Report Summary 1. Report Industry Investment Rating No information provided in the content. 2. Core View No clear core view presented in the content. The report mainly provides daily arbitrage data for various futures varieties on March 31, 2026. 3. Summary by Directory I. Thermal Coal - The report shows the basis and spread data of thermal coal from March 24 to March 30, 2026. The basis values were -50.4, -45.4, -41.4, -40.4, -40.4 respectively, and the spreads (5 - 1, 9 - 1, 9 - 5) were all 0.0 during this period [2]. II. Energy and Chemicals - **Energy Commodities**: It includes basis data of fuel oil, crude oil, and asphalt from March 24 to March 30, 2026. For example, the basis of INE crude oil on March 30 was 540.36, and the ratio of crude oil to asphalt was 0.1641 [8]. - **Chemical Commodities**: - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, V, and PP from March 24 to March 30, 2026 are presented. For instance, the basis of rubber on March 30 was -190 [10]. - **Inter - period Spreads**: The spreads of 5 - 1, 9 - 1, and 9 - 5 for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - 1 spread of rubber was -800 [11]. - **Inter - variety Spreads**: The spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from March 24 to March 30, 2026 are provided. For example, the LLDPE - PVC spread on March 30 was 3360 [11]. III. Black Metals - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from March 24 to March 30, 2026 are shown. For example, the basis of rebar on March 30 was 111.0 [20][21]. - **Inter - period Spreads**: The spreads of 5 - 1, 9(10) - 1, and 9(10) - 5 for rebar, iron ore, coke, and coking coal are presented. For example, the 5 - 1 spread of rebar was -44.0 [20]. - **Inter - variety Spreads**: The ratios of rebar to iron ore, rebar to coke, coke to coking coal, and the spread of rebar - hot rolled coil from March 24 to March 30, 2026 are provided. For example, the rebar to iron ore ratio on March 30 was 3.85 [20]. IV. Non - ferrous Metals - **Domestic Market**: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from March 24 to March 30, 2026 are given. For example, the basis of copper on March 30 was -380 [30]. - **London Market**: The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on March 30, 2026 are presented. For example, the LME spread of copper was (82.55) [33]. V. Agricultural Products - **Basis**: The basis data of soybeans, soybean meal, soybean oil, corn, etc. from March 24 to March 30, 2026 are shown. For example, the basis of soybeans on March 30 was 6 [40]. - **Inter - period Spreads**: The spreads of 5 - 1, 9 - 1, and 9 - 5 for various agricultural products are provided. For example, the 5 - 1 spread of soybeans was -54 [40]. - **Inter - variety Spreads**: The ratios and spreads of various agricultural products from March 24 to March 30, 2026 are presented. For example, the ratio of soybeans to corn on March 30 was 1.94 [40]. VI. Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from March 24 to March 30, 2026 are given. For example, the basis of CSI 300 on March 30 was 77.95 [51]. - **Inter - period Spreads**: The spreads of next - month to current - month and next - quarter to current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are provided. For example, the next - month to current - month spread of CSI 300 was -19.8 [51].

