Report Industry Investment Rating No relevant content provided. Core View of the Report Most sectors are under short - term pressure, and the volatility risk around the Spring Festival increases. Investors need to manage their positions carefully [1]. Summary by Directory 1. Non - ferrous and Precious Metals Sector - Gold and silver in the precious metals sector are expected to decline next week; alumina in the non - ferrous sector shows a bullish signal, while aluminum, zinc, tin, aluminum alloy, copper, and industrial silicon show bearish signals, and the rest of the varieties are expected to fluctuate [8]. - The main contract of Shanghai copper had large fluctuations before the festival. MACD formed a death cross approaching the zero axis, the price dropped to the lower Bollinger Band, and the trading volume and open interest decreased. It is expected to continue to fluctuate and correct next week. Attention should be paid to the support of MA60, and long positions are advised to wait and manage positions [12]. 2. Black and Shipping Sector - Hot - rolled coils, wire rods, manganese silicon, rebar, and iron ore show bearish signals next week, and the rest of the varieties are expected to fluctuate; European - line container shipping shows a bullish signal [17]. - The main contract of rebar has been falling continuously on the daily line. MACD is in a short position to the zero axis, and the price has broken through MA60. The support around 3000 - 3040 is to be noted, and the downward trend is expected to continue [21]. 3. Energy and Chemical Sector - In the energy sector, crude oil, asphalt, and LPG show bullish signals, while fuel oil and low - sulfur fuel oil are expected to fluctuate. In the chemical sector, polypropylene shows a bullish signal, while PTA, paraxylene, etc. show bearish signals [26]. - The main contract of PTA is expected to fluctuate in the short term. It is currently in a 5000 - 5400 yuan/ton oscillation range. MACD maintains a long position but the bars are shrinking. The daily - line price shows a weak oscillation, and it is expected to fluctuate next week [29]. 4. Agricultural Products Sector - Soybean No.1, sugar, and corn in the agricultural products sector show bullish signals next week, while soybean No.2, rapeseed meal, etc. show bearish signals, and the rest of the varieties are expected to fluctuate [36]. - The main contract of corn is expected to fluctuate before the festival. The daily - line price is in a consolidation state, with insufficient trading volume and open interest. MACD forms a death cross above the zero axis, but the downside space is limited. It may fluctuate around 2220 - 2250 yuan/ton in the short term [41]. 5. Stock Index Futures Sector - The main contracts of Shanghai 50, CSI 300, CSI 500, and CSI 1000 index futures all show oscillation signals next week [2]. - The weekly - line price of IC (CSI 500) futures continued to decline by 2.93%, and the daily - line MACD is in a short position above the zero axis. It is expected to fluctuate next week, and risk and position management should be noted [50]. 6. Treasury Bond Futures Sector - The 2 - year and 30 - year treasury bond futures show bullish signals next week, while the 5 - year and 10 - year treasury bond futures are expected to fluctuate [53]. - The price of the main contract of the 10 - year treasury bond futures T is expected to fluctuate. The daily - line shows a long - position arrangement, and the price has stood above MA250. Attention should be paid to the price movement around MA250, and the resistance range of 108.5 - 108.7 can be noted [60].

