Report Information - Report Title: Stock Index Futures Daily Report [1] - Date: September 24, 2025 [2] - Analyst: Wang Ying (Investment Consultation License No.: Z0016367) [2] - Investment Consultation Business Qualification: Securities Regulatory Permission [2011] No. 1290 [2] Investment Rating - Not provided in the report Core Views - The stock market oscillated upward today, with small and medium - cap stocks rising significantly, mainly driven by Alibaba's positive news which led to the overall upward movement of the science and technology sector. The main contracts of IC and IM index futures corresponding to small and medium - cap indexes both rose by more than 3%. The basis increased significantly, and there was a phenomenon of short - sellers leaving the market considering the open interest. The overall stock index was still running below the previous high. [5] - Today, the total trading volume of the two markets narrowed to about 2.3 trillion yuan. In a market with shrinking volume driven by structural factors, the sustainability of the stock index rebound remains to be seen. It is not advisable to enter the market aggressively to chase the high before the holiday. Considering the previous day's market, there is still optimistic sentiment supporting the short - term market. It is expected that the stock index will continue to oscillate around the previous high central point. The recommended strategy is to mainly wait and see. [5] Market Review Summary - Today, the stock index trended upward. Taking the CSI 300 index as an example, it closed up 1.02%. The trading volume of the two markets decreased by 16.7598 billion yuan. In the futures market, all varieties rose with shrinking volume. [3] Important Information Summary - On September 24, at the 2025 Hangzhou Yunqi Conference, Alibaba Cloud and NVIDIA reached a cooperation in the Physical AI field. Alibaba Cloud's artificial intelligence platform PAI will integrate NVIDIA's Physical AI software stack, providing enterprise users with full - link platform services such as data pre - processing, simulation data generation, model training and evaluation, robot reinforcement learning, and simulation testing, further shortening the development cycle of applications such as embodied intelligence and assisted driving. [4] - Alibaba Cloud announced the launch of Qwen3 - Max, the largest and most powerful model developed by the Tongyi Qianwen team to date. [4] Index Futures Market Observation | Futures Type | IF | IH | IC | IM | | --- | --- | --- | --- | --- | | Main Contract Intraday Percentage Change (%) | 1.69 | 0.94 | 3.90 | 3.21 | | Trading Volume (10,000 lots) | 14.6745 | 6.2124 | 17.718 | 29.362 | | Trading Volume MoM (10,000 lots) | - 2.4218 | - 0.9047 | - 0.4626 | - 3.5404 | | Open Interest (10,000 lots) | 26.37 | 9.8305 | 25.5972 | 36.5491 | | Open Interest MoM (10,000 lots) | - 1.314 | - 0.3523 | - 0.589 | - 2.7949 | [6] Spot Market Observation | Index | Value | | --- | --- | | Shanghai Composite Index Percentage Change (%) | 0.83 | | Shenzhen Component Index Percentage Change (%) | 1.80 | | Ratio of Rising to Falling Stocks | 5.18 | | Total Trading Volume of the Two Markets (100 million yuan) | 23267.84 | | Trading Volume MoM (100 million yuan) | - 1675.98 | [7]

Industry Investment Rating - No information about the industry investment rating is provided in the report. Core Viewpoint - The report provides a comprehensive analysis of the stock market on September 22, including the performance of major indices, the impact of sector movements on these indices, the basis of stock index futures, and the points difference and annualized cost of futures contract roll - over. Summary by Section Index Trends - On September 22, the Shanghai Composite Index rose 0.22% to close at 3828.58 points with a trading volume of 941.8 billion yuan; the Shenzhen Component Index rose 0.67% to close at 13157.97 points with a trading volume of 1179.683 billion yuan [1]. - The CSI 1000 Index rose 0.69% with a trading volume of 440.515 billion yuan, opening at 7457.89, closing at 7489.48, with a high of 7489.48 and a low of 7418.46 [1]. - The CSI 500 Index rose 0.76% with a trading volume of 421.916 billion yuan, opening at 7182.89, closing at 7225.13, with a high of 7225.86 and a low of 7143.08 [1]. - The SSE 50 Index rose 0.43% with a trading volume of 156.401 billion yuan, opening at 2911.02, closing at 2922.18, with a high of 2929.52 and a low of 2901.12 [1]. - The SSE 300 Index rose 0.46% with a trading volume of 563.149 billion yuan, opening at 4512.03, closing at 4522.61, with a high of 4523.87 and a low of 4487.13 [1]. Impact of Sector Movements on Indices - The CSI 1000 rose 51.29 points from the previous close, with sectors such as electronics, computers, and machinery having a significant upward pull on the index [3]. - The CSI 500 rose 54.78 points from the previous close, with