop Index (NHAECI) had the smallest increase, up 0.56% (4.86 points) to 876.89 [1][3]. - **Single - Variety Indices**: Among commodity futures single - variety indices, the coking coal index had the largest increase, rising 6.82%, and the plywood index had the largest decline, down - 5.16% [3]. Contribution and Volatility - **Contribution of Single Varieties**: Some single - variety indices showed different contributions to the overall index. For example, in terms of contribution, positive - contributing varieties included rebar with a contribution of 25.57%, soda ash with 20.23%, and iron ore with 16.58% and 19.23% respectively [4]. - **Volatility**: The annualized volatility and Sharpe ratio of different indices varied. For instance, the Nanhua Precious Metal Index (NHPMI) had an annualized return of 20.19%, an annualized volatility of 18.72%, and a Sharpe ratio of 1.08, while the Nanhua Energy and Chemical Index (NHECI) had an annualized return of - 23.12%, an annualized volatility of 16.98%, and a Sharpe ratio of - 1.36 [3].

资金方面，隔夜 shibor 报 1.4080%，较前一交易日下跌 0.2bp，7 天 shibor 报 1.5430%，较前一 交易日上涨 2.8bp；14 天 shibor 报 1.5760%，较前一交易日下跌 0.3bp；1 个月 shibor 报 1.6200%， 与上一交易日持平。 上一交易日国债期货市场 | | | 主力合约 | 开盘价 | 最高价 | 最低价 | 收盘价 | 涨跌(%) | 振幅(%) | 成交 | 持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2 | 年期 | TS2509 | 102.372 | 102.416 | 102.360 | 102.396 | 0.04 | 0.05 | 31202 | 114335 | | 5 | 年期 | TF2509 | 105.990 | 106.060 | 105.935 | 106.035 | 0.07 | 0.12 | 46001 | 139957 | | 10 | 年期 | T2509 | 108.720 | 108.775 | ...

Group 1 - The core concept of the new futures trading fee structure includes a "+1 point" fee model and an unconditional rebate application, aimed at reducing trading costs for investors [3][19] - The "+1 point" model involves a minimal additional fee of 0.01 yuan per contract on top of the exchange's fixed fee, making it attractive for high-frequency traders and day traders [5][6] - This model significantly lowers friction costs for frequent trading, potentially saving thousands of yuan annually for traders executing high volumes [5][11] Group 2 - The unconditional rebate mechanism allows clients to receive a portion of the exchange's fee rebate, typically around 30%-40%, directly back, further reducing their effective trading costs [8][10] - For example, if the exchange charges a fee of 2 yuan, after a 30% rebate, the client's actual cost can drop to 1.47 yuan per contract [8][11] - The rebate is beneficial for high-frequency traders as it can cover 30%-50% of the total fees, enhancing profitability [11][12] Group 3 - Investors should be cautious of hidden fees and service quality, as lower fees may correlate with reduced support services from brokerage firms [7][18] - Different exchanges have varying rebate policies, and it is essential for traders to confirm the specifics of these policies before engaging [13][15] - The choice of brokerage should balance cost and service quality, with high-frequency traders prioritizing low fees and fast rebate processing, while longer-term investors may value research support and risk management [16][17]

聚酯产业风险管理日报：需求预期转弱，持货意愿降低 2025/06/04 【利多解读 】 【利空解读】 戴一帆（投资咨询证号：Z0015428） 周嘉伟（期货从业证号：F03133676） 投资咨询业务资格：证监许可【2011】1290号 聚酯价格区间预测 | | 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） | | --- | --- | --- | --- | | 乙二醇 | 4150-4650 | 19.37% | 46.3% | | PX | 6300-6900 | 23.62% | 79.7% | | PTA | 4400-4900 | 22.24% | 64.7% | | 瓶片 | 5700-6250 | 18.11% | 61.0% | source： 南华研究,同花顺 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 | | ...

