免责声明 | 留注 | 品种/合约 | 期货价格 | 基差率 | 历史分位数 | 现货价格 | 星差 | 现货参考 | 76 | 1.39% | 折算价:72硅铁合格块:内蒙-天津仓单 | 硅铁 (SF603) | 5558 | 5482 | 64.50% | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 74 | 5810 | 1.29% | 硅罐 (SM603) | 5736 | 39.60% | 折算价:6517硅锰:内蒙-湖北仓单 | 100 | 6.45% | 3280 | 螺纹钢 (RB2605) | 3081 | 71.30% | HRB40020mm: 上海 | | | | | | Q235B: 4.75mm: 上海 | 24 | 0.74% | 3270 | 3246 | 28.40% | 热卷(HC2605) | 71 | 55.40% | 铁矿石 (12605) | 832 | 761 | 折算价:6 ...

股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 118.24、90.19、34.23 与 14.04 点，基差年化收益率分 别为-15.35%、-12.12%、-7.17%与-4.52%，三年期历史分位数分别为 14%、14%、15%及 21%。 交易策略：中长期，我们维持做多经济的判断，当下以股指做多头替代有一定超额，推荐逢低配置各 品种远期合约。 金融研究 2025年12月11日 星期四 金融期货早班车 招商期货有限公司 市场表现：12 月 10 日，A 股四大股指涨跌不一，其中上证指数下跌 0.23%，报收 3900.5 点；深成 指上涨 0.29%，报收 13316.42 点；创业板指下跌 0.02%，报收 3209 点；科创 50 指数下跌 0.03%， 报收 1346.7 点。市场成交 17,916 亿元，较前日减少 1,261 亿元。行业板块方面，房地产(+2.53%)， 商贸零售(+1.97%)，社会服务(+1.22%)涨幅居前；银行(-1.58%)，电力设备(-0.87%)，计算机(-0.63%) 跌幅居前。从市场强弱看，IC>IM>IF>IH，个股涨/平/跌数分别为 2,433 ...

欢迎加入交易理想国知识星球 文 | 交易理想国知识星球 编辑 | 杨兰 审核 | 浦电路交易员 根据《中国期货市场品种属性研究报告（2025-12-08）》，以下是整理出的核心关键内容摘要，包括关键多空品种、量仓变化、交易机会、风险提示与 核心逻辑： | 一、股指期货板块 | "曲线多头" 状态，其中IC、IM为"好曲线 | 关键品种 | ：上证50（IH）、沪深300（IF）、中证500（IC）、中证1000（IM）均处于 | | | | | --- | --- | --- | --- | --- | --- | --- | | 多头"，IH为"可能曲线多头"。 | 量仓与市场状态 | "盘整" ，技术指标显示价格处于中高位（750D Px_M | ：四者市场状态均为 | Percentile > 0.95），但持仓与成交 | | | | 量结构偏强。 | 交易机会 | ：IC、IM曲线强度最强，适合作为多头配置；IH、IF曲线稍弱，可作辅助配置。 | | | | | | 风险提示 | ：若市场情绪转弱或流动性收紧，中小盘指数可能波动加剧。 | 核心逻辑 | ：中小盘指数曲线结构更优，反映市场对其远期合约的 ...

