Investment consulting business qualification：CSRC License [2012] No. 669 投资咨询业务资格：证监许可【2012】669 号 中 信 期 货 国 际 化 研 究 | 中 信 期 货 研 究 所 International 2024-10-09 中信期货国际化研究 | CITIC Futures International Research 2025/11/26 China Futures Daily Note 中国期货每日简报 桂晨曦 Gui Chenxi 从业资格号 Qualification No：F3023159 投资咨询号 Consulting No.：Z0013632 CITIC Futures International Service Platform：https://internationalservice.citicsf.com 摘要 Abstract Macro News: President Xi held a telephone conversation with Trump at the latter's requ ...

Group 1: Market Overview - The global risk appetite has decreased, with the VIX index and MOVE 5-day moving average rising significantly, leading to a synchronized decline in both stock and commodity markets [2] - Major global stock indices have generally retreated, with the technology sector experiencing notable declines, while gold, silver, copper, and oil also recorded drops [2][3] - The USD index has surpassed 100, and the Japanese yen has depreciated significantly, approaching the 160 mark against the dollar [2][5] Group 2: Equity Market Performance - The MSCI global index fell by 2.5%, with developed markets showing a pattern where declines in frontier markets were less severe than in developed and emerging markets [3] - In the U.S., major indices like the S&P 500 and Dow Jones dropped by 1.9%, while the Nasdaq fell by 2.7%, indicating increased scrutiny on the earnings quality of major tech firms [3] - Emerging markets saw significant declines in A-shares, with small-cap and tech boards dropping over 5.1%, while the Russian RTS index rose sharply by 9.1% [3] Group 3: Bond Market Dynamics - The Chinese bond market exhibited a "bear steepening" trend, with the yield curve shifting upward and the 10Y-2Y spread widening [4] - In contrast, U.S. Treasury yields showed a "bull steepening" pattern, with the yield curve moving downward, influenced by dovish comments from the New York Fed [4] - The Japanese government is expected to issue additional bonds to finance a fiscal stimulus plan, which may lead to increased long-term bond yields [4] Group 4: Commodity and Currency Trends - Commodity indices such as South China and CRB fell by 1.8% and 2.2%, respectively, with only three out of thirteen major commodity futures recording price increases [5] - The dollar index rose by 0.9%, while the yen depreciated by 1.2%, which may benefit Japanese exporters but also heighten inflationary pressures [5] - The Bank of Japan faces increased pressure to raise interest rates due to the combination of yen depreciation and inflation [5] Group 5: Fixed Income Issuance and Trading - Net financing in the bond market increased, with a total issuance of 3,846.4 billion yuan against 2,555.6 billion yuan maturing, resulting in a net increase of 1,290.8 billion yuan [9] - Secondary market trading volume decreased, with total transactions amounting to 7,783.28 billion yuan, down from 8,032.22 billion yuan the previous week [10] - The yield on 3-year AAA medium-term notes fell by 2.33 basis points to 1.86%, indicating a downward trend in short-term yields [10]

新 3 社 主管主办 上海渗券系 ()中国证券网 四分子又有 2025 11/24 市场回顾 A股逾4200股飘红 Al应用午后爆发 国债期货集体收涨 【市场回顾】 11月24日，A股三大指数集体收涨，截至收盘，上证指数涨0.05%，深证成指涨0.37%，创业板指涨0.31%。沪深北三市全天成交17403亿元，较上日缩量 2433亿元。全市场超4200只个股上涨。 11月24日，韩国综合指数收跌0.19%，报3846.06点，能源、零售类个股跌幅较前。盘中该指数一度涨超1.5%。日本股市今日因假期休市一日。 资金风向标 多只军工板块个股获大额资金流入 机构观点 中信建投:慢涨格局不变 短期以择机布局 为主 中金公司：银行理财活化助力A股资金正 反馈 华泰证券:港股正在进入布局区 中信建投发布报告称，当前市场处于"三期叠加"：上涨行情中段整固期、景气验证关键期和业绩政策空窗期，市场震荡轮动和资金年底止盈等特征也会进 一步放大。长期而言，慢涨格局的主要因素不变；短期来看，策略层面以择机布局为主，关注60日线与半年线支撑和市场缩量情况。行业重点关注：银 行、石油石化、钢铁、农林牧渔、锂电、新材料等。 中金公司研报表 ...