1. Report Industry Investment Rating - No information provided in the report 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on March 30, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - variety spreads [1][6][23][29][40][51] 3. Summary by Directory 3.1 Power Coal - The report shows the basis and inter - period spreads of power coal from March 23 to March 27, 2026. The basis values are - 58.4, - 50.4, - 45.4, - 41.4, and - 40.4 respectively, and the inter - period spreads (5 - 1, 9 - 1, 9 - 5) are all 0 [1][2] 3.2 Energy Chemicals 3.2.1 Energy Commodities - From March 23 to March 27, 2026, the basis of INE crude oil is 339.44, 345.10, 259.80, 50.55, and 105.35 respectively; the basis of fuel oil is 374.15, 208.78, 103.65, 222.50, and 151.50 respectively; the crude oil / asphalt ratio is 0.1762, 0.1686, 0.1668, 0.1624, and 0.1641 respectively [7] 3.2.2 Chemical Commodities - Inter - period spreads: For rubber, 5 - 1 is - 820, 9 - 1 is - 765, 9 - 5 is 55; for methanol, 5 - 1 is 369, 9 - 1 is 107, 9 - 5 is - 262; etc. - Inter - variety spreads: For example, on March 27, 2026, LLDPE - PVC is 3187, LLDPE - PP is - 428, etc. - Basis: The basis data of rubber, methanol, PTA, etc. from March 23 to March 27, 2026 are provided [11][12] 3.3 Black Metals - Inter - period spreads: For example, for rebar, 5 - 1 is - 51.0, 9(10) - 1 is - 24.0, 9(10) - 5 is 27.0; for iron ore, 5 - 1 is 45.5, 9(10) - 1 is 19.5, 9(10) - 5 is - 26.0 - Inter - variety spreads: On March 27, 2026, the rebar / iron ore ratio is 3.84, the rebar / coke ratio is 1.7834, etc. - Basis: The basis data of rebar, iron ore, coke, and coking coal from March 23 to March 27, 2026 are provided [22][23] 3.4 Non - Ferrous Metals 3.4.1 Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from March 23 to March 27, 2026 are presented, such as - 380 for copper on March 27, 2026 [32] 3.4.2 London Market - On March 27, 2026, the LME spreads of copper, aluminum, zinc, etc. are provided, along with the Shanghai - London ratio, CIF, domestic spot price, and import profit and loss [35] 3.5 Agricultural Products - Basis: The basis data of soybeans, soybean meal, soybean oil, etc. from March 23 to March 27, 2026 are given, such as 27 for soybeans on March 27, 2026 - Inter - period spreads: For example, for soybeans, 5 - 1 is - 50, 9 - 1 is - 6, 9 - 5 is 44 - Inter - variety spreads: On March 27, 2026, the soybean / corn ratio is 1.93, the soybean oil / soybean meal ratio is 2.95, etc. [41] 3.6 Stock Index Futures - Basis: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from March 23 to March 27, 2026 are provided, such as 75.17 for CSI 300 on March 27, 2026 - Inter - period spreads: For CSI 300, the next - month - current - month spread is - 19.0, the next - quarter - current - quarter spread is - 81.8; for SSE 50, the next - month - current - month spread is - 4.2, the next - quarter - current - quarter spread is - 40.4; etc. [52]

1. Report Industry Investment Rating - No information provided in the report. 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on March 27, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to provide data reference for investors [1][6][21][27][38][49]. 3. Summary by Directory 3.1 Power Coal - The report shows the basis and spread data of power coal from March 20 to March 26, 2026. The basis values are - 66.4, - 58.4, - 50.4, - 45.4, and - 41.4 respectively, while the spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month are all 0.0 [1][2]. 3.2 Energy Chemicals 3.2.1 Energy Commodities - It provides the basis data of energy commodities such as fuel oil, INE crude oil, and the ratio of crude oil to asphalt from March 20 to March 26, 2026 [8]. 3.2.2 Chemical Commodities - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from March 20 to March 26, 2026 are presented [10]. - **Inter - period Spread**: The inter - period spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given [11]. - **Inter - variety Spread**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from March 20 to March 26, 2026 are provided [11]. 3.3 Black Metals - **Inter - period Spread**: The inter - period spreads of 5 - month minus 1 - month, 9 - month (10) minus 1 - month, and 9 - month (10) minus 5 - month for rebar, iron ore, coke, and coking coal are presented. The main contracts of rebar are in January, May, and October [20]. - **Inter - variety Spread**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from March 20 to March 26, 2026 are given [20]. - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from March 20 to March 26, 2026 are provided [21]. 3.4 Non - ferrous Metals 3.4.1 Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from March 20 to March 26, 2026 are presented [28]. 3.4.2 London Market - The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on March 26, 2026 are provided [33]. 