electronics, computers, and power equipment sectors having a significant upward pull [3]. - The SSE 300 rose 20.69 points from the previous close, with electronics, computers, and non - bank finance sectors having an upward pull, while food and beverage, and banking sectors had a downward pull [3]. - The SSE 50 rose 12.44 points from the previous close, with electronics, non - bank finance, and non - ferrous metals sectors having an upward pull, while food and beverage, and banking sectors had a downward pull [3]. Basis of Stock Index Futures and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 95.65, IM01 had - 178.8, IM02 had - 260.61, and IM03 had - 471.29 [12]. - For IC contracts, IC00 had an average daily basis of - 81.87, IC01 had - 148.19, IC02 had - 210.53, and IC03 had - 380.13 [12]. - For IF contracts, IF00 had an average daily basis of - 14.2, IF01 had - 27.64, IF02 had - 39.11, and IF03 had - 64.45 [12]. - For IH contracts, IH00 had an average daily basis of 1.33, IH01 had 0.79, IH02 had 1.54, and IH03 had 4.06 [12]. Points Difference in Futures Contract Roll - over and Annualized Costs - Detailed data on the points difference in contract roll - over and their annualized costs are provided for IM, IC, IF, and IH contracts at different time intervals from 09:45 to 15:00 [23][25][26].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Not provided in the content Summary by Category 1. Power Coal - Recorded the daily basis and spread data of power coal from September 15 - 19, 2025, with the basis gradually increasing from -115.4 yuan/ton to -97.4 yuan/ton, and the spreads of 5 - 1, 9 - 1, and 9 - 5 remaining at 0.0 [1][2] 2. Energy and Chemicals (1) Energy Commodities - Presented the basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from September 15 - 19, 2025, including the basis of fuel oil and INE crude oil, and the ratio of crude oil to asphalt [7] (2) Chemical Commodities - Showed the basis, inter - period spreads, and inter - commodity spreads of chemical products. The basis data of rubber, methanol, PTA, LLDPE, V, and PP from September 15 - 19, 2025 were given, as well as the inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for multiple chemicals and the inter - commodity spreads such as LLDPE - PVC, LLDPE - PP, etc. [9][11] 3. Black Metals - Displayed the inter - period spreads and inter - commodity spreads of black metals. The inter - period spreads of 5 - 1, 9(10) - 1, and 9(10) - 5 for rebar, iron ore, coke, and coking coal were provided, along with the inter - commodity spreads like the ratio of rebar to iron ore, rebar to coke, etc. from September 15 - 19, 2025 [20] 4. Non - ferrous Metals (1) Domestic Market - Recorded the basis data of copper, aluminum, zinc, lead, nickel, and tin in the domestic market from September 15 - 19, 2025 [28] (2) London Market - Presented the LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss of LME non - ferrous metals on September 19, 2025 [34] 5. Agricultural Products - Provided the basis, inter - period spreads, and inter - commodity spreads of agricultural products. The basis data of soybeans, soybean meal, soybean oil, etc. from September 15 - 19, 2025 were shown, as well as the inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for various agricultural products and the inter - commodity spreads such as the ratio of soybeans to corn, soybean oil to soybean meal, etc. [40] 6. Stock Index Futures - Recorded the basis and inter - period spreads of stock index futures. The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from September 15 - 19, 2025 were presented, along with the inter - period spreads of the next month - current month and next quarter - current quarter for different stock indices [51]

Group 1: Macro and Market Overview - The Fed cut the benchmark interest rate by 25 basis points as expected, and the market is now focused on the future interest - rate path and economic data, especially the labor market [1][2][4] - The number of initial jobless claims in the US last week dropped significantly to 231,000, a decrease of 32,000 from the previous week, the largest decline in nearly four years [1][2][4] - The RMB exchange rate is expected to oscillate around the current level, and the policy guidance signal of the RMB central parity rate needs to be closely watched [2] Group 2: Stock Index Futures - The stock index futures declined due to the fulfillment of the Fed's interest - rate cut expectation, but the overall upward trend remains unchanged due to the interest - rate cut cycles in both China and the US [4] - The small - and medium - cap stock index futures are relatively stronger in the short term, with limited downside space [4] Group 3: Treasury Bonds - The Treasury bond futures closed down, and the yield of most spot bonds rose. The market is waiting for the central bank's attitude [5] - The new 2Y and 7Y bonds