不过，他也坦言，自己今年的交易并不完美。"回撤有点大，最大一次是在4月初。当时我做的是单边， 觉得大盘点位低，没做好对冲，忽略了市场的波动。"何跃表示，这次教训让他更加确信，任何时候都 要做好对冲，尤其是期权这个工具，一定要用到位。 在何跃的交易字典里，"极端"与"对冲"是两个绕不开的关键词。他的交易风格以主观交易为核心，今年 大赛的盈利正是基于对宏观政策的判断而布局的股指期货与股指期权仓单。"去年9月24日之后，国家出 台了一系列增量政策，我当时就判断，未来会有十年'牛市'。"何跃解释。 具体策略上，何跃有着明确的"点位纪律"。"大盘4000点之下，我做单边多头期货期权；4000点之上， 就切换成股指期货多头+期权空头对冲。现在是'牛市'初期，4000点之下的策略还会用一段时间。"他 称。 复杂的事简单做、简单的事重复做——专访产业组第五名何跃 何跃以"论剑"的昵称连续参与了多年全国期货（期权）实盘交易大赛。今年，他获得了产业组第五名的 佳绩。 1.从"找差距"到"证体系" "刚开始参赛，就是想看看自己的东西能不能跟上行情。每年参赛人数都在涨，高手越来越多，不跟别 人比一比，很容易自我封闭。"何跃说。 "股 ...

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 上海东证期货有限公司 股指期货量化策略跟踪周报主要内容 ★股指期货行情简评： 市场上周下跌。分行业看，有色、电子贡献了上证50主要的跌幅；电子、电力设备贡献了沪深300和中证500主要的跌幅；医药生物、电力设备贡献 了中证1000主要的跌幅。 各品种成交环比上行，IH、IF基差走弱，IC、IM基差走强。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： IH、IF基差走弱，IC、IM基差走强，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The bull market continues, but it is still a structural one. Investing in stock index futures may be more advantageous than stocks. There are also opportunities in the commodity futures market due to the re - evaluation of physical resource values [50] 3. Summary by Directory 3.1 Index Review - **Driving Sectors of the Bull Market**: New energy, electronics, non - ferrous metals, and communication are the main drivers of the current bull market. Industries such as electronics, power equipment, and non - ferrous metals have made significant contributions to the index increase from April 10, 2025, to November 14, 2025 [6] - **Industry Performance Details**: Different industries show various performance indicators in terms of weekly, monthly, quarterly, semi - annual, and annual returns, as well as maximum drawdown, Sharpe ratio, and other metrics. For example, the comprehensive industry has high returns in multiple time - frames, while the beauty care industry has negative returns in the short - term [7] - **Index Valuation - Risk Premium Rate**: As of the latest trading day, the risk premium rates of SSE 50, CSI 300, CSI 500, and CSI 1000 are 6.5%, 5.2%, 1.2%, and 0.3% respectively. From a configuration perspective, large - cap indexes are more cost - effective than small - and medium - cap indexes [10] - **Index Valuation - 2026 Estimation**: Analysts' 2026 EPS estimates for SSE 50, CSI 300, CSI 500, and CSI 1000 are 10.6, 6.8, 1.8, and 1.1 respectively. For the ChiNext and STAR 50, the estimates are 7.6 and 4.7. The estimates show that analysts are pessimistic about the profit improvement of large - cap indexes, optimistic about CSI 500 and ChiNext (with a weakening trend recently), and neutral about CSI 1000 and STAR 50 [18] - **Fund Inflow**: Margin trading funds continue to flow into broad - based indexes, with different trends for different indexes. From the perspective of theme ETFs, large - cap, small - cap, and micro - cap indexes have continuous inflows, while medium - cap indexes have a slowdown in inflow [20] - **Industry Fund Inflow**: In terms of margin trading funds, the power equipment industry has continuous inflows, while the computer, non - bank finance, and automobile industries have short - term outflows. Most industries in theme ETFs maintain a net inflow trend, except for the military and food and beverage industries [24] - **Private Fund Filing**: The filing speed of private funds is still slow. In November, 112 private funds were liquidated and 54 were newly issued; in October, 292 were liquidated and 608 were newly issued [25] 3.2 Stock - Futures Linkage - **Understanding Stock - Futures Linkage**: Stock - futures linkage is affected by factors such as demand, supply, price, cost, profit, valuation, and macro - factors. There is a relationship between commodity futures and resource stocks [29] - **Linkage in Different Sectors**: - **Precious Metals**: From January 1, 2024, to November 20, 2025, gold futures rose 93% and gold stocks rose 117%; silver futures rose 99% and silver stocks rose 118%. The pricing is related to the overflow of macro - liquidity [35] - **Copper and Aluminum**: From January 1, 2024, to November 20, 2025, copper futures rose 25% and copper stocks rose 69%; aluminum futures rose 9% and aluminum stocks rose 83%. The pricing is related to AI - related power demand and power supply for electrolytic aluminum [38] - **New Energy**: From January 1, 2024, to November 20, 2025, lithium carbonate futures fell 7% and lithium mining stocks rose 59%. From December 26, 2024, to November 20, 2025, polysilicon futures rose 25% and polysilicon stocks rose 33%. The pricing is related to anti - involution policies and the bottom - up reversal of lithium carbonate [42] - **Coal and Real Estate**: From January 1, 2024, to November 20, 2025, coking coal futures fell 41% and coal stocks rose 10%; glass futures rose 45% and real estate stocks rose 12%. The pricing of coking coal is related to short - term supply surplus, while coal has stable dividends. Glass also has supply surplus, but real estate may have a reversal [46] - **Advanced Usage of Stock - Futures Linkage**: In fully cleared industries, the cost - to - price ratio can be estimated through the linkage between stock prices and futures prices, and then the elasticity between futures and stocks can be calculated. By comparing the estimated cost - to - price ratio with industrial reality, it can be determined which is more overvalued or undervalued between commodities and stocks [47] 3.3 Investment Recommendations - The bull market continues, but it is a structural one. It is recommended to consider stock index futures. There are also opportunities in the commodity futures market [50]