Report Industry Investment Rating - No clear industry investment rating is provided in the report. Core View of the Report - The view is to hold positions firmly. Although the reasons for the bond market's rise today seem unconvincing and further observation is needed, the current interest rate level and capital center are still favorable for allocation funds, and long - position holders should hold their chips [1][3] Summary by Related Catalogs 1. Disk Review - Treasury bond futures opened higher and then declined in the morning, fluctuated narrowly in the afternoon, and rallied across the board at the close. The capital interest rate remained low, with the overnight DR closing below 1.4%. The open market had a net withdrawal of 600 million yuan, and liquidity remained abundant [1] 2. Intraday News - The Ministry of Finance and the Ministry of Housing and Urban - Rural Development organized the 2025 evaluation of central - fiscal support for urban renewal actions. 20 cities are proposed to be supported, including Beijing, Tianjin, Tangshan, etc. [2] 3. Market Judgment - The bond market trading has been relatively dull recently. After the adjustment of deposit interest rates, the bulls lack sufficient upward momentum. Neither data releases nor capital levels can truly constitute negative factors. In this uncertain environment, short - term factors such as CD price increases and the seesaw effect of risk assets have an amplified impact on the market. The reasons for the bond market's rise today seem unconvincing, and further observation is needed [3] 4. Data Overview - **Contract Prices and Changes**: TS2509 rose 0.04 to 102.392, TF2509 rose 0.05 to 106.01, T2509 rose 0.06 to 108.73, and TL2509 rose 0.05 to 119.5 [4] - **Contract Positions and Changes**: TS contract positions decreased by 1185 to 119,964 hands, TF contract positions increased by 1800 to 164,943 hands, T contract positions increased by 4148 to 194,988 hands, and TL contract positions increased by 1114 to 114,724 hands [4] - **Basis and Changes**: TS basis (CTD) rose 0.0086 to - 0.0741, TF basis (CTD) rose 0.0091 to - 0.0175, T basis (CTD) rose 0.0683 to 0.023, and TL basis (CTD) fell 0.0567 to 0.4113 [4] - **Transaction Volume and Changes**: TS main contract trading volume decreased by 6072 to 31,202 hands, TF main contract trading volume decreased by 1213 to 46,001 hands, T main contract trading volume increased by 12841 to 55,709 hands, and TL main contract trading volume increased by 9425 to 70,260 hands [4] - **DR Interest Rates and Changes**: DR001 fell 0.0686 to 1.4136%, DR007 fell 0.1149 to 1.5496%, and DR014 fell 0.1392 to 1.5844% [4] - **DR Transaction Amounts and Changes**: DR001 transaction amount increased by 7904.9392 billion yuan to 24,426.9455 billion yuan, DR007 transaction amount increased by 254.423 billion yuan to 1075.1885 billion yuan, and DR014 transaction amount increased by 36.574 billion yuan to 122.9315 billion yuan [4]

Investment Rating No investment rating for the industry is provided in the report. Core Viewpoints - The log market is expected to continue its weak and volatile pattern. It is recommended to operate within a range, focusing on high - selling and low - buying. With 14 days remaining until the option expiration, attention should be paid to the subsequent decay of time value. It is advised to sell lg2507C800 at high prices and lg2507P750 at low prices. If the market drops significantly, consider buying lg2507C775 at low prices. The 09 contract, corresponding to a relatively seasonal peak season, presents a chance to buy on dips [4]. Summary by Relevant Content Log Price and Volatility - The monthly price range forecast for logs is 740 - 800. The current 20 - day rolling volatility is 16.28%, and the historical percentile of the current volatility over 3 years is 67.4% [2]. Hedging Strategies Inventory Management - When log imports are high and inventory is at a peak, and there are concerns about price drops, for long - position inventory, it is recommended to short log futures (lg2507) at a 25% hedging ratio, with an entry range of 800 - 785. Also, buy put options (lg2507P775) at a 50% hedging ratio with an entry range of 9.5 - 14 and sell call options (lg2507C800) at a 50% hedging ratio with an entry range of 4.5 - 7.5 to lock in profits and cover production costs [2]. Procurement Management - When the regular procurement inventory is low and procurement is to be done based on orders, for short - position inventory, it is recommended to buy log futures (lg2507) at a 50% hedging ratio, with an entry range of 750 - 800. Sell put options (lg2507P750) at a 75% hedging ratio with an entry range of 5.5 - 12 to prevent cost increases due to price hikes and lock in the purchase price [2]. Market Conditions of Contracts - The 09 contract increased its positions by 1758 lots, dropped 1.2%, and broke through support levels, but its total open interest is still less than 10,000 lots, indicating weak liquidity and poor market - taking ability. The 07 contract reduced its positions by 829 lots, dropping 0.98%. The main contract will gradually shift to the 09 contract this month, and attention should be paid to the monthly spread changes brought about by the position - shifting [3]. Supply and Demand - In the 22nd week, 11 vessels of New Zealand logs are expected to arrive at 18 ports, 2 more than last week, a week - on - week increase of 22%. The total arrival volume is about 372,000 cubic meters, 33,000 cubic meters more than last week, a week - on - week increase of 10%. There is currently no sign of a decrease in arrivals. The ex - works price in May was 110 US dollars, with brisk transactions, and it is expected that arrivals will remain high. June - July is the off - season for downstream consumption, and there is expected to be some pressure on the outbound volume. The latest ex - works price is 110 - 112 US dollars, a 2 - dollar increase from the previous period. There are no signs of a weakening in foreign quotes. Traders' losses have not been recovered, and they have the intention to jointly support prices. The futures price is at a discount, and there is no profit in selling for hedging, so there is no strong motivation to sell on the futures market [4]. Factors Affecting the Market Bullish Factors - Traders have the intention to jointly support prices due to continuous import losses, macro - policy efforts, and an overall improvement in commodity sentiment [7]. Bearish Factors - Demand is weaker than expected, and the goods movement is slow. There will be an increase in subsequent shipments [7]. Price and Data Overview - The report provides price data for various types of logs at different ports, including 3.9m medium (3.8A) logs at Rizhao Port, 4m medium (3.8A) logs at Taicang Port, etc., along with the calculation method for the basis [8]. - It also presents a comprehensive overview of log data, such as radiation pine imports, port inventories in different regions, daily average outbound volumes at ports, import profits of radiation pine and spruce, and prices of major spot logs [9].