3.5 Agricultural Products - **Basis**: The basis data of soybean No.1, soybean No.2, soybean meal, soybean oil, and corn from March 20 to March 26, 2026 are presented [39]. - **Inter - period Spread**: The inter - period spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month for soybean No.1, soybean No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are given [39]. - **Inter - variety Spread**: The inter - variety spreads of soybean No.1/corn, soybean No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, and corn - corn starch from March 20 to March 26, 2026 are provided [39]. 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from March 20 to March 26, 2026 are presented [50]. - **Inter - period Spread**: The inter - period spreads of next - month minus current - month and next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are given [50].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The domestic futures market showed mixed performance on March 26, 2026, with some varieties rising and others falling. The market is significantly affected by factors such as geopolitical situations, supply - demand relationships, and cost changes. Due to the uncertainty of the Middle - East situation, it is recommended to be cautious when participating in the market, and some varieties are suggested to be observed on the sidelines [6][7]. 3. Summary by Relevant Catalogs 3.1. Commodity Performance and Capital Flow - **Futures Market Overview**: As of the close on March 26, domestic futures contracts showed mixed performance. Methanol, synthetic rubber, and asphalt rose by over 4%, while palladium fell by over 5%. Stock index futures generally declined, and treasury bond futures rose. In terms of capital flow, methanol 2605, glass 2605, and asphalt 2606 had capital inflows, while中证 500 2606,沪深 300 2606, and沪金 2606 had capital outflows [6][7]. 3.2. Market Analysis of Specific Varieties - **Copper**: The price of Shanghai copper opened high and closed low, with an overall increase. Supply - side factors such as tight overseas copper resources and low domestic inventory support the price, but the weak terminal demand restricts the upward space. The inventory is being digested smoothly during the peak season, but the short - term price is still under pressure due to the ongoing war [9]. - **Lithium Carbonate**: It opened high and closed low, with weak intraday fluctuations. Although the price increased slightly, the production decreased, and the inventory reduction was limited. The demand growth showed signs of weakening, and the market lacked support, with a difficult - to - change wide - range shock pattern in the short term [11]. - **Crude Oil**: EIA data showed that U.S. crude oil inventories increased more than expected. The situation in the Middle - East, especially the closure of the Strait of Hormuz, affected the supply. Although some measures were taken to relieve the supply pressure, the situation in the Middle - East is still uncertain, and the oil price fluctuates greatly [12][13]. - **Asphalt**: The supply decreased, and the demand gradually recovered. The inventory was at a low level, but the supply pressure was not substantially relieved. Due to the possible negotiation between the U.S. and Iran and the complex Middle - East situation, it is recommended to observe on the sidelines [14]. - **PP**: The downstream demand recovered slowly, and the enterprise's operating rate decreased. The cost was affected by the Middle - East situation, and the supply was expected to decrease. The market fluctuated greatly, and it is recommended to observe on the sidelines [16]. - **Plastic**: The operating rate decreased, and the downstream demand gradually recovered. The cost was affected by the Middle - East situation, and the supply was expected to decrease. The market fluctuated greatly, and it is recommended to observe on the sidelines [17][18]. - **PVC**: The supply decreased, and the demand gradually recovered. The social inventory decreased for the first time after the Spring Festival, but it was still at a high level. The upstream raw material supply was tight, and the market fluctuated greatly. It is recommended to observe on the sidelines [19][21]. - **Coking Coal**: It opened low and closed low, with a decline. The mine production resumed smoothly, but the downstream recovery was slow. The price increase has not been implemented, and the subsequent conflict situation needs to be observed [22]. - **Urea**: It opened high and closed high, with an increase. The supply was guaranteed, and the inventory continued to decrease. The market was in a stage of peak - season verification, and it was in a strong consolidation state, but it is necessary to be cautious about chasing the rise [23][24].