Macro Economic Overview - The report indicates an increase in volatility in international capital markets, with a recommended asset allocation order of equities > commodities > bonds > currencies [1][4] - The Shanghai Composite Index rose by 0.08% this week, while the ten-year government bond yield decreased by 2 basis points to 1.81% [1][11] Asset Allocation Recommendations - The report suggests an overweight position in equities, emphasizing the importance of the implementation of "incremental" policies [2][3] - A cautious stance is recommended for bonds due to potential short-term impacts from the "stock-bond seesaw" effect, leading to an underweight allocation [2][3] - The report maintains a neutral position on commodities, highlighting the need to monitor fiscal spending in 2026 [2][3] Economic Data Insights - Industrial profits for December showed a year-on-year increase of 5.3%, reversing a previous decline [4][18] - The fiscal revenue for 2025 was reported at 21.6 trillion yuan, a decrease of 1.7% year-on-year, while fiscal expenditure increased by 1% [4][18] Market Performance - The report notes that the A-share market experienced mixed performance, with the Shanghai Composite Index leading gains while the ChiNext Index saw a decline of 3.78% [36] - In the commodities market, coal futures rose by 2.75%, and iron ore futures increased by 0.13% [1][11] Policy Developments - The report highlights the publication of a significant article by President Xi Jinping on the importance of building a strong financial nation, emphasizing the need for a robust economic foundation and effective financial institutions [4][19] - The State Council issued a plan to accelerate the cultivation of new growth points in service consumption, outlining 12 policy measures targeting key sectors [4][20]

Macro Economic Overview - The report indicates a downward trend in the Shanghai Composite Index, which fell by 0.59% this week, while the CSI 300 index futures decreased by 0.06% [1][11] - The report highlights a mixed performance in commodity futures, with coking coal futures down by 0.76% and iron ore futures up by 2.00% [1][11] - The yield on ten-year government bonds increased by 1 basis point to 1.85%, while active ten-year government bond futures dropped by 0.36% [1][11] Asset Allocation Recommendations - The recommended order for asset allocation is equities > commodities > bonds > currency, reflecting a positive outlook on A-shares and stable bond yields [2][4] - The report suggests that the U.S. dollar's safe-haven status is weakening, prompting international capital to seek alternatives, with RMB assets being a top choice due to their stability and growth potential [2][4] - The report anticipates that commodity prices will be influenced by supply pressures in oil and demand dynamics in cyclical goods, while agricultural products will be affected by supply factors [2][4] Key Economic Indicators - The manufacturing PMI for December was reported at 50.1, indicating a slight expansion, while the non-manufacturing PMI was at 50.2, returning to the expansion zone [18] - The report notes that the upcoming National People's Congress will convene on March 4, 2026, which may influence economic policies [18][19] Market Performance Insights - The report details a significant decline in the real estate market, with a notable drop in transaction volumes for new homes in major cities, indicating potential market stabilization due to recent policy changes [36][41] - The automotive sector is experiencing a downturn, with wholesale and retail sales of passenger vehicles showing negative growth for four consecutive weeks [36][41] Bond Market Analysis - The yield on ten-year government bonds has risen to 1.85%, with a noted increase in the yield of ten-year policy bank bonds to 2.00% [46] - The report highlights a significant rise in yields for low-rated credit bonds, indicating a shift in market sentiment [46]

Macro Economic Overview - The macroeconomic report indicates that the Shanghai Composite Index rose by 1.95% this week, with the asset allocation sequence favoring stocks over commodities, bonds, and cash [1][4] - The central economic work conference emphasized the need to stabilize investment and address the "price stagnation" issue, highlighting fixed asset investment as a core solution [3][22] Asset Performance Review - The Shanghai Composite Index increased by 1.95%, while the Shanghai 300 stock index futures rose by 2.46%. In contrast, coking coal futures fell by 0.72% and iron ore contracts decreased by 0.06% [2][13] - The annualized yield of Yu'ebao increased by 1 basis point to 1.04%, and the ten-year government bond yield rose by 1 basis point to 1.84% [2][46] Asset Allocation Recommendations - The report maintains the asset allocation order as stocks > commodities > bonds > cash, with a focus on the implementation of incremental policies [3][4] - The report suggests that the demand for fixed investment remains crucial in addressing the issue of "price stagnation," with real estate investment continuing to drag down fixed asset investment performance [3][24] Sector Insights - The report highlights that the industrial product prices are influenced by fluctuations in international commodity prices and domestic investment shortfalls, particularly in the coal mining and washing industry [3][28] - The automotive sector is noted for a decline in wholesale and retail sales, with a year-on-year drop of 9% and 11% respectively, indicating a potential for recovery driven by policies aimed at expanding domestic demand [38][44] Key Economic Indicators - The report mentions that the GDP for 2024 was finalized at 13,480.66 billion yuan, reflecting a growth rate of 5.0% compared to the previous year [6][26] - The report also tracks high-frequency data, indicating a decrease in the operating rates of major steel mills and a decline in social inventory of construction materials [28][29]