1. Report Industry Investment Rating - No information provided 2. Core View - The stock index has risen for two consecutive days, but the trading volume in the two markets has not significantly increased, and the basis of index futures has not changed much. Compared with last Friday, the discount has deepened, so market sentiment has not significantly improved. The overseas tariff war continues, and there are many uncertainties in the external environment, which suppresses the A-share market. It is expected that a continuous upward trend is difficult to form. The Lujiazui Forum will be held from June 18th to 19th, and several financial policies will be released. The expectation of policy benefits provides some support for the index, and the downside space is limited. In the short term, it is expected to fluctuate within a range. A breakthrough requires a more definite change in the external environment or the implementation of the next round of domestic favorable policies [6] 3. Summary by Relevant Catalogs Market Review - The stock index closed higher today. Taking the CSI 300 Index as an example, it rose 0.43% at the close. In terms of capital, the trading volume in the two markets increased by 1.16 billion yuan. Index futures rose with shrinking volume [4] Important Information - The US side claimed that China violated the consensus reached at the Geneva talks. The Chinese Foreign Ministry spokesperson Lin Jian stated that the Chinese Ministry of Commerce spokesperson had previously clarified China's solemn position. The Geneva consensus was reached by China and the US under the principles of mutual respect and equal consultation. - US President Trump announced that the tariffs on imported steel, aluminum and their derivative products would be raised from 25% to 50%, effective at 00:01 on June 4, 2025, Eastern Time. The tariffs on steel and aluminum imported from the UK will remain at 25% [5] Strategy Recommendation - Hold positions and wait and see [7] Index Futures Market Observation | | IF | IH | IC | IM | | --- | --- | --- | --- | --- | | Main contract intraday change (%) | 0.41 | 0.16 | 0.76 | 0.82 | | Trading volume (10,000 lots) | 6.9824 | 3.1907 | 5.809 | 15.1505 | | Trading volume change compared to the previous day (10,000 lots) | -0.5368 | -0.8162 | -1.129 | -1.2982 | | Open interest (10,000 lots) | 22.9448 | 7.8806 | 20.6376 | 31.5489 | | Open interest change compared to the previous day (10,000 lots) | -0.6744 | -0.3071 | -0.7279 | -0.5633 | [8] Spot Market Observation | Name | Value | | --- | --- | | Shanghai Composite Index change (%) | 0.42 | | Shenzhen Component Index change (%) | 0.87 | | Ratio of rising stocks to falling stocks | 3.20 | | Trading volume in the two markets (100 million yuan) | 11530.47 | | Trading volume change compared to the previous day (100 million yuan) | 116.38 | [9]