Report Industry Investment Rating - The investment rating for stock index futures is "sideways", and for government bond futures is "relatively strong" [1] Core Viewpoints - The A-share market oscillated and closed lower yesterday, with TMT performing well and coal and power equipment sectors correcting. The overall market is expected to be range - bound in the short term as the liquidity-driven market since June ended and the focus returns to fundamentals. Traditional economic sectors are in a slow recovery, and overseas tech stocks also face expectation divergence [1]. - Government bond futures closed higher yesterday. The central bank's actions and economic expectations have a positive impact on the bond market, but the "stock - bond seesaw" effect causes some disturbances. The bond market is expected to continue its oscillating pattern [1][2] Summary by Directory 1. Research Views Stock Index Futures - Yesterday, the A - share market closed down with Wind All - A dropping 0.93% and a trading volume of 1.95 trillion yuan. The CSI 1000, CSI 500, SSE 50, and CSI 300 indices all declined. New - quality productivity themes led by AI have optimistic growth expectations, especially in the upstream hardware manufacturing of the tech sector, but they lack catalysts and have entered a sideways trend since November. Traditional economic sectors are in a slow recovery and are unlikely to enter a fundamental bull market in the short term. Overseas tech stocks also face expectation divergence [1]. Government Bond Futures - Yesterday, government bond futures closed higher, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising. The central bank conducted 4075 billion yuan of 7 - day reverse repurchases, with a net injection of 37 billion yuan. DR001 rose 2BP to 1.53%, and DR007 remained flat at 1.52%. The central bank's actions strengthen the expectation of reasonable and sufficient funds, which is positive for the bond market. However, the "stock - bond seesaw" effect causes some disturbances, and the bond market is expected to oscillate [1][2] 2. Daily Price Changes Stock Index Futures - On November 18, 2025, IH dropped 0.39% to 2,997.6, IF dropped 0.58% to 4,555.0, IC dropped 0.89% to 7,079.8, and IM dropped 0.58% to 7,351.8 compared to November 17 [3]. Stock Indices - The SSE 50 dropped 0.30% to 3,003.0, the CSI 300 dropped 0.65% to 4,568.2, the CSI 500 dropped 1.17% to 7,151.0, and the CSI 1000 dropped 1.00% to 7,448.1 on November 18, 2025, compared to November 17 [3]. Government Bond Futures - On November 18, 2025, TS rose 0.01% to 102.49, TF rose 0.01% to 105.92, T rose 0.01% to 108.50, and TL rose 0.07% to 116.53 compared to November 17 [3] 3. Market News - As of the week ending October 18, the number of initial jobless claims in the US was 232,000, and the number of continuing jobless claims was 1,957,000, up from 1,947,000 the previous week. The US Federal government shutdown led to a lack of regular weekly data [4]. - China's Foreign Ministry held consultations with Japan's officials. China sternly protested against Japanese Prime Minister Kaochi Sanae's wrong remarks on China, urging Japan to retract the remarks and stop causing trouble on China - related issues [4] 4. Chart Analysis Stock Index Futures - The report provides charts of the trends of IH, IF, IM, IC main contracts, and their respective basis trends [6][7][9] Government Bond Futures - The report includes charts of the trends of government bond futures main contracts, bond yields, basis, inter - period spreads, cross - variety spreads, and fund rates [13][14][19] Exchange Rates - The report presents charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [22][23][26]

Core Viewpoint - The article highlights the diverse opportunities and risks in the futures market, emphasizing the differentiation between bullish and bearish trends across various sectors, particularly in stock indices and certain commodities like iron ore and sugar [43]. Group 1: Stock Index Futures - Key bullish varieties include the CSI 500 futures (IC) and CSI 1000 futures (IM), indicating a "Good Curve Long" signal, while the CSI 300 futures (IF) show a "Curve Long" signal and the SSE 50 futures (IH) are "Maybe Curve Long," suggesting an overall bullish sentiment [2]. - The market is currently in a "Consolidation" phase, indicating a period of adjustment [3]. - The volatility of stock index futures is relatively low, with a Vol/Roll ratio between 1.4 and 5.0, and a moderate rolling Sharpe ratio of approximately 0.2 to 0.7, indicating active trading with manageable volatility [4]. - High positive correlation exists among IH, IF, IC, and IM, with correlation coefficients ranging from 0.68 to 0.94, reflecting strong interconnectivity within the sector [5]. - Investment opportunities lie in bullish positions for IC and IM due to strong curve structures and high annualized rolling returns (IC at 7.35%, IM at 10.69%), while IF and IH serve as auxiliary bullish positions suitable for low-cost accumulation during consolidation [6]. - The core logic suggests that small-cap stocks are relatively strong, benefiting from structural policy support and growth expectations, although the overall market lacks trend momentum and requires a breakout signal [8]. Group 