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on March 26, 2026, including power coal, energy chemicals, black commodities, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - variety spreads. 3. Summary by Directory 3.1 Power Coal - The basis for power coal on March 25, 2026, was - 45.4 yuan/ton, showing an increase compared to previous days. The spreads of 5 - month vs 1 - month, 9 - month vs 1 - month, and 9 - month vs 5 - month were all 0.0 [1][2] 3.2 Energy Chemicals 3.2.1 Energy Commodities - The basis data for fuel oil, INE crude oil, and other energy commodities are provided from March 19 to March 25, 2026. For example, the basis of INE crude oil on March 25 was 345.10 yuan/ton [9] 3.2.2 Chemical Commodities - **Basis**: The basis data for rubber, methanol, PTA, LLDPE, PVC, and PP from March 19 to March 25, 2026, are presented. For instance, the basis of rubber on March 25 was - 130 yuan/ton [11] - **Inter - period Spreads**: The inter - period spreads of 5 - month vs 1 - month, 9 - month vs 1 - month, and 9 - month vs 5 - month for rubber, methanol, PTA, etc., are given. For example, the 5 - month vs 1 - month spread of rubber was - 775 yuan/ton [12] - **Inter - variety Spreads**: The inter - variety spreads such as LLDPE - PVC, LLDPE - PP, etc., from March 19 to March 25, 2026, are provided. For example, the LLDPE - PVC spread on March 25 was 2944 yuan/ton [12] 3.3 Black Commodities - **Basis**: The basis data for螺纹钢, iron ore, coke, and coking coal from March 19 to March 25, 2026, are shown. For example, the basis of螺纹钢 on March 25 was 88.0 yuan/ton [22] - **Inter - period Spreads**: The inter - period spreads of 5 - month vs 1 - month, 9 - month (10) vs 1 - month, and 9 - month (10) vs 5 - month for螺纹钢, iron ore, etc., are presented. For example, the 5 - month vs 1 - month spread of螺纹钢 was - 50.0 yuan/ton [21] - **Inter - variety Spreads**: The inter - variety spreads such as螺/矿, 螺/焦炭, etc., from March 19 to March 25, 2026, are given. For example, the 螺/矿 ratio on March 25 was 3.85 [21] 3.4 Non - ferrous Metals 3.4.1 Domestic Market - The domestic basis data for copper, aluminum, zinc, lead, nickel, and tin from March 19 to March 25, 2026, are provided. For example, the basis of copper on March 25 was - 90 yuan/ton [29] 3.4.2 London Market - Data such as LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss for copper, aluminum, etc., on March 25, 2026, are presented. For example, the LME spread of copper was (71.23) [35] 3.5 Agricultural Products - **Basis**: The basis data for soybeans (bean one and bean two), soybean meal, soybean oil, corn, etc., from March 19 to March 25, 2026, are shown. For example, the basis of bean one on March 25 was - 29 yuan/ton [40] - **Inter - period Spreads**: The inter - period spreads of 5 - month vs 1 - month, 9 - month vs 1 - month, and 9 - month vs 5 - month for various agricultural products are given. For example, the 5 - month vs 1 - month spread of bean one was - 36 yuan/ton [40] - **Inter - variety Spreads**: The inter - variety spreads such as 豆一/玉米, 豆油/豆粕, etc., from March 19 to March 25, 2026, are provided. For example, the 豆一/玉米 ratio on March 25 was 1.94 [40] 3.6 Stock Index Futures - **Basis**: The basis data for CSI 300, SSE 50, CSI 500, and CSI 1000 from March 19 to March 25, 2026, are presented. For example, the basis of CSI 300 on March 25 was 87.47 [51] - **Inter - period Spreads**: The inter - period spreads of next - month vs current - month and next - quarter vs current - quarter for CSI 300, SSE 50, etc., are given. For example, the next - month vs current - month spread of CSI 300 was - 21.2 [51]

1. Report Industry Investment Rating The report does not provide an overall investment rating for the options market. However, it offers rating criteria for different types of bonds: - **Interest - rate bonds**: Based on the net price change of interest - rate bonds within 3 months after the report date. Ratings include "Overweight" (interest risk decreases, net price has upward potential), "Neutral" (interest risk is stable, net price has minor fluctuations), and "Underweight" (interest risk increases, net price has downward potential) [93]. - **Credit bonds**: Based on the net price change of credit bonds within 3 months after the report date. Ratings include "Overweight" (credit risk decreases, net price has upward potential), "Neutral" (credit risk is stable, net price has minor fluctuations), and "Underweight" (credit risk increases, net price has downward potential) [94]. - **Convertible bonds**: Based on the price change of convertible bonds relative to the CSI Convertible Bond Index within 3 months after the report date. Ratings include "Overweight" (convertible bonds outperform the CSI Convertible Bond Index), "Neutral" (convertible bonds perform in line with the CSI Convertible Bond Index), and "Underweight" (convertible bonds underperform the CSI Convertible Bond Index) [95]. 2. Core View of the Report In a volatile market environment, options, with the natural advantage of separating rights and obligations, can provide opportunities to seek excess returns while controlling risks. Attention should be paid to the effect of expanding the investment boundary brought by options and related investment portfolios [1]. 