issued last week have been included in the deliverable bonds, but have not significantly affected the futures price [5] Group 4: Container Shipping - The container shipping index (European line) futures prices oscillated slightly downward. The near - month contracts have fallen to a relatively appropriate level, but may continue to decline [6][7] - It is recommended to hold short positions in the 10 - contract and wait and see, and look for low - buying opportunities in the 12 - contract at 1550 - 1600 points [7] Group 5: Precious Metals - Gold and silver prices are in a high - level oscillation stage after the Fed's interest - rate cut. The market focus is on the Fed's easing expectations, personnel adjustments, and tariff policies [8] - It is recommended to maintain the idea of buying on dips and hold existing long positions cautiously [9] Group 6: Non - ferrous Metals Copper - The copper price declined due to the Fed's interest - rate decision. The Grasberg copper mine in Indonesia had a production reduction due to a mudslide [11] - The trading strategy is to sell out - of - the - money put options [11] Zinc - The zinc price was weak. The supply is in an oversupply state, and the demand is average. It is recommended to wait and see for the internal - external reverse arbitrage or sell out - of - the - money call options [14] Nickel and Stainless Steel - The prices of nickel and stainless steel were affected by the market and were weak. The fundamentals have no obvious changes [14][15] Tin - The tin price declined slightly. The supply is tight in the short term, and it is recommended to wait for long - entry opportunities [15][16] Lead - The lead price was in a high - level oscillation. The supply is relatively weak compared to the demand, and it is expected to maintain high - level oscillation in the short term [16][17] Group 7: Black Metals Rebar and Hot - Rolled Coil - The prices of rebar and hot - rolled coil were weak. The overall steel market is still in the process of inventory reduction, and the price is expected to oscillate after digesting the short - term impact of the Fed's interest - rate cut [18] Iron Ore - The iron ore price oscillated around 800. The supply and demand are in a tight balance, and the price is expected to oscillate based on fundamentals [19][20] Coking Coal and Coke - The coking coal price stopped falling and rebounded, and the second - round price cut of coke was fully implemented. It is not recommended to short coking coal, and the industry can consider hedging opportunities at low basis [21] Ferrosilicon and Ferromanganese - The ferrosilicon and ferromanganese prices were affected by the news of the increase in the standard of submerged arc furnaces in the metallurgical industry. The short - term price is expected to rise, and it is recommended to try long positions [22] Group 8: Energy and Chemicals Crude Oil - The crude oil price fell slightly. It is expected to continue to oscillate within a narrow range in the short term, and the probability of a short - term correction has increased [24][25] LPG - The LPG price declined. The supply is controllable, and the demand is lack of clear drivers, so it is expected to oscillate [25][26] PTA - PX - The PX - PTA prices are expected to oscillate strongly. The polyester demand is expected to improve seasonally, but the PTA processing fee repair is limited [27][28][29] Methanol - The methanol price is expected to oscillate in the short term. It is recommended to reduce long positions and hold short - put options [29][30] PP - The PP price is supported by the cost side, but the demand is in the "peak season without peak" situation. The downward space is limited, and a rebound may occur if the device shutdown increases [31][32] PE - The PE price is in a weak supply - demand pattern, with limited upward drivers and limited downward space, and is expected to oscillate [34][35] Pure Benzene and Styrene - The pure benzene and styrene prices are weak, with high inventory and low valuation. They are expected to oscillate and follow the cost side [36][37] Fuel Oil - It is recommended to short the cracking profit of fuel oil. The export volume is decreasing, and the demand is stable [37][38] Asphalt - The asphalt price is affected by the increase in supply and the inability to release demand. The inventory structure is improving. It may have a last chance to rise this year [39] Rubber and 20 - Rubber - The rubber prices fell. The supply is affected by weather, and the demand is stable in the short term. It is recommended to try long positions at low prices [40][41][42] Group 9: Glass, Soda Ash, and Caustic Soda Soda Ash - The soda ash price is under pressure due to the high - level supply expectation. The demand is stable, and the supply - demand pattern is strong supply and weak demand [43] Glass - The glass price lacks a clear trend. The supply - demand pattern is strong supply and weak demand in the near term, and factors such as supply ignition and coal price need to be followed [44][45] Caustic Soda - The caustic soda price is weak in the spot market. The downstream demand is stable, and the supply fluctuates due to maintenance [46] Group 10: Pulp - The pulp price is expected to oscillate in the short term. The macro - level interest - rate cut has a positive impact, but the fundamentals lack clear drivers [46][47] Group 11: Propylene - The propylene price declined. The supply increased and the demand decreased, and the price followed the decline of PP [49][50] Group 12: Agricultural Products Live Pigs - The live pig price declined. The supply is still high in September, and it is recommended to short at high prices [51] Oilseeds - The soybean market is affected by Sino - US negotiations. The domestic soybean inventory is high, and the downstream demand is stable [51][53] Vegetable Oils - The vegetable oil prices declined due to the uncertainty of the US bio - fuel policy. It is recommended to wait and see in the short term [53][54] Soybean No. 1 - The soybean No. 1 futures price rebounded slightly. The new - season soybean price is expected to be under pressure, and it is recommended to hold short - hedge positions [54] Corn and Starch - The corn and starch prices are expected to be weak as new grains are gradually coming onto the market [53][56]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The report provides a comprehensive overview of the futures market, including spot prices, fundamental information, macro news, and fund flows. It also presents forecasts on global and regional soybean production, trade, and consumption, as well as the impact of weather on crops [1][7]. Summary by Section 01 & 02 Spot Market - Spot prices and price changes of various commodities such as palm oil, crude oil, soybeans, and their related products are presented, along with currency exchange rates and basis data for some futures contracts [1][2]. - For example, the closing price of BMD Malaysian palm oil for December is 4439.00, with a previous -day decline of 0.89% and an overnight decline of 0.11% [1]. 03 Important Fundamental Information -产区天气 - - The future weather outlook for major soybean - producing states in the US from September 23 - 27 shows higher - than - normal temperatures and precipitation near to below the median in the Midwest [3]. - The high temperature in the Midwest and rainfall in the west are unfavorable for crop maturity and harvesting, but may help reduce drought and supply water to the Mississippi River [5]. - International Supply and Demand - - IGC predicts that the global soybean production in 2025/26 will be basically flat year - on - year at 4.29 billion tons, and the trade volume in 2024/25 will increase by 2 million tons month - on - month [7]. - As of September 16, about 36% of US soybean - growing areas were affected by drought, up from 22% the previous week [8]. - As of September 11, US soybean export sales increased by 925,300 tons, meeting expectations, and the export shipment volume increased by 31% compared to the previous week [8]. - CONAB estimates that Brazil's soybean production in 2025/26 will increase by 3.6% to 177.67 million tons [10]. - The EU and UK's rapeseed production in 2025 is expected to be 21.6 million tons, higher than the June forecast [10]. - Domestic Supply and Demand - - On September 18, the total trading volume of soybean oil and palm oil decreased by 380 tons (2%) compared to the previous trading day [13]. - On September 18, the trading volume of soybean meal decreased by 99,200 tons compared to the previous day, and the national oil - mill operating rate decreased by 1.13% [14]. - China's August imports of palm oil, soybean oil, and rapeseed oil increased year - on - year, while the cumulative imports from January - August showed different trends [14]. 04 Macro News - International News - - The probability of the Fed keeping interest rates unchanged in October is 8.1%, and the probability of a 25 - basis - point rate cut is 91.9% [17]. - The US Supreme Court will hold an oral argument on November 5 regarding the legality of Trump's large - scale global tariff collection [17]. - Domestic News - - On September 18, the US dollar/Chinese yuan exchange rate was reported at 7.1085, up 72 points (yuan depreciation) [19]. - On September 18, the Chinese central bank conducted 487 billion yuan of 7 - day reverse repurchase operations, resulting in a net injection of 195 billion yuan [19]. 05 Fund Flows - On September 18, 2025, the futures market had a net inflow of 10.858 billion yuan. Commodity futures had a net outflow of 6.128 billion yuan, while stock index futures had a net inflow of 16.653 billion yuan and bond futures had a net inflow of 390 million yuan [22]. 06 Arbitrage Tracking No relevant content provided.