2: Government Bond Futures - No clear curve signals are present for 2-year (TS), 5-year (TF), 10-year (T), and 30-year (TL) government bond futures, with all market states classified as "Consolidation" [9]. - Annualized rolling returns are negative (TS -0.26%, TF -0.26%, T -0.02%, TL 0.54%), indicating yield pressure [9]. - The volatility is low, with a Vol/Roll ratio between 0.0004 and 0.0027, and a varied rolling Sharpe ratio (TS at 0.43, T at 0.01), reflecting subdued trading activity and weak returns [10]. - Given the lack of clear direction, it is advised to remain observant or engage in light arbitrage, such as utilizing term spread changes [11]. - The core logic indicates that economic recovery and inflation expectations suppress the bond market, while safe-haven demand provides support, leading to a continued oscillating pattern [13]. Group 3: Precious Metals - Both gold (AU) and silver (AG) are classified as "Maybe Curve Short," but the market state is "Long," indicating a divergence between technical indicators and market conditions [14]. - Annualized rolling returns are negative (AU -2.24%, AG -2.11%), reflecting a bearish curve structure [14]. - The volatility is moderate, with a Vol/Roll ratio around 0.017 to 0.021, and low rolling Sharpe ratios (AU 0.08, AG 0.06), indicating active trading but poor returns [15]. - Cautious bearish positions are suggested, with attention to potential short-selling opportunities after rebounds or utilizing AU-AG price spread arbitrage [16]. - The core logic suggests that actual interest rates and dollar strength dominate prices, with a bearish technical outlook but support from safe-haven sentiment, leading to short-term weakness [18]. Group 4: Base Metals - Copper (CU) and international copper (BC) show no curve signals, with market states classified as "Long" or "Consolidation"; zinc (ZN) is "Maybe Curve Long," while nickel (NI) is "Short" [19]. - Annualized rolling returns vary (CU -0.28%, ZN 2.14%, NI -0.87%) [19]. - The volatility is moderate, with a Vol/Roll ratio between 0.005 and 0.011, and generally low rolling Sharpe ratios (CU 0.02, ZN 0.24), indicating stable trading [20]. - Zinc presents a clear long opportunity due to its bullish curve and positive returns, while nickel's clear bearish trend suggests short-selling at high points [21]. - The core logic indicates that supply-demand balance drives prices, with support from Chinese infrastructure and new energy demand for copper and zinc, but uncertainties arise from inventory levels and macro sentiment [23]. Group 5: Black Metals - Iron ore (I) is identified as "Good Curve Long," while coking coal (JM) is "Good Curve Short," and both coke (J) and rebar (RB) are "Maybe Curve Short" [24]. - Annualized rolling returns vary (I 6.49%, JM -5.35%) [25]. - The volatility is relatively high, with a Vol/Roll ratio around 0.010 to 0.024, and moderate rolling Sharpe ratios (I 0.39, JM 0.14), indicating active trading [26]. - Iron ore presents significant bullish opportunities, supported by positive returns and curve backing, while coking coal and coke show clear bearish trends suitable for short-selling [27]. - The core logic suggests that environmental policies and production cut expectations support iron ore, while weak terminal demand suppresses coking coal and coke, leading to notable sector differentiation [29]. Group 6: Energy and Chemicals - Crude oil (SC) and low-sulfur fuel oil (LU) are "Curve Long," while fuel oil (FU) is "Good Curve Long" but in a "Short" market state, and asphalt (BU) is "Curve Long" but also "Short" [30]. - Annualized rolling returns vary (SC 3.31%, FU 6.76%, BU 3.09%) [31]. - The volatility is moderate, with a Vol/Roll ratio between 0.014 and 0.026, and varied rolling Sharpe ratios (SC 0.14, FU 0.29), indicating strong interconnectivity within the sector [32]. - High-value bullish positions are recommended for SC and LU, benefiting from curve support and positive returns, while FU and BU require cautious validation due to their bearish market states [33]. - The core logic indicates that global crude oil supply-demand tightness supports prices, but downstream demand differentiation and chemical products are influenced by both cost and demand factors [36]. Group 7: Agricultural Products - Sugar (SR) is "Curve Long," soybean (A) is "Maybe Curve Long," palm oil (P) is "Good Curve Long" but in a "Short" market state, while rapeseed oil (OI) and rapeseed meal (RM) are "Maybe Curve Short," and live hogs (LH) and eggs (JD) are "Curve Short" [37]. - Annualized rolling returns vary (SR 3.58%, P 7.81%, LH -3.64%) [37]. - The volatility ranges from low to moderate, with a Vol/Roll ratio between 0.004 and 0.015, and moderate rolling Sharpe ratios (SR 0.56, LH 0.16) [38]. - Clear bullish opportunities exist for sugar and soybean, benefiting from curve support and positive returns, while palm oil's bullish curve requires waiting for stronger signals, and live hogs and eggs show clear bearish trends suitable for short-selling [40]. - The core logic indicates that supply-side factors (planting area, yield) and demand-side factors (feed, consumption) dominate, with significant differentiation among varieties and a need to monitor seasonal factors and global trade flows [42].