3. Summary by Relevant Catalogs 3.1 Option Overview - **Option Definition and Key Elements**: An option contract is a standardized or non - standardized contract that allows the buyer the right to buy or sell an agreed underlying asset (including futures contracts) at a specific price in the future. Key elements include the underlying asset, right type, exercise price, and expiration date. Options are "right" certificates rather than "ownership" certificates, and the transaction is the transfer of rights and obligations, not the transfer of real - asset ownership [1][19]. - **Classification of Domestic Options**: Chinese options can be divided into on - exchange options and over - the - counter (OTC) options. OTC options are mostly non - standardized and are usually customized between institutional investors, and individual investors generally cannot participate. On - exchange options can be further divided into two categories: ETF options based on securities accounts with ETFs as underlying assets, mainly listed on the Shanghai and Shenzhen Stock Exchanges; and options based on futures accounts, including stock index options listed on the China Financial Futures Exchange and commodity options listed on various commodity exchanges [1][24]. - **Advantages and Disadvantages of Option Investment**: Advantages include the separation of rights and obligations, which can improve capital use efficiency; the separation of risk and return, which can prevent extreme price - fluctuation risks; and the ability to combine with basic products to enrich investment strategies. Disadvantages include the potential for the time value of options to be wasted, the influence of volatility on option value, and the requirement for both correct direction and timing in option investment [2][3] 3.2 Option Pricing and Greek Values - **BS Formula for Option Pricing**: The Black - Scholes (BS) model is the theoretical basis for pricing European options globally. In reality, since the volatility of the underlying asset in the future cannot be observed, the concept of implied volatility is introduced, which is a core factor affecting option prices [32][33]. - **Delta**: Measures the change in option price caused by a 1 - unit change in the price of the underlying asset. It reflects the linear sensitivity of the option price to the price of the underlying asset. It is mainly used to linearly reflect the impact of small - scale price changes of the underlying asset on the option price and can be used to construct investment portfolios to hedge risks [34][36]. - **Gamma**: The second - order partial derivative of the option price with respect to the price of the underlying asset. It measures the change in Delta caused by a 1 - unit change in the price of the underlying asset. It is mainly used to prevent extreme price - fluctuation risks [38][39]. - **Theta**: Measures the change in option price caused by a 1 - unit reduction in the remaining time. The time value of an option is constantly decreasing, so Theta is always negative. It represents the cost for the buyer and the income for the seller [41][42]. - **Vega**: Measures the relationship between a 1 - unit change in the volatility of the underlying asset and the change in option price. Vega is always positive, indicating a positive correlation between option price and volatility. Implied volatility can be used as a warning indicator of potential risks [43][50]. - **Rho**: Measures the change in option price caused by a 1 - unit change in the risk - free interest rate. In the ideal conditions defined by the BS formula, the Rho of a call option is positive, and that of a put option is negative. However, for commodity options, the situation may be different [55]. 3.3 Option Trading Strategy Analysis - **Single - Option Trading Strategy**: Buying a call/put option indicates a bullish/bearish view, while selling a call/put option indicates a non - bullish/non - bearish view. Buying options can control risks while building positions. Options may have a higher leverage ratio than futures, showing both safety and risk. For investment, options close to at - the - money should be selected; for speculation, relatively out - of - the - money options are preferred. Option investment is more suitable for short - term trading [7][68]. - **Multi - Option Portfolio Strategy**: By using two or more options to construct an investment portfolio, investors can qualitatively express bullish/bearish views and quantitatively describe the degree of bullishness/bearishness. For example, a bull call spread can express a moderately bullish view, and a bear put spread can express a moderately bearish view. For assets in a long - term sideways state, investors can construct volatility portfolios through double - opening (double - buying or double - selling) strategies. The timing of opening positions is the key to the profitability of double - opening strategies [74][86]. - **Option and Spot Portfolio Strategy**: Options can be combined with spot assets to control risk exposure and achieve conditional risk hedging. Buying spot and put options can form a protective put portfolio, and buying spot and selling call options can form a covered call portfolio. The choice of hedging ratio is crucial [87][90].