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - On September 18, all four major stock index futures contracts for the current month declined. The IF dropped 1.35%, the IH fell 1.45%, the IC decreased 1%, and the IM declined 1.19%. In the short term, the stock index futures may rebound, and the slow - bull pattern in the trend is becoming clearer [1]. - On the trading day, the total trading volume of stock index futures rebounded, indicating an increase in investors' trading enthusiasm. The total trading volume of IF, IH, IC, and IM increased by 57,520 lots, 35,836 lots, 72,444 lots, and 143,070 lots respectively. In terms of positions, the total positions of IF, IH, IC, and IM increased by 14,691 lots, 10,071 lots, 19,056 lots, and 25,806 lots respectively [1][2][3]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Data - **September 18 Quotes**: The closing prices of the four major stock index futures all decreased. For example, the closing price of IF2509 was 4,487.2, down 1.35%; IH2509 was 2,910.8, down 1.45%; IC2509 was 7,171.6, down 1%; IM2509 was 7,454.8, down 1.19%. There were also corresponding changes in trading volume, open interest, and basis [1]. - **Trading Volume and Open Interest Changes**: The total trading volume of all four major stock index futures increased, and the total open interest also showed an upward trend [2][3]. 3.2 Long and Short Positions of Top 20 Members - For different contracts such as IF2509, IH2509, IC2509, and IM2509, there were changes in the increase or decrease of long and short positions. For example, in IF2509, long positions decreased by 17,195, and short positions decreased by 18,103 [5]. 3.3 Trend Intensity - The trend intensity of IF and IH is 1, and the trend intensity of IC and IM is also 1, indicating a certain degree of upward trend [7]. 3.4 Important Drivers - In the overseas market, chip stocks boosted the four major US stock indexes to record highs, while Chinese concept stocks declined. In the domestic A - share market, the Shanghai Composite Index fell 1.15%, the Shenzhen Component Index fell 1.06%, and the ChiNext Index fell 1.64%. The trading volume reached 3.17 trillion yuan, an increase from the previous day [8].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, the short - term outlook is bullish as the implied interest rate of ultra - long bonds is considered cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summaries According to Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On September 17th, the four major A - share stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16% to 13215.46 points, the ChiNext Index rose 1.95% to 3147.35 points, and the Science and Technology Innovation 50 Index rose 0.91% to 1370.43 points. The market turnover was 24,029 billion yuan, an increase of 359 billion yuan from the previous day. Among industry sectors, power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%) led the gains, while agriculture, forestry, animal husbandry, and fishery (-1.02%), commerce and retail (-0.98%), and social services (-0.86%) led the losses. In terms of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 2,504, 168, and 2,754 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 151, - 177, 9, and 319 billion yuan respectively, with changes of - 145, - 18, +76, and +87 billion yuan [2]. - **Basis and Annualized Basis Yield**: The basis of IM, IC, IF, and IH next - month contracts was 74.61, 63.04, 9.22, and - 2.82 points respectively, and the annualized basis yields were - 14.52%, - 12.77%, - 2.98%, and 1.41% respectively. Their three - year historical quantiles were 16%, 10%, 29%, and 62% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - position view on the economy and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On September 17th, the yields of treasury bond futures declined across the board. Among active contracts, the implied interest rate of the 2 - year bond was 1.346, down 2.65 bps from the previous day; the 5 - year bond was 1.534, down 2.15 bps; the 10 - year bond was 1.711, down 3.18 bps; and the 30 - year bond was 2.147, down 1.47 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.61%. For the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 2.15 bps, a corresponding net basis of 0.008, and an IRR of 1.51%. For the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 2 bps, a corresponding net basis of 0.027, and an IRR of 1.42%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.5 bps, a corresponding net basis of 0.083, and an IRR of 1.3% [2]. - **Funding Situation**: In open - market operations, the central bank injected 418.5 billion yuan and withdrew 304 billion yuan, resulting in a net injection of 114.5 billion yuan [2]. - **Trading Strategy**: Short - term bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic mid - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and imports and exports is analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a decline, and zero scores indicate little change [8][10][11]

Group 1: Report Overview - The report is the Baocheng Futures Variety Arbitrage Data Daily Report for September 12, 2025, covering multiple commodity sectors including thermal coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1] Group 2: Thermal Coal - The table shows the basis, 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of thermal coal from September 5 to September 11, 2025. The basis on September 11 was - 126.4 yuan/ton, and the spreads were all 0.0 [2] Group 3: Energy Chemicals Energy Commodities - Data on the basis of fuel oil, crude oil, and asphalt, and the ratio of crude oil to asphalt are presented from September 5 to September 11, 2025. For example, on September 11, the basis of INE crude oil was 16.42 yuan/ton, and the ratio of crude oil to asphalt was 0.1413 [7] Chemical Commodities - **Basis**: The basis of rubber, methanol, PTA, LLDPE, V, and PP from September 5 to September 11, 2025 is provided. For instance, on September 11, the basis of rubber was - 1005 yuan/ton [9] - **Inter - delivery spreads**: The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - month minus 1 - month spread of rubber was 30 yuan/ton [10] - **Inter - commodity spreads**: The spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from September 5 to September 11, 2025 are shown. On September 11, the LLDPE - PVC spread was 2352 yuan/ton [10] Group 4: Black Metals