Report Title - Full Variety Spread Daily Report [4] Report Date - November 12, 2025 [3] Commodity Analysis Ferrous Metals - Silicon iron (SF601) spot price is 5488, futures price is 5608, with a basis of 120 and a basis rate of 2.19% [1] - Silicon manganese (SM601) has a conversion price of 6517 [1] - Rebar (RB2601) spot price is 3190, futures price is 3055, with a basis of 135 and a basis rate of 4.36% [1] - Hot - rolled coil (HC2601) spot price is 3260, futures price is 3242, with a basis of 18 and a basis rate of 0.56% [1] - Iron ore (I2601) spot price is 763, futures price is 836, with a basis of 73 and a basis rate of 8.73% [1] - Coke (J2601) spot price is 1685, futures price is 1689, with a basis of - 4 and a basis rate of - 0.24% [1] - Coking coal (JM2601) spot price is 1321, futures price is 1213, with a basis of 108 and a basis rate of 8.9% [1] Non - Ferrous Metals - Copper (CU2512) spot price is 86765, futures price is 86630, with a basis of 135 and a basis rate of 0.16% [1] - Aluminum (AL2601) spot price is 21620, futures price is 21665, with a basis of - 45 and a basis rate of - 0.21% [1] - Alumina (AO2601) spot price is 2854, futures price is 2816, with a basis of 38 and a basis rate of 1.35% [1] - Zinc (ZN2512) spot price is 22590, futures price is 22675, with a basis of - 85 and a basis rate of - 0.37% [1] - Tin (SN2512) spot price is 287700, futures price is 288180, with a basis of - 480 and a basis rate of - 0.17% [1] - Nickel (NI2512) spot price is 119900, futures price is 119380, with a basis of 520 and a basis rate of 0.44% [1] - Stainless steel (SS2512) spot price is 12920, futures price is 12465, with a basis of 455 and a basis rate of 3.65% [1] - Lithium carbonate (LC2601) spot price is 86540, futures price is 82300, with a basis of 4240 and a basis rate of 5.14% [1] - Industrial silicon (SI2601) spot price is 9500, futures price is 9180, with a basis of 320 and a basis rate of 3.49% [1] Precious Metals - Gold (AU2512) spot price is 948.9, futures price is 946.5, with a basis of 2.4 and a basis rate of 0.25% [1] - Silver (AG2512) spot price is 11880, futures price is 11865, with a basis of 15 and a basis rate of 0.13% [1] Agricultural Products - Soybean meal (M2601) spot price is 3054, futures price is 3000, with a basis of 54 and a basis rate of 1.77% [1] - Soybean oil (Y2601) spot price is 8450, futures price is 8238, with a basis of 212 and a basis rate of 2.57% [1] - Palm oil (P2601) spot price is 8770, futures price is 8730, with a basis of 40 and a basis rate of 0.46% [1] - Rapeseed meal (RM601) spot price is 2620, futures price is 2500, with a basis of 120 and a basis rate of 4.8% [1] - Rapeseed oil (OI601) spot price is 10120, futures price is 9775, with a basis of 345 and a basis rate of 3.41% [1] - Corn (C2601) spot price is 2180, futures price is 2177, with a basis of 3 and a basis rate of 0.14% [1] - Corn starch (CS2601) spot price is 2550, futures price is 2490, with a basis of 60 and a basis rate of 2.41% [1] - Live pigs (LH2601) spot price is 12050, futures price is 11755, with a basis of 295 and a basis rate of 2.51% [1] - Eggs (JD2512) spot price is 3152, futures price is 2840, with a basis of 312 and a basis rate of 10.57% [1] - Cotton (CF601) spot price is 14668, futures price is 13560, with a basis of 1108 and a basis rate of 8.17% [1] - Sugar (SR601) spot price is 5760, futures price is 5480, with a basis of 280 and a basis rate of 5.11% [1] - Apples (AP601) spot price is 9229, futures price is 8840, with a basis of 389 and a basis rate of 4.21% [1] - Red dates (CJ601) spot price is 9495, futures price is 9000, with a basis of 495 and a basis rate of 5.21% [1] Energy and Chemicals - Paraxylene (PX601) spot price is 6735, futures price is 6756, with a basis of - 21 and a basis rate of - 0.31% [1] - PTA (TA601) spot price is 4585, futures price is 4648, with a basis of - 63 and a basis rate of - 1.36% [1] - Ethylene glycol (EG2601) spot price is 3875, futures price is 4020, with a basis of - 145 and a basis rate of - 3.61% [1] - Polyester staple fiber (PF602) spot price