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - A股 major indices closed significantly higher, with the Shanghai Composite Index returning to 3900 points. Small and mid - cap stocks outperformed large - cap blue - chip stocks. The turnover of the Shanghai and Shenzhen stock markets increased slightly, and nearly 4900 stocks rose. Most industry sectors rose, while coal and petroleum and petrochemical sectors fell. Overseas, the US proposed a one - month cease - fire plan to discuss an agreement to end the war with Iran, causing international oil prices to drop. Domestically, the economic fundamentals in 2026 showed a good start, and the performance of listed companies that have disclosed 2025 annual reports is generally good. However, due to the ongoing war, the risk of negotiation breakdown should be vigilant, and caution is still needed before the war ends [2] Summary by Relevant Catalogs Futures Market - **Futures Contract Prices**: IF (2606) was at 4450.0, up 70.4; IF (2604) was at 4505.6, up 69.0. IH (2606) was at 2830.0, up 22.6; IH (2604) was at 2848.0, up 26.0. IC (2606) was at 7530.0, up 160.2; IC (2604) was at 7685.6, up 164.2. IM (2606) was at 7477.4, up 127.2; IM (2604) was at 7650.0, up 131.4 [2] - **Futures Price Spreads**: IF - IH spread was 1657.6, up 34.4; IC - IF spread was 3180.0, up 74.6; IM - IC spread was - 35.6, down 33.4; IC - IH spread was 4837.6, up 109.0; IM - IF spread was 3144.4, up 41.2; IM - IH spread was 4802.0, up 75.6 [2] - **Quarter - to - Month Spreads**: IF quarter - to - month was - 55.6, up 5.4; IF next - quarter - to - month was - 141.2, up 3.0; IH quarter - to - month was - 18.0, down 2.4; IH next - quarter - to - month was - 54.8, down 1.6; IC quarter - to - month was - 155.6, down 10.4; IC next - quarter - to - month was - 330.6, down 15.2; IM quarter - to - month was - 172.6, down 7.2; IM next - quarter - to - month was - 397, down 18.0 [2] - **Futures Net Positions**: IF top 20 net positions were 22,830.00, down 356.0; IH top 20 net positions were 20,599.00, down 309.0; IC top 20 net positions were 28,867.00, down 1879.0; IM top 20 net positions were 49,975.00, down 79.0 [2] Spot Market - **Spot Prices**: CSI 300 was at 4537.47, up 62.7; SSE 50 was at 2859.5, up 28.7; CSI 500 was at 7767.7, up 170.3; CSI 1000 was at 7751.2, up 150.3 [2] - **Basis**: IF main contract basis was - 87.5, down 1.2; IH main contract basis was - 29.5, down 9.3; IC main contract basis was - 237.7, down 49.9; IM main contract basis was - 273.8, down 60.1 [2] Market Sentiment - **Market Volume and Balance**: A - share turnover was 21,928.53 billion yuan, up 967.83 billion yuan; margin trading balance was 26,135.99 billion yuan, down 64.32 billion yuan; north - bound trading volume was 2892.86 billion yuan, down 630.55 billion yuan; reverse repurchase was - 205.0 billion yuan, up 785.0 billion yuan; MLF was 5000 billion yuan, up 500 billion yuan [2] - **Other Indicators**: The proportion of rising stocks was 88.74%, down 4.81%; Shibor was 1.319%, up 0.001%; IO at - the - money call option closing price was 54.20, up 11.20; IO at - the - money call option implied volatility was 15.60%, down 2.19%; IO at - the - money put option closing price was 94.20, down 52.00; IO at - the - money put option implied volatility was 15.61%, down 2.35%; CSI 300 20 - day volatility was 18.05%, up 0.70%; volume PCR was 61.44%, down 4.73%; position PCR was 65.42%, up 2.77% [2] Wind Market Strength and Weakness Analysis - All A - shares were at 8.30, down 0.30; technical aspect was at 8.90, down 0.40; capital aspect was at 7.70, down 0.10 [2] Industry News - The US government proposed a 15 - item plan to end the conflict with Iran through Pakistan, including requirements on nuclear programs, missile capabilities, and regional issues. In exchange, Iran may get sanctions lifted, US support for civilian nuclear projects, and the cancellation of the "snap - back sanctions" mechanism. The US is considering a one - month cease - fire for further negotiations [2] Key Focus - On March 27 at 9:30, China's industrial enterprise profits for February will be released [3]

1. Report Industry Investment Rating - No information provided in the report. 2. Core View of the Report - The report presents daily arbitrage data for various futures varieties on March 25, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to provide data support for market participants' investment decisions [1] 3. Summary by Directory 3.1 Power Coal - Displays the basis and spread data of power coal from March 18 to March 24, 2026. The basis gradually increased from - 78.4 yuan/ton on March 18 to - 50.4 yuan/ton on March 24, while the spreads of 5 - 1, 9 - 1, and 9 - 5 remained at 0.0 [1][2] 3.2 Energy Chemicals 3.2.1 Energy Commodities - Shows the basis and price ratio data of fuel oil, crude oil, and asphalt from March 18 to March 24, 2026. For example, on March 24, the basis of INE crude oil was 374.15 yuan/ton, and the price ratio of crude oil to asphalt was 0.1762 [8] 3.2.2 Chemical Commodities - **Basis**: Presents the basis data of rubber, methanol, PTA, LLDPE, V, and PP from March 18 to