Inter - delivery spreads - The 5 - month minus 1 - month, 9 - month(10) minus 1 - month, and 9 - month(10) minus 5 - month spreads of rebar, iron ore, coke, and coking coal are presented. For example, the 5 - month minus 1 - month spread of rebar was 49.0 yuan/ton [19] Inter - commodity spreads - The ratios of rebar to iron ore, rebar to coke, coke to coking coal, and the spread of rebar minus hot - rolled coil from September 5 to September 11, 2025 are given. On September 11, the ratio of rebar to iron ore was 3.88 [19] Basis - The basis of rebar, iron ore, coke, and coking coal from September 5 to September 11, 2025 is provided. On September 11, the basis of rebar was 118.0 yuan/ton [20] Group 5: Non - Ferrous Metals Domestic Market - The domestic basis of copper, aluminum, zinc, lead, nickel, and tin from September 5 to September 11, 2025 is shown. On September 11, the basis of copper was 10 yuan/ton [27] London Market - Data on LME non - ferrous metals including LME premium/discount, Shanghai - London ratio, CIF price, domestic spot price, and import profit/loss for copper, aluminum, zinc, lead, nickel, and tin on September 11, 2025 are presented. For example, the LME premium/discount of copper was (61.54) [34] Group 6: Agricultural Products Basis - The basis of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from September 5 to September 11, 2025 is provided. On September 11, the basis of soybeans No.1 was 115 yuan/ton [39] Inter - delivery spreads - The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads of various agricultural products are given. For example, the 5 - month minus 1 - month spread of soybeans No.1 was 47 yuan/ton [39] Inter - commodity spreads - The ratios and spreads such as soybeans No.1 to corn, soybeans No.2 to corn, soybean oil to soybean meal, soybean meal minus rapeseed meal, soybean oil minus palm oil, rapeseed oil minus soybean oil, and corn minus corn starch from September 5 to September 11, 2025 are shown. On September 11, the ratio of soybeans No.1 to corn was 1.79 [39] Group 7: Stock Index Futures Basis - The basis of CSI 300, SSE 50, CSI 500, and CSI 1000 from September 5 to September 11, 2025 is provided. On September 11, the basis of CSI 300 was - 13.97 [51] Inter - delivery spreads - The spreads of next - month minus current - month and next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are presented. For example, the next - month minus current - month spread of CSI 300 was - 53.8 [53]

Report Summary 1. Investment Rating The provided reports do not mention any industry investment ratings. 2. Core Views - **Equity Index Futures**: A-shares are experiencing an oscillating rebound with the technology sector leading the way. After a significant rally, A-shares may enter a high-level oscillating pattern. Wait for the volatility to further converge before confirming a better entry point [2][4]. - **Treasury Bond Futures**: The bond market sentiment remains weak due to the tightening of funds. The short - term bond market may still be sensitive to negative news. Investors are advised to wait and see, paying attention to the movement of funds and the market's expectation of loose monetary policy [5][7]. - **Precious Metals**: Geopolitical events and interest - rate cut expectations have been digested. Precious metals are in a high - level oscillating state. Gold is recommended to be bought cautiously at low prices, and silver can be traded in a band within the range of $40 - 42 [8][9][10]. - **Container Shipping Futures**: The market is expected to be weakly oscillating. Consider shorting the October contract or engaging in a spread arbitrage between the December and October contracts [11][12]. - **Non - ferrous Metals**: - **Copper**: The price is expected to oscillate. The short - term interest - rate cut boosts the financial attribute of copper, but the upside is limited. The long - term supply - demand contradiction provides bottom support [13][17]. - **Alumina**: The price is expected to oscillate weakly. Mid - term, consider shorting at high prices. The market is in a state of high supply, high inventory, and weak demand [18][20]. - **Aluminum**: The price is expected to oscillate widely around the actual fulfillment of peak - season demand. The macro - environment provides support, while the fundamental improvement is not strong [21][22]. - **Aluminum Alloy**: The price is expected to oscillate strongly. Pay attention to the supply of scrap aluminum and the inflection point of inventory [23][24]. - **Zinc**: The price is expected to oscillate. The supply is expected to be loose, and the price upside is limited, while the low inventory provides support [25][28]. - **Tin**: The price is expected to oscillate widely. The supply is tight, and the demand is weak. Pay attention to the import of tin ore from Myanmar [28][31]. - **Nickel**: The price is expected to adjust within a range. The macro - environment is generally stable, and the cost provides some support, but the mid - term supply is abundant [31][33]. - **Stainless Steel**: The price is expected to oscillate within a range. The raw material cost provides support, but the demand is weak [34][37]. - **Lithium Carbonate**: The price is expected to oscillate and consolidate. The supply and demand are in a tight balance, and the market is affected by news [38][41]. - **Black Metals**: - **Steel**: The steel price is weak. The rebar and hot - rolled coil should pay attention to the support levels around 3100 and 3300 respectively. The steel supply and demand have not deteriorated to the negative feedback stage [41][43]. - **Iron Ore**: The price is expected to oscillate and be bullish. The supply is expected to recover, and the demand will increase. The low - level port inventory provides support [45][46]. - **Coking Coal**: The price is expected to oscillate. The coal mines are resuming production, and the supply and demand are easing. The price may continue to decline in September [47][49]. - **Coke**: The price is expected to oscillate. The first round of price cuts has been implemented, and there is still room for further cuts. The supply will gradually become loose [50][52]. - **Agricultural Products**: - **Meal Products**: The high - yield expectation of US soybeans suppresses the price, but the domestic cost provides support. The downside of domestic meal products is limited [53][55]. - **Live Pigs**: The market supply - demand contradiction is limited. The price has limited room to fall, but the overall supply - demand pressure is still large [56][57]. - **Corn**: The short - term supply and demand of corn are weak, and the price is under pressure. The mid - term trend is weak [58][59]. 