Investment consulting business qualification：CSRC License [2012] No. 669 投资咨询业务资格：证监许可【2012】669 号 中 信 期 货 国 际 化 研 究 | 中 信 期 货 研 究 所 International 2024-10-09 中信期货国际化研究 | CITIC Futures International Research 2025/11/21 China Futures Daily Note 中国期货每日简报 桂晨曦 Gui Chenxi 从业资格号 Qualification No：F3023159 投资咨询号 Consulting No.：Z0013632 CITIC Futures International Service Platform：https://internationalservice.citicsf.com 摘要 Abstract Macro News: Both 5-Year and 1-Year LPR remain unchanged Futures Prices: On Nov 20th, e ...

Core Viewpoint - The capital market operates in cycles, with both bull and bear markets, and companies can strategically manage their market value by adapting to these cycles [2][3] Bull Market Strategies - In a bull market, companies can take advantage of overvalued stock prices to raise capital at a lower cost through methods such as: - Issuing new shares or targeted placements to expand capital and stabilize high stock prices [4] - Using stock-for-stock mergers to acquire non-listed companies, leveraging high valuations [4] - Injecting quality assets through private placements [5] - Reducing shareholdings by major shareholders to help correct overvalued stock prices [6] - Utilizing hedging tools like stock index futures to mitigate systemic risks [6] Bear Market Strategies - In a bear market, companies should focus on "buying" strategies to enhance competitiveness and restore investor confidence, including: - Stock buybacks to stabilize and increase stock prices [7] - Major shareholders or management committing to not sell shares to maintain investor confidence [7] - Engaging in mergers and acquisitions to capitalize on low valuations [8] - Using stock index futures to hedge against risks by taking long positions [8] - Opportunistic hostile takeovers by funds targeting undervalued companies [8] - Acquiring "shell" companies to facilitate easier IPOs during market downturns [8] - Implementing equity incentives or employee stock ownership plans to align interests [9] Value Management Techniques - Value management can be categorized into short-term and long-term goals: - Short-term strategies focus on stabilizing market value and reducing volatility, including various financing methods and hedging techniques [10] - Long-term strategies aim for stable growth in market value and shareholder returns, primarily through investments and restructuring [11] - As the Chinese capital market matures, the range of financial innovation products will expand, allowing companies to apply these strategies based on market conditions and corporate capital strategies [11]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - On November 18, equity index futures fell while CGB futures rose slightly; most commodities declined, with the energy & chemicals remaining weak and J and JM leading the losses [2][10][12][13]. - The top three gainers in commodity futures are Iron Ore, Chinese Jujube, and Lithium Carbonate, while the top three decliners are Coking Coal, SCFIS(Europe), and Coke [11][12][13]. - TSR 20 rose by 0.5% on November 18, with supply - side factors including overseas seasonal output increase and domestic factors like停割and warehouse receipt changes, and demand showing no significant change [16][17][19]. - Coking Coal fell 3.9% on November 18, with fundamentals still providing strong support and expected to trade with fluctuation [24][26]. - Coke fell 2.9% on November 18, with supply - demand remaining tight in the short - term, cost support weakening, and prices expected to fluctuate alongside coking coal [29][31]. Summary by Directory 1. China Futures 1.1 Overview - On November 18, equity index futures (IH fell by 0.23%, IF dropped by 0.41%) fell while CGB futures (TL rose by 0.06%) rose slightly; most commodities declined, with energy & chemicals weak and J and JM leading losses [10]. - In commodity futures, top gainers are Iron Ore (up 1.4% with - 2.1% month - on - month position change), Chinese Jujube (up 1.2% with - 0.8% month - on - month position change), and Lithium Carbonate (up 0.9% with - 14.0% month - on - month position change); top decliners are Coking Coal (down 3.9% with + 2.1% month - on - month position change), SCFIS(Europe) (down 2.9% with - 0.1% month - on - month position change), and Coke (down 2.9% with + 2.4% month - on - month position change) [11][12][13]. 1.1 Daily Raise - TSR 20 rose by 0.5% to 12,345 yuan/ton on November 18. Supply - side: overseas seasonal output increase is smooth, raw materials are firm, domestic停割in November and RU warehouse receipt deregistration and NR warehouse receipt increase have impacts. Demand - side: no significant change in the past two weeks, downstream purchasing sentiment is good after price decline, but lack of strong directional drivers. Market is range - bound, with rubber prices having bottom resilience but no one - sided trending market [16][17][19]. 1.2 Daily Drop - Coking Coal fell 3.9% to 1,159 yuan/ton on November 18. Futures pressure weakened sentiment, increasing online auction failure rates and causing some coal price corrections. Fundamentals haven't deteriorated significantly, and prices are expected to trade with fluctuation. Supply: main producing area mines' production rhythm is mostly stable, overall supply recovers slowly; import: Mongolian coal clearance at Ganqimaodu Port is high but prime coking coal at the port is tight. Demand: coke output drops month - on - month, mid - and downstream purchases slow after replenishment, but mines have many advance orders, and upstream mines have slight inventory accumulation with little overall pressure [24][26]. - Coke fell 2.9% to 1,649.5 yuan/ton on November 18. In the off - season, supply and demand are both weak, downstream steel mills may increase maintenance but significant production cuts are unlikely, so demand support remains. Short - term supply - demand is tight, inventory is decreasing, cost support has weakened, and futures are expected to fluctuate alongside coking coal. Supply: coking profits improve after four rounds of price hikes, and supply remains stable with relaxed environmental requirements in Henan. Demand: steel mills' profits shrink but willingness to cut production actively is low, molten iron output is high. Inventory: steel mills maintain strong purchasing momentum and upstream coking enterprises hold low inventories [29][30][31]. 2. China News 2.1 Macro News - On November 17, the 4th China - Germany High - Level Financial & Economic Dialogue was co - chaired by Chinese Vice Premier He Lifeng and German Vice Chancellor and Federal Minister of Finance Christian Lindner. Both sides will strengthen macroeconomic policy coordination, enhance financial and economic cooperation, expand two - way market opening, and support the multilateral trading system [34]. - A Japanese Foreign Ministry official visited China from November 17. On the 18th, the Chinese Foreign Ministry's Asian Affairs Department Director - General met with him, and China made solemn representations to Japan [34]. 2.2 Industry News - The 4th China - Germany High - Level Financial & Economic Dialogue joint statement mentions that both sides support strengthening exchanges and cooperation in securities, futures and derivatives sectors, encourage cross - border investment and operation of qualified financial institutions, and promote exchanges between regulatory and self - regulatory organizations. They also note the signing of a cooperation MoU by industry associations [35].