Report Industry Investment Rating Not provided in the content Core Viewpoints The overall market presents structural opportunities. It is recommended to combine technical signals with position management to seize the operation opportunities when each variety corrects or breaks through. Different sectors and varieties show different trends, including bullish, bearish, and sideways signals [1]. Summary by Directory 1. Non-ferrous and Precious Metals Sector - The precious metals sector is mainly in a sideways trend, with no obvious price signals. In the non-ferrous sector, copper, aluminum alloy, aluminum, zinc, industrial silicon, and polysilicon show bullish signals, while alumina shows a bearish signal, and the rest of the varieties are mainly in a sideways trend [9]. - For Shanghai copper CU2601, the price has been rising this week. On the weekly level, it is above the key support range after breaking through the triangular consolidation, with a bullish moving average arrangement, but it faces strong resistance in the 89,000 - 90,500 yuan/ton range. On the daily level, the MACD shows a "golden cross" signal, and there is still room for an upward trend before a clear top signal appears [11]. 2. Black and Shipping Sector - According to the technical indicator ratings, rebar shows a bullish signal, while coke and manganese silicon show bearish signals. European Line Container Shipping shows no signal and is mainly in a sideways trend, and the rest of the black series varieties are mainly in a sideways trend [19]. - For rebar RB2601, the price has risen significantly this week. The weekly line shows no long - term upward signal, but it is gradually stabilizing. The daily line shows that the price has the possibility of breaking through the original downward channel. If the price rises with the expansion of the Bollinger Bandwidth, there is still some upward space, and the upper resistance range is around 3,200 - 3,250 yuan/ton [24]. 3. Energy and Chemical Sector - In the energy sector, LPG shows a bullish signal in technical indicators, and the rest of the varieties are mainly in a sideways trend. In the chemical sector, PTA, p - xylene, propylene, etc. show bullish signals, while caustic soda shows a bearish signal, and the rest of the varieties are mainly in a sideways trend [29]. - For methanol 2601, the price has been rising this week, but the Bollinger Bandwidth is narrowing, and the MACD signal is weakening. The price may face a callback risk after rising, and long - position investors need to pay attention to position management [33]. 4. Agricultural Products Sector - According to the technical indicator signals, soybeans, rapeseeds, and peanuts in the agricultural products sector show bullish signals, while soybean oil, apples, rapeseed meal, etc. show bearish signals, and the rest of the varieties are mainly in a sideways trend [39]. - For sugar SR601, the price has been rising this week, but the price center has decreased compared with last week. The weekly line shows a new low, and the OBV shows high - level sideways movement. The daily line shows that the rebound strength is insufficient. It is recommended to pay attention to subsequent price fluctuations and consider a long - position strategy at low prices when the moving average system shows more bullish arrangements and the MACD forms a golden cross [44]. 5. Stock Index Futures Sector - According to the technical indicator signals, the four major indexes all show sideways signals, with no obvious signal guidance [50]. - For the IC CSI 500 futures, the weekly line shows a slight rebound, but the rebound space next week may be limited. The daily line shows that the price is below the MA60 moving average, with weak upward momentum, and short - term price fluctuations are under pressure. Attention should be paid to position management [54]. 6. Treasury Bond Futures Sector - According to the technical indicator signals, the 5 - year and 10 - year treasury bond futures are mainly in a sideways trend, while the 2 - year and 30 - year treasury bonds show bearish signals [56]. - For the T 10 - year treasury bond futures, the price has fallen significantly this week. The weekly line shows a long - negative line breaking through the MA60 moving average, and there may be new short - position pressure. The daily line shows obvious short - term downward pressure. Attention should be paid to the linkage between the price and the Bollinger Band, and position management should be carried out [60].