3. Summary by Directory Financial Derivatives - **Financial Futures**: - **Equity Index Futures**: A-shares showed an oscillating rebound on Wednesday. The TMT sector was strong, while the chemical sector corrected. The four major equity index futures contracts had mixed performances. The market is affected by domestic and overseas news, and the monetary policy in the second half of the year is crucial for the equity market [2][3][4]. - **Treasury Bond Futures**: Treasury bond futures closed down across the board. The yield of major interest - rate bonds in the inter - bank market rose. The capital is tightening, and the bond market sentiment is weak. Pay attention to the central bank's subsequent attitude [5][6][7]. - **Precious Metals**: US 8 - month PPI data was lower than expected, and the demand for the 10 - year Treasury bond auction was strong. Gold and silver prices showed a high - level oscillation. The Fed's policy path and geopolitical events affect the price. Gold is recommended to be bought cautiously at low prices, and silver can be traded in a band [8][9][10]. - **Container Shipping Futures**: The spot price of container shipping continued to decline slowly. The SCFIS European line index and the SCFI composite index showed different trends. The supply of container ships increased, and the demand was affected by the PMI of different regions. The futures price is expected to be weakly oscillating [11][12]. Commodity Futures - **Non - ferrous Metals**: - **Copper**: The spot price of copper declined slightly. The US 8 - month PPI data boosted the interest - rate cut expectation. The supply of copper concentrate was tight, and the demand was marginally improved. The inventory situation was mixed. The copper price is affected by the macro - environment and fundamentals, and is expected to oscillate [13][15][17]. - **Alumina**: The spot price of alumina declined. The supply was high, the demand was weak, and the inventory was increasing. The price is expected to oscillate weakly, and consider shorting at high prices in the mid - term [18][20]. - **Aluminum**: The spot price of aluminum declined slightly. The supply of electrolytic aluminum was high, and the demand was marginally improved. The inventory situation was mixed. The aluminum price is affected by the macro - environment and fundamentals, and is expected to oscillate around the peak - season demand [20][21][22]. - **Aluminum Alloy**: The spot price of aluminum alloy was stable. The supply was affected by the season, and the demand was marginally improved. The inventory was increasing. The price is expected to oscillate strongly, and pay attention to the supply of scrap aluminum [23][24]. - **Zinc**: The spot price of zinc declined. The supply of zinc ore was loose, and the demand was about to enter the peak season. The inventory situation was mixed. The zinc price is expected to oscillate, and the upside is limited [25][27][28]. - **Tin**: The spot price of tin declined slightly. The supply of tin ore was tight, and the demand was weak. The price is expected to oscillate widely, and pay attention to the import of tin ore from Myanmar [28][30][31]. - **Nickel**: The spot price of nickel declined. The supply of refined nickel was high, and the demand was stable in some sectors and weak in others. The inventory situation was mixed. The price is expected to adjust within a range [31][32][33]. - **Stainless Steel**: The spot price of stainless steel was stable. The supply was expected to increase, and the demand was weak. The inventory was slowly decreasing. The price is expected to oscillate within a range, and pay attention to the raw material and demand [34][36][37]. - **Lithium Carbonate**: The spot price of lithium carbonate declined. The supply was affected by various factors, and the demand was stable. The inventory was decreasing. The price is expected to oscillate and consolidate, and pay attention to the news [38][39][41]. - **Black Metals**: - **Steel**: The prices of rebar and hot - rolled coil showed different trends. The cost and profit situation of steel changed. The supply was affected by production restrictions and was expected to recover. The demand was in the off - season and was expected to improve seasonally. The inventory was increasing. The steel price is expected to be affected by the supply of coking coal [41][42][43]. - **Iron Ore**: The spot price of iron ore declined slightly. The futures price was stable. The supply decreased significantly, and the demand was expected to increase. The inventory situation was mixed. The price is expected to oscillate and be bullish [45][46]. - **Coking Coal**: The futures price of coking coal declined. The supply was affected by production restrictions and was expected to recover. The demand was expected to increase. The inventory was decreasing. The price is expected to oscillate and decline in September [47][48][49]. - **Coke**: The futures price of coke had a mixed performance. The first - round price cut was implemented, and there was still room for further cuts. The supply was expected to increase, and the demand was expected to recover. The inventory situation was mixed. The price is expected to oscillate [50][51][52]. - **Agricultural Products**: - **Meal Products**: The domestic spot price of soybean meal declined slightly, and the trading volume increased. The spot price of rapeseed meal was stable, and the trading volume was zero. The high - yield expectation of US soybeans and various supply - demand factors affected the price. The domestic cost provides support [53][54][55]. - **Live Pigs**: The spot price of live pigs declined slightly. The inventory of breeding sows increased slightly, and the profit of different breeding modes changed. The supply - demand contradiction is limited, and the price has limited room to fall [56][57]. - **Corn**: The spot price of corn had different trends in different regions. The inventory of old - season corn was tight, and the new - season corn was about to be listed. The demand was weak. The short - term supply and demand are weak, and the mid - term trend is weak [58][59].