is 6325, futures price is 6152, with a basis of 173 and a basis rate of 2.81% [1] - Styrene (EB2512) spot price is 6231, futures price is 6285, with a basis of - 54 and a basis rate of - 0.86% [1] - Methanol (MA601) spot price is 2082, futures price is 2060, with a basis of 22 and a basis rate of 1.06% [1] - Urea (UR601) spot price is 1610, futures price is 1640, with a basis of - 30 and a basis rate of - 1.86% [1] - LLDPE (L2601) spot price is 6865, futures price is 6760, with a basis of 105 and a basis rate of 1.55% [1] - PP (PP2601) spot price is 6429, futures price is 6500, with a basis of - 71 and a basis rate of - 1.1% [1] - PVC (V2601) spot price is 4572, futures price is 4510, with a basis of 62 and a basis rate of 1.36% [1] - Caustic soda (SH601) spot price is 2468.8, futures price is 2357, with a basis of 111.8 and a basis rate of 4.74% [1] - LPG (PG2512) spot price is 4498, futures price is 4324, with a basis of 174 and a basis rate of 4.02% [1] - Asphalt (BU2601) spot price is 3000, futures price is 3050, with a basis of - 50 and a basis rate of - 1.64% [1] - Butadiene rubber (BR2601) spot price is 10240, futures price is 10200, with a basis of 40 and a basis rate of 0.39% [1] - Glass (FG601) spot price is 1053, futures price is 1032, with a basis of 21 and a basis rate of 2.03% [1] - Soda ash (SA601) spot price is 1176, futures price is 1215, with a basis of - 39 and a basis rate of - 3.32% [1] - Natural rubber (RU2601) spot price is 15095, futures price is 14700, with a basis of 395 and a basis rate of 2.69% [1] Financial Futures - IF2512.CFE spot price is 4652.2, futures price is 4626.8, with a basis of 25.4 and a basis rate of 0.55% [1] - IH2512.CFE spot price is 3034.6, futures price is 3033, with a basis of 1.6 and a basis rate of 0.05% [1] - IC2512.CFE spot price is 7291.6, futures price is 7173, with a basis of 118.6 and a basis rate of 1.64% [1] - IM2512.CFE spot price is 7540.8, futures price is 7390.4, with a basis of 150.4 and a basis rate of 2.03% [1] - 2 - year bond (TS2512) spot price is 102.46, futures price is 100.04, with a basis of 2.42 and a basis rate of 2.41% [1] - 5 - year bond (TF2512) spot price is 105.94, futures price is 99.61, with a basis of 6.33 and a basis rate of 6.07% [1] - 10 - year bond (T2512) spot price is 106.55, futures price is 108.5, with a basis of - 1.95 and a basis rate of - 1.83% [1] - 30 - year bond (TL2512) spot price is 131.32, futures price is 116.34, with a basis of 14.98 and a basis rate of 12.88% [1]

Report Overview - Report Date: November 7, 2025 [3] - Report Title: Daily Spread Report for All Varieties [3] - Data Sources: Wind, Mysteel, and GF Futures Research Institute [4] Core Viewpoints - The report presents the basis, spot prices, futures prices, basis rates, and historical quantiles of various commodities and financial instruments, including ferrous metals, non - ferrous metals, agricultural products, energy and chemical products, and financial derivatives. It provides a comprehensive snapshot of the market conditions for these products on the reporting date [1]. Summary by Commodity Categories Ferrous Metals - **Silicon Iron (SF601)**: The basis is - 8, the spot price is 5578, the futures price is 5586, and the basis rate is - 0.14%. The historical quantile is 55.70% [1]. - **Silicon Manganese (SM601)**: The basis is 92, the spot price is 5798, the futures price is 5890, and the basis rate is 1.59%. The historical quantile is 42.70% [1]. - **Rebar (RB2601)**: The basis is 14, the spot price (HRB400 20mm in Shanghai) is 3037, the futures price is 3190, and the basis rate is 0.43%. The historical quantile is 23.40% [1]. - **Hot - Rolled Coil (HC2601)**: The basis is not clearly presented, the spot price is not detailed, and the futures price is 3256 [1]. - **Iron Ore (I2601)**: The basis is - 44, the spot price (62.5% Brazilian mixed powder at Rizhao Port) is 1777, the futures price is 1732, and the basis rate is - 2.49%. The historical quantile is 50.80% [1]. - **Coke (J2601)**: The basis is - 44, the spot price (quasi - first - grade