Report Industry Investment Rating No specific industry investment rating was provided in the report. Core Viewpoints - The overall futures market is under pressure, with a dominant bearish sentiment. Most sectors and varieties show bearish signals, while only a few, such as polysilicon in the non - ferrous sector, rapeseed, and corn starch in the agricultural sector, show bullish signals [1]. - The domestic stock index futures market is under pressure. Except for the CSI 500 futures showing a volatile trend, the SSE 50, CSI 300, and CSI 1000 futures all show strong bearish signals. The treasury bond futures market is also weak, with 2 - year treasury bond futures being volatile and 5 - year, 10 - year, and 30 - year treasury bond futures generally bearish [2]. Summary by Directory 1. Non - ferrous and Precious Metals Sector - The precious metals sector is generally bearish. In the non - ferrous sector, polysilicon shows a bullish signal, while copper, lead, nickel, and others show bearish signals, and the rest are volatile [8]. - Lithium carbonate LC2601 is at risk of decline. The weekly K - line shows a weak reversal signal, and the daily line shows a significant pullback on Friday. It is expected to correct next week, with attention paid to the price range of 89,000 - 90,000 yuan/ton [12]. 2. Black and Shipping Sector - Coking coal, coke, and European container shipping show bearish signals, while the rest of the black series are volatile [20]. - Rebar RB2601 is at risk of decline. The daily line shows that after rising on Monday, it fell for three consecutive days. Currently, it is below the middle track of the Bollinger Band, facing short - term correction pressure, with support in the range of 2,950 - 3,000 yuan/ton [23]. 3. Energy and Chemical Sector - In the energy sector, low - sulfur fuel oil, asphalt, and LPG show bearish signals, and the rest are volatile. In the chemical sector, pure benzene, natural rubber, and others show bearish signals, and the rest are volatile [30]. - PTA2601 is generally volatile. The weekly line shows that the price center is flat, and the daily line shows that it lacks upward momentum. It is expected to be weakly volatile next week, with support in the range of 4,380 - 4,430 yuan/ton [33]. 4. Agricultural Sector - Rapeseed and corn starch show bullish signals, while palm oil, soybean meal, and others show bearish signals, and the rest are volatile [40]. - Sugar SR601 is at risk of short - term rebound. The weekly price hit a new low, but the OBV shows high - level volatility. The daily line shows continuous decline, and there is a certain rebound pressure in the short term, with resistance in the range of 5,500 - 5,530 yuan/ton [45]. 5. Stock Index Futures Sector - The CSI 500 futures show a volatile trend, while the SSE 50, CSI 300, and CSI 1000 futures show strong bearish signals [51]. - The IC CSI 500 futures are mainly in a corrective phase. The weekly K - line shows a significant decline, and the daily line shows a large decline on Friday. It is expected to rebound slightly at the beginning of next week but will face overall downward pressure, with support near the MA120 moving average [53]. 6. Treasury Bond Futures Sector - The 2 - year treasury bond futures are volatile, while the 5 - year, 10 - year, and 30 - year treasury bond futures show bearish signals [58]. - The T 10 - year treasury bond futures are weakly volatile. The weekly line shows a "reverse T" shape, with a significant reduction in positions, increasing the downward pressure. The daily line shows that it is above the MA60 moving average, but the short - term downward pressure increases [62].

1. Report Industry Investment Rating No specific industry investment rating is provided in the given content. 2. Core Viewpoints of the Report - The commodity futures market shows a differentiated pattern. Precious metals are generally volatile, some non - ferrous metals show bearish signals while lithium carbonate is rising, black - series commodities have mixed signals, energy - chemical products are also differentiated, and some agricultural products show bullish signs. The overall market is mainly volatile with unclear trend - based market conditions [1]. - The stock index futures market is under pressure, with the Shanghai 50 futures showing bearish signals and the CSI 300, CSI 500, and CSI 1000 futures showing strong bearish signals. The bond futures market is mainly volatile [2]. 3. Summary by Relevant Catalogs 3.1有色及贵金属板块 - The precious metal sector is generally volatile, and some non - ferrous metal varieties such as lead, stainless steel, etc. show bearish signals, while others are volatile [9]. - Lithium carbonate LC2601 has risen this week, trading above the MA60 moving average. It faces long - liquidation pressure near 90,000 yuan/ton, but the position is stable, and it is expected to fluctuate widely around the MA60 in the short term [11]. 3.2黑色及航运板块 - Iron ore, coking coal, manganese silicon, wire rod, and coke in the black - series and shipping sectors show bearish signals, while European container shipping shows volatile signals, and other black - series varieties are volatile [19]. - Rebar RB2601 has risen this week, with technical indicators showing bullish momentum. The closing price has re - entered the support range of 3050 - 3070 yuan/ton, and attention should be paid to the risk of price rebound [23]. 3.3能化板块 - In the energy sector, crude oil, asphalt, and LPG show bullish signals, while others are volatile. In the chemical sector, staple fiber, ethylene glycol, and bottle chips show bullish signals, while plastic, propylene, synthetic rubber, methanol, and pulp show bearish signals, and others are volatile [29]. - PTA2601 has risen this week, approaching the MA60 moving average and the upper - track of the descending channel, with greater downward pressure than upward pressure. It is expected to be volatile next week [32]. 3.4农产品板块 - In the agricultural product sector, soybeans No. 1, soybean meal, corn starch, and logs show bullish signals, while soybean oil, cotton, live pigs, sugar, and cotton yarn show bearish signals, and others are volatile [38]. - Soybean meal M2601 has risen this week, breaking through the MA60 moving average. There is still strong selling power above the closing price on Friday, and it has the momentum to continue rising [42]. 3.5股指期货板块 - The Shanghai 50 futures show bearish signals, and the CSI 300, CSI 500, and CSI 1000 futures show strong bearish signals [48]. - The IC CSI 500 futures are mainly volatile. The weekly line has entered a volatile state, and the daily line shows short - term volatility. Attention should be paid to the fluctuations near the MA60 moving average and the middle - track of the Bollinger Bands [50]. 3.6国债期货板块 - The 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are mainly volatile [55]. - The T 10 - year treasury bond futures have short - term downward pressure, but the medium - term bullish trend has not ended. The price is mainly volatile around the middle - track of the Bollinger Bands [58][59].