March 24, 2026. For instance, the basis of rubber was - 125 yuan/ton on March 24 [10] - **Inter - period Spread**: Displays the inter - period spread data of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol. For example, the 5 - 1 spread of rubber was - 780 yuan/ton [12] - **Inter - variety Spread**: Provides the inter - variety spread data of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from March 18 to March 24, 2026. On March 24, the LLDPE - PVC spread was 3121 yuan/ton [12] 3.3 Black Metals - **Inter - period Spread**: Shows the inter - period spread data of rebar, iron ore, coke, and coking coal. For example, the 5 - 1 spread of rebar was - 55.0 yuan/ton [21] - **Inter - variety Spread**: Presents the inter - variety spread data of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from March 18 to March 24, 2026. On March 24, the rebar/iron ore ratio was 3.83 [21] - **Basis**: Displays the basis data of rebar, iron ore, coke, and coking coal from March 18 to March 24, 2026. On March 24, the basis of rebar was 75.0 yuan/ton [22] 3.4 Non - ferrous Metals 3.4.1 Domestic Market - Shows the domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from March 18 to March 24, 2026. On March 24, the basis of copper was - 120 yuan/ton [31] 3.4.2 London Market - Presents the LME spread, Shanghai - London ratio, CIF, domestic spot price, and import profit and loss data of LME non - ferrous metals on March 24, 2026. For example, the LME spread of copper was (91.73), and the Shanghai - London ratio was 7.83 [34] 3.5 Agricultural Products - **Basis**: Displays the basis data of soybeans, soybean meal, soybean oil, corn, etc. from March 18 to March 24, 2026. On March 24, the basis of soybeans was - 75 yuan/ton [40] - **Inter - period Spread**: Shows the inter - period spread data of soybeans, soybean meal, soybean oil, rapeseed meal, etc. For example, the 5 - 1 spread of soybeans was - 20 yuan/ton [40] - **Inter - variety Spread**: Presents the inter - variety spread data of soybeans/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, etc. from March 18 to March 24, 2026. On March 24, the soybeans/corn ratio was 1.97 [40] 3.6 Stock Index Futures - **Basis**: Shows the basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from March 18 to March 24, 2026. On March 24, the basis of CSI 300 was 86.32 [51] - **Inter - period Spread**: Displays the inter - period spread data of CSI 300, SSE 50, CSI 500, and CSI 1000. For example, the next - month - current - month spread of CSI 300 was - 20.4 [51]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - External shocks persist, and stock indices are expected to continue their weak performance in the short term. Investors are advised to remain cautious and control their positions [7]. - After a significant market decline, the probability of policy support has increased. Attention should be paid to the supportive trends of domestic factors on stock indices this week [7]. 3. Summary by Relevant Catalogs 3.1 Macro - Financial Data - **Interest Rates**: DRO01 closed at 1.32 with a -0.02bp change; DR007 at 1.43 with a 0.50bp change; GC001 at 1.49 with a 39.00bp change; GC007 at 1.50 with a 3.50bp change; SHBOR 3M at 1.52 with a -0.38bp change; LPR 5 - year at 3.50 with a 0.00bp change; 1 - year treasury at 1.24 with a 0.00bp change; 5 - year treasury at 1.56 with a 1.00bp change; 10 - year treasury at 1.84 with a 0.30bp change; 10 - year US treasury at 4.39 with a 14.00bp change [3]. - **Central Bank Operations**: The central bank conducted 80 billion yuan of 7 - day reverse repurchase operations yesterday with an operating rate of 1.40%. With 1373 billion yuan of reverse repurchases maturing, the net withdrawal was 1293 billion yuan. This week, 2423 billion yuan of reverse repurchases will mature, and 4500 billion yuan of MLF will mature on Wednesday [3][4]. 3.2 Stock Index Data - **Index Performance**: The CSI 300 fell 3.26% to 4418; the SSE 50 fell 3.17% to 2792.3; the CSI 500 fell 4.11% to 7440.7; the CSI 1000 fell 4.81% to 7409.1. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.45 trillion yuan, an increase of 145.4 billion yuan from the previous trading day. Most industry sectors declined, with only the coal sector rising, and sectors such as precious metals, hotel catering, etc. having large declines [5][6]. - **Futures Contracts**: IF volume increased by 11.7% to 156,918, and open interest increased by 6.1% to 276,923; IH volume increased by 14.0% to 78,380, and open interest increased by 16.0% to 115,469; IC volume increased by 8.8% to 217,723, and open interest increased by 4.2% to 298,855; IM volume increased by 11.9% to 325,166, and open interest increased by 5.8% to 408,928 [5]. - **Futures Premium and Discount**: IF premium rates for the current, next - month, current - quarter, and next - quarter contracts are 6.61%, 3.12%, 6.91%, and 7.35% respectively; IH are - 0.66%, - 0.31%, 2.43%, and 3.73% respectively; IC are 10.43%, 9.55%, 11.47%, and 10.74% respectively; IM are 8.89%, 10.33%, 12.27%, and 12.08% respectively [8].