metallurgical coke at Rizhao Port) is 1777, the futures price is 1732, and the basis rate is - 2.49%. The historical quantile is 41.48% [1]. - **Coking Coal (JM2601)**: The basis is 83, the spot price (S1.3 G75 main coking coal at Shaheyi) is 1291, the futures price is 1373, and the basis rate is 6.39%. The historical quantile is 46.80% [1]. Non - Ferrous Metals - **Copper (CU2512)**: The basis is - 325, the spot price (SMM cathode copper average price) is 85995, the futures price is 86320, and the basis rate is - 0.38%. The historical quantile is 18.54% [1]. - **Aluminum (AL2601)**: The basis is - 270, the spot price (SMM A00 aluminum average price) is 21360, the futures price is 21630, and the basis rate is - 1.25%. The historical quantile is 2.08% [1]. - **Alumina (AO2601)**: The basis is - 74, the spot price (SMM alumina index average price) is 2787, the futures price is 2861, and the basis rate is - 2.66%. The historical quantile is 46.25% [1]. - **Zinc (ZN2512)**: The basis is - 245, the spot price (SMM 1 zinc ingot average price) is 22430, the futures price is 22675, and the basis rate is - 1.08%. The historical quantile is 7.50% [1]. - **Tin (SN2512)**: The basis is - 620, the spot price (SMM 1 tin average price) is 282800, the futures price is 283420, and the basis rate is - 0.22%. The historical quantile is 30.62% [1]. - **Nickel (NI2512)**: The basis is - 275, the spot price (SMM 1 imported nickel average price) is 119475, the futures price is 119750, and the basis rate is - 0.23%. The historical quantile is 39.58% [1]. - **Stainless Steel (SS2512)**: The basis is 380, the spot price (304/2B at Wuxi Hongwang) is 12590, the futures price is 12970, and the basis rate is 3.02%. The historical quantile is 74.46% [1]. Agricultural Products - **Soybean Meal (M2601)**: The basis is 162, the spot price (Jiangsu Zhangjiagang ordinary protein soybean meal) is 3068, the futures price is 3000, and the basis rate is 5.40%. The historical quantile is 26.50% [1]. - **Soybean Oil (V2601)**: The basis is 34, the spot price (Jiangsu Zhangjiagang fourth - grade soybean oil) is 8350, the futures price is 8188, and the basis rate is 0.42%. The historical quantile is 34.80% [1]. - **Palm Oil (P2601)**: The basis is - 112, the spot price (delivery price at Huangpu Port) is 8620, the futures price is 8732, and the basis rate is - 1.28%. The historical quantile is 4.50% [1]. - **Rapeseed Meal (RM601)**: The basis is 101, the spot price (Guangdong Zhanjiang ordinary rapeseed meal) is 2650, the futures price is 2549, and the basis rate is 3.96%. The historical quantile is 64.20% [1]. - **Rapeseed Oil (OI601)**: The basis is 286, the spot price (Jiangsu Nantong fourth - grade rapeseed oil) is 9850, the futures price is 9564, and the basis rate is 2.99%. The historical quantile is 79.60% [1]. - **Corn (C2601)**: The basis is - 4, the spot price (FOB price at Jinzhou Port) is 2150, the futures price is 2154, and the basis rate is - 0.19%. The historical quantile is 38.40% [1]. - **Corn Starch (CS2601)**: The basis is 81, the spot price (Jilin Changchun corn starch) is 2550, the futures price is 2469, and the basis rate is 3.28%. The historical quantile is 37.30% [1]. - **Live Hogs (LH2601)**: The basis is - 90, the spot price (Henan outer - ternary live hogs) is 11940, the futures price is 11850, and the basis rate is - 0.75%. The historical quantile is 41.40% [1]. - **Eggs (JD2512)**: The basis is - 497, the spot price (Hebei Shijiazhuang average price) is 2730, the futures price is 3227, and the basis rate is - 15.40%. The historical quantile is 7.10% [1]. - **Cotton (CF601)**: The basis is 1013, the spot price (Xinjiang 3128B cotton) is 13605, the futures price is 14618, and the basis rate is 7.45%. The historical quantile is 59.60% [1]. - **Sugar (SR601)**: The basis is 272, the spot price (Liuzhou station white sugar) is 5720, the futures price is 5448, and the basis rate is 4.99%. The historical quantile is 45.00% [1]. - **Apples (AP601)**: The basis is - 79, the spot price (delivery theoretical price) is 8919, the futures price is 