Report Industry Investment Rating No relevant information provided. Core Views Index Futures - On Wednesday morning, the A-share market fluctuated and declined, but rebounded in the afternoon driven by the artificial intelligence sector. Ignoring the overnight decline of US stocks and Asia-Pacific stock indices, index futures soared in a short-squeeze situation, contrasting with the limit-down of lithium carbonate. The loose capital situation is the main reason. Under the central bank's loose policy, funds flow into the stock and futures markets in search of returns. With the improvement of residents' wealth management awareness and the decline of the attractiveness of real estate, some funds have turned to the financial sector, enriching the stock market capital pool. The general bullish sentiment in the market forms a positive feedback - investors' buying drives up prices, and rising prices attract more funds, amplifying the gains. This change in sentiment and confidence has become an important psychological basis for the short-squeeze market of index futures IM and IC [1]. Treasury Bond Futures - Taking the previous high as a reference, if the subsequent adjustment of yields cannot break through the previous high (for example, the previous high of 2.06% for the active 30-year treasury bond 2500002), then the most severe impact of the strong performance of the equity market on the bond market may have passed. At the same time, the bond market has also witnessed marginal positive factors such as the return of loose capital after the tax period and the relief of the fund redemption pressure after the previous release. This environment is conducive to the stabilization of bond market sentiment and also helps the bond market and the equity market to trade according to their own logics in the subsequent process [1]. Summary by Related Catalogs Index Futures - **Market Review**: The main contract futures of CSI 300 rose 1.16%, the main contract futures of SSE 50 rose 1.08%, the main contract futures of CSI 500 rose 1.4%, and the main contract futures of CSI 1000 rose 1.23%. The 10-year main contract fell 0.19%, the 5-year main contract fell 0.1%, the 30-year main contract fell 0.5%, and the 2-year main contract fell 0.01% [4]. - **Technical Analysis**: The RSI indicator shows that the market is approaching a short-term high [4]. - **Strategy Suggestion**: Buy on dips [1] Treasury Bond Futures - **Market Review**: The 10-year, 5-year, 30-year, and 2-year main contracts are involved [5]. - **Technical Analysis**: The KDJ indicator shows that the T contract may rebound [5]. - **Strategy Suggestion**: Stay on the sidelines [2] Futures Data - On August 20, 2025, the closing price of CSI 300 continuous contract was 4270.00 yuan/contract, with a daily increase of 1.16%, a trading volume of 90,137 lots, and an open interest of 159,194 lots. The closing price of SSE 50 continuous contract was 2851.20 yuan/contract, with a daily increase of 1.08%, a trading volume of 45,450 lots, and an open interest of 72,434 lots. The closing price of CSI 500 continuous contract was 6695.20 yuan/contract, with a daily increase of 1.40%, a trading volume of 77,339 lots, and an open interest of 127,360 lots. The closing price of CSI 1000 continuous contract was 7276.00 yuan/contract, with a daily increase of 1.23%, a trading volume of 196,109 lots, and an open interest of 217,300 lots. The closing price of 10-year treasury bond continuous contract was 107.84 yuan/contract, with a daily decrease of 0.19%, a trading volume of 78,281 lots, and an open interest of 69,826 lots. The closing price of 5-year treasury bond continuous contract was 105.42 yuan/contract, with a daily decrease of 0.10%, a trading volume of 52,899 lots, and an open interest of 63,108 lots. The closing price of 30-year treasury bond continuous contract was 115.88 yuan/contract, with a daily decrease of 0.50%, a trading volume of 96,513 lots, and an open interest of 48,883 lots. The closing price of 2-year treasury bond continuous contract was 102.32 yuan/contract, with a daily decrease of 0.01%, a trading volume of 47,983 lots, and an open interest of 42,716 lots [6].