Core Insights - The company has participated as a designated trader in the national futures (options) trading competition for the fourth consecutive year, showcasing its unique differentiated service capabilities as a bank-affiliated futures company [1][2]. Differentiated Development Strategy - The company integrates its "banking" gene into its development framework, leveraging the resources, funding advantages, risk control systems, and research capabilities of its parent bank, creating a comprehensive service system covering various financial instruments [1]. - The company has received multiple awards, including "Most Growth-Oriented Futures Company" and "Best Financial Futures Service Award," reflecting market recognition of its professional capabilities [1]. Talent Development and Asset Management - The competition serves as a platform to connect market participants and showcase the company's comprehensive service strength, while also identifying quality investment advisory resources for its asset management business [2]. - The company has introduced an innovative "in-competition" incentive mechanism, integrating educational courses and one-on-one advisory services to enhance client engagement [3]. - A whitelist of investment advisors and connections to asset management products are established to create professional development pathways for outstanding trading talents, enriching the company's asset management capabilities [3]. Risk Management Framework - The company has developed a comprehensive risk management system aligned with banking standards, utilizing a big data risk control platform for cross-market monitoring and tailored risk management solutions for different client groups [4]. - During market fluctuations, the company emphasizes high-leverage and high-frequency trading monitoring, employing digital tools to interpret unexpected events and establish a complete risk management chain [4]. Technological Empowerment - The company has built a full-chain technology empowerment system, supporting mainstream trading interfaces and providing advanced tools such as AI research and high-speed market data [5][6]. - The company is exploring how banking technology resources can be applied in the futures sector to address long-standing efficiency challenges, transitioning from experience-driven to data-driven trading [6]. Market Trends and Future Outlook - The company anticipates a shift in the domestic futures market from scale expansion to functional deepening, with an increasing proportion of institutional investors and greater roles for AI technology in trading and risk management [7]. - The company encourages ordinary investors to leverage the comprehensive financial services of bank-affiliated futures companies, integrating futures into their overall asset allocation framework for stable returns [7].