8840, and the basis rate is - 0.89%. The historical quantile is 15.70% [1]. - **Red Dates (CJ601)**: The basis is - 705, the spot price (Hebei first - grade gray dates) is 9705, the futures price is 9000, and the basis rate is - 7.26%. The historical quantile is 63.80% [1]. Energy and Chemical Products - **Paraxylene (PX601)**: The basis is - 40, the spot price (CFR price at Chinese main ports) is 6780, the futures price is 6820, and the basis rate is - 0.58%. The historical quantile is 12.00% [1]. - **PTA (TA601)**: The basis is - 148, the spot price (market price in East China) is 4540, the futures price is 4688, and the basis rate is - 3.16%. The historical quantile is 20.00% [1]. - **Ethylene Glycol (EG2601)**: The basis is - 76, the spot price (market price in East China) is 3924, the futures price is 4000, and the basis rate is - 1.90%. The historical quantile is 75.00% [1]. - **Polyester Staple Fiber (PF2512)**: The basis is 81, the spot price (market price in East China) is 6325, the futures price is 6244, and the basis rate is 1.29%. The historical quantile is 74.20% [1]. - **Styrene (EB2512)**: The basis is 0, the spot price (market price in East China) is 6300, the futures price is 6300, and the basis rate is 0%. The historical quantile is 4.75% [1]. - **Methanol (MA601)**: The basis is - 43, the spot price (market price in Jiangsu Taicang) is 2082, the futures price is 2125, and the basis rate is - 2.02%. The historical quantile is 54.50% [1]. - **Urea (UR601)**: The basis is - 64, the spot price (market price in Shandong) is 1580, the futures price is 1644, and the basis rate is - 3.89%. The historical quantile is 5.60% [1]. - **LLDPE (L2601)**: The basis is 70, the spot price (self - pick - up price in Shandong) is 6805, the futures price is 6875, and the basis rate is 1.02%. The historical quantile is 57.60% [1]. - **PP (PP2601)**: The basis is 29, the spot price (self - pick - up price in Zhejiang) is 6500, the futures price is 6471, and the basis rate is 0.45%. The historical quantile is 49.00% [1]. - **PVC (V2601)**: The basis is - 110, the spot price (market price in Changzhou) is 4520, the futures price is 4630, and the basis rate is - 2.38%. The historical quantile is 33.00% [1]. - **Caustic Soda (SH601)**: The basis is 157, the spot price (market price in Shandong) is 2500, the futures price is 2343, and the basis rate is 6.69%. The historical quantile is 70.70% [1]. - **LPG (PG2512)**: The basis is 183, the spot price (market price in Guangzhou) is 4448, the futures price is 4265, and the basis rate is 4.29%. The historical quantile is 48.10% [1]. - **Asphalt (BU2601)**: The basis is 9, the spot price (market price in Shandong) is 3100, the futures price is 3109, and the basis rate is 0.29%. The historical quantile is 93.40% [1]. - **Butadiene Rubber (BR2601)**: The basis is - 105, the spot price (China National Petroleum Corporation East China) is 10305, the futures price is 10200, and the basis rate is - 1.02%. The historical quantile is 62.20% [1]. - **Float Glass (FG601)**: The basis is - 53, the spot price (market price in Shahe) is 1101, the futures price is 1048, and the basis rate is - 4.81%. The historical quantile is 58.40% [1]. - **Soda Ash (SA601)**: The basis is - 50, the spot price (market price in Shahe) is 1207, the futures price is 1157, and the basis rate is - 4.14%. The historical quantile is 21.21% [1]. - **Natural Rubber (RU2601)**: The basis is - 695, the spot price (market price in Shanghai) is 14350, the futures price is 15045, and the basis rate is - 4.62%. The historical quantile is 54.69% [1]. Financial Derivatives - **Stock Index Futures**: - **IF2512.CFE**: The basis is - 22.6, the spot price is 4693.4, the futures price is 4670.8, and the basis rate is - 0.48%. The historical quantile is 20.30% [1]. - **IH2512.CFE**: The basis is - 3.3, the spot price is 3044.7, the futures price is 3041.4, and the basis rate is - 0.11%. The historical quantile is 39.80% [1]. - **IC2512.CFE**: The basis is - 99.3, the spot price is 7345.7, the futures price is 7246.4, and the