Macro Economic Overview - The report indicates that the next important time point may be in the late third quarter of 2025, with a suggested asset allocation order of stocks > commodities > bonds > currency [2][4] - In the first half of 2025, China's actual GDP grew by 5.3% year-on-year, laying a good foundation for achieving the annual target of 5.0% [2][4] - Economic data from July shows signs of growth pressure, including weakened external demand due to increased tariffs from the US and sluggish domestic consumption [2][4] Asset Performance - The A-share market saw an increase, with the CSI 300 index rising by 2.37% and the CSI 300 stock index futures up by 2.83% [11][12] - Commodity futures showed mixed results, with coking coal futures up by 0.33% and iron ore down by 1.65% [11][12] - The yield on ten-year government bonds rose by 6 basis points to 1.75%, while active ten-year government bond futures fell by 0.26% [11][12] Policy Insights - The report emphasizes the importance of expanding domestic demand in the second half of the year, suggesting that policies should be implemented to enhance efficiency and release domestic demand [2][4] - It is noted that the fiscal policy may have room for further adjustments within the year, particularly in light of external pressures easing due to potential interest rate cuts by the Federal Reserve [2][4] Sector Performance - The report highlights that the TMT sector has shown significant growth, with the ChiNext index leading with an 8.58% increase, followed by the Shenzhen Component Index at 4.55% [35][36] - The report also notes that the banking sector has faced declines, with a drop of 3.22% [35][36] Financial Data - In July, new social financing amounted to 1.13 trillion yuan, while new RMB loans decreased by 500 million yuan, indicating weak financing demand in the real economy [4][17] - The M2 money supply grew by 8.8% year-on-year, reflecting a relatively strong liquidity environment despite weak economic indicators [4][17]

Group 1: Report Industry Investment Rating - Not provided Group 2: Core Views Index Futures - US inflation "exploded", with the July PPI rising to 0.9% month - on - month, a three - year high, and 3.3% year - on - year. The strong US PPI data dampened the September Fed rate - cut expectation. The index's strength results from positive feedback of policy support, capital inflows, and event catalysts. After reaching a short - term high, it may oscillate, but the medium - term upward trend remains. Hold positions or lock in profits on dips, and consider buying on dips for those without positions [1]. - The RSI indicator shows the market is approaching a short - term high [5]. Treasury Futures - The bond market is currently constrained by risk assets. Although the equity market ended an eight - day winning streak, the adjustment was limited, and trading volume reached a high of 2.3 trillion. The current equity - dominant pattern may not reverse soon, suppressing the bond market in the short term. Attention should be paid to the economic data to be released on Friday to see if it can support the bond market [3]. - The MACD indicator shows that the T main contract may weaken [7]. Group 3: Market Review Index Futures - The CSI 300 index futures main contract fell 0.02%, the SSE 50 index futures main contract rose 0.48%, the CSI 500 index futures main contract fell 1.00%, and the CSI 1000 index futures main contract fell 0.95% [5]. Treasury Futures - The 10 - year main contract fell 0.12%, the 5 - year main contract fell 0.08%, the 30 - year main contract fell 0.36%, and the 2 - year main contract fell 0.02% [6]. Group 4: Strategy Suggestions Index Futures - Buy on dips [1]. Treasury Futures - Expect a volatile operation [3]. Group 5: Data Tables - On August 14, 2025, the closing prices, price changes, trading volumes, and open interests of various index and treasury futures contracts are presented in a table, including CSI 300, SSE 50, CSI 500, CSI 1000, 10 - year, 5 - year, 30 - year, and 2 - year futures [8]. Group 6: Charts - There are multiple charts showing the trends, price - to - earnings ratios, trading volumes, open interests, trading volume - to - open interest ratios, basis, basis rates, annualized basis rates, and inter - period spreads of index and treasury futures [9][10][11][12][15][17][18][19][20][21][22][24][25][26][27][29][30][31][32][34][36][37][39][40][43][44][46][47][49][51][52][54][55][56][57]