Report Investment Rating - Stock Index Futures: Bullish [1] - Treasury Bond Futures: Bearish [1] Core Views - A-shares experienced a significant pullback on September 2nd, with the Wind All A index down 1.48% and a trading volume of 2.91 trillion yuan. Since August, the A-share market has shown a "narrowing circle" trend, and the short-term correction is normal due to factors such as profit-taking. In the long run, the dovish stance of the Fed meeting and expectations of multiple interest rate cuts this year will benefit A-shares. Policy adjustments in Shanghai's housing market and the implementation of the national childcare subsidy system are expected to stimulate inflation and drive the market. The liquidity-driven market is expected to continue with obvious structural characteristics and accelerated sector rotation [1]. - On September 2nd, treasury bond futures closed lower, with the 30-year, 10-year, 5-year, and 2-year contracts down 0.18%, 0.03%, 0.02%, and 0.02% respectively. The central bank conducted 255.7 billion yuan of 7-day reverse repurchase operations, with a net withdrawal of 150.1 billion yuan. In August, the bond market was suppressed by the strong performance of the equity market, and the yield curve steepened. After continuous declines in August, the adjustment of the bond market is basically in place. However, the strong performance of the equity market is negative for long-term bonds, while short-term bonds are relatively stable [1][2]. Summary by Directory 1. Research Views - **Stock Index Futures**: The A-share market had a significant pullback on September 2nd, with different indices showing varying degrees of decline. Since August, the market has shown a "narrowing circle" trend, and the short-term correction is normal. In the long run, factors such as the Fed's dovish stance, policy adjustments in the housing market, and the implementation of the childcare subsidy system are expected to benefit A-shares. The liquidity-driven market will continue with obvious structural characteristics [1]. - **Treasury Bond Futures**: On September 2nd, treasury bond futures closed lower. The central bank's reverse repurchase operations led to a net withdrawal of funds. In August, the bond market was affected by the strong performance of the equity market, and the yield curve steepened. After the adjustment, the bond market is basically in place, but the strong equity market is negative for long-term bonds, while short-term bonds are relatively stable [1][2]. 2. Daily Price Changes - **Stock Index Futures**: On September 2nd, compared with September 1st, IH rose 0.44%, IF fell 0.65%, IC fell 1.69%, and IM fell 1.75%. Among the stock indices, the Shanghai Composite 50 index rose 0.39%, the CSI 300 index fell 0.74%, the CSI 500 index fell 2.09%, and the CSI 1000 index fell 2.50% [3]. - **Treasury Bond Futures**: On September 2nd, compared with September 1st, TS fell 0.02%, TF fell 0.02%, T fell 0.04%, and TL fell 0.20%. Among the treasury bond yields, the 2-year yield rose 0.62, the 5-year yield fell 0.18, the 10-year yield rose 0.01, and the 30-year yield fell 0.8 [3]. 3. Market News - On September 2nd, the central bank announced the liquidity injection situation in August. The medium-term lending facility (MLF) had a net injection of 300 billion yuan, the pledged supplementary lending (PSL) had a net withdrawal of 160.8 billion yuan, and the outright reverse repurchase in the open market had a net injection of 300 billion yuan, with no open market treasury bond transactions [4]. 4. Chart Analysis - **Stock Index Futures**: The report provides the historical price trends and basis trends of IH, IF, IC, and IM futures contracts [6][7][9][10]. - **Treasury Bond Futures**: The report presents the historical price trends, yield trends, basis trends, inter - delivery spreads, and cross - variety spreads of treasury bond futures contracts, as well as the trends of funding rates [13][16][17][18]. - **Exchange Rates**: The report shows the historical trends of the central parity rates of the US dollar, euro, and other currencies against the RMB, as well as the trends of forward exchange rates and currency indices [21][22][23][25][26].