1. Report Industry Investment Rating - No information provided in the report 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on March 24, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. It shows the basis, inter - period spreads, and inter - variety spreads of these commodities [1][7][22][28][38][51] 3. Summary by Directory Power Coal - The basis data of power coal from March 17 to March 23, 2026, is presented. The basis on March 23 is - 58.4 yuan/ton, and the spreads between 5 - month and 1 - month, 9 - month and 1 - month, 9 - month and 5 - month are all 0.0 [1][2] Energy Chemicals - **Energy Commodities**: The basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from March 17 to March 23, 2026, are provided. For example, on March 23, the basis of INE crude oil is 477.41 yuan/ton, and the ratio of crude oil to asphalt is 0.1737 [9] - **Chemical Commodities**: - Basis: The basis data of rubber, methanol, PTA, LLDPE, V, and PP from March 17 to March 23, 2026, are given. For instance, on March 23, the basis of rubber is - 145 yuan/ton [11] - Inter - period spreads: The inter - period spreads (5 - month - 1 - month, 9 - month - 1 - month, 9 - month - 5 - month) of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are presented. For example, the 5 - month - 1 - month spread of rubber is - 760 yuan/ton [12] - Inter - variety spreads: The inter - variety spreads (LLDPE - PVC, LLDPE - PP, PP - PVC, PP - 3*methanol) from March 17 to March 23, 2026, are shown. On March 23, the LLDPE - PVC spread is 3125 yuan/ton [12] Black Metals - **Inter - period spreads**: The inter - period spreads (5 - month - 1 - month, 9(10) - month - 1 - month, 9(10) - month - 5 - month) of rebar, iron ore, coke, and coking coal are provided. For example, the 5 - month - 1 - month spread of rebar is - 56.0 yuan/ton [21] - **Inter - variety spreads**: The inter - variety spreads (rebar/iron ore, rebar/coke, coke/coking coal, rebar - hot rolled coil) from March 17 to March 23, 2026, are presented. On March 23, the rebar/iron ore ratio is 3.84 [21] - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from March 17 to March 23, 2026, are given. On March 23, the basis of rebar is 116.0 yuan/ton [22] Non - Ferrous Metals - **Domestic Market**: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from March 17 to March 23, 2026, are provided. On March 23, the basis of copper is 810 yuan/ton [30] - **London Market**: The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on March 23, 2026, are presented. For example, the LME spread of copper is (85.26) [33] Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from March 17 to March 23, 2026, are given. On March 23, the basis of soybeans No.1 is - 190 yuan/ton [39] - **Inter - period spreads**: The inter - period spreads (5 - month - 1 - month, 9 - month - 1 - month, 9 - month - 5 - month) of soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are presented. For example, the 5 - month - 1 - month spread of soybeans No.1 is - 5 yuan/ton [39] - **Inter - variety spreads**: The inter - variety spreads (soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, corn - corn starch) from March 17 to March 23, 2026, are shown. On March 23, the soybeans No.1/corn ratio is 1.99 [39] Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from March 17 to March 23, 2026, are provided. On March 23, the basis of CSI 300 is 10.43 [51] - **Inter - period spreads**: The inter - period spreads (next - month - current - month, next - quarter - current - quarter) of CSI 300, SSE 50, CSI 500, and CSI 1000 are presented. For example, the next - month - current - month spread of CSI 300 is - 17.8 [49]