basis rate is - 1.37%. The historical quantile is 3.30% [1]. - **IM2512.CFE**: The basis is - 146.8, the spot price is 7551.8, the futures price is 7405, and the basis rate is - 1.98%. The historical quantile is 11.00% [1]. - **Treasury Bond Futures**: - **TS2512**: The basis is - 0.04, the spot price is 100.05, the futures price is 102.49, and the basis rate is - 0.04%. The historical quantile is 15.70% [1]. - **TF2512**: The basis is 0.08, the spot price is 108.55, the futures price is 105.96, and the basis rate is 0.08%. The historical quantile is 23.10% [1]. - **T2512**: The basis is 0.09, the spot price is 130.98, the futures price is 106.61, and the basis rate is 0.08%. The historical quantile is 26.30% [1]. - **TL2512**: The basis is 0.09, the spot price is 130.98, the futures price is 116.13

Key Points - The article provides an analysis of the futures market, highlighting key long and short products, volume changes, trading opportunities, and core logic behind market movements [2][3][4][5][6][10]. Group 1: Key Long and Short Products - Long products include IC (CSI 500 futures) and IM (CSI 1000 futures), which are categorized as "Good Curve Long" with strong trends [6]. - Short products include RB (rebar) and FG (glass), which are identified as "Good Curve Short" with clear bearish signals [6][10]. - Consolidation products such as T (10-year treasury), TL (30-year treasury), HC (hot-rolled coil), and RU (rubber) indicate uncertain market directions, suggesting a wait-and-see approach [4]. Group 2: Volume Changes - High volume signals are observed in products like IC and IM, indicating potential inflows of capital due to their strong bullish trends [6]. - Conversely, products like TS (2-year treasury) and TF (5-year treasury) show low volatility and negative returns, suggesting potential outflows of capital [6]. Group 3: Trading Opportunities - Trend trading opportunities are identified in stock index futures (IC, IM) and certain commodity futures (CU, AL, NI) which are in a "Long" market state [6]. - Caution is advised for commodities like AU (gold) and AG (silver) which show conflicting signals of being "Maybe Curve Short" while in a "Long" market state, indicating potential for pullbacks [6]. - The article emphasizes the importance of monitoring supply and demand changes, particularly for products like J (coke) and JM (coking coal) which are in a "Long" market state but have bearish curve types [6]. Group 4: Core Logic - The strong bullish logic for stock index futures (IC, IM) is attributed to the relative strength of small-cap stocks and high rolling returns, leading to sustained capital inflows [8]. - Commodity futures are influenced by various factors including supply-demand dynamics, geopolitical events, and monetary policy, which can lead to significant market movements [10]. - The article highlights the need for risk management, especially in high-volatility products like EC (shipping index) and I (iron ore), where strict controls are necessary [10].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The bond market in September may break the seasonal pattern and still present long - trading opportunities. The latest PMI data shows a marginal improvement in the fundamentals, but the effective demand remains weak. Mid - to long - term interest rates are expected to decline. The seasonal weakness in September may have been adjusted in August. The central bank is supportive of bond market liquidity, and institutional behavior signals still suggest long - trading. Currently, one can focus on the spread compression opportunity between the new 30 - year bond 25 Special 06 and 25 Special 02 [2]. - From a seasonal perspective, the bond market usually corrects in September, but the current market sentiment has improved significantly, and the number of institutions bearish on the bond market has decreased notably [3]. - Most fixed - income buyers hold a neutral view, with over 80% of them remaining neutral [3]. - The basis of the T - contract is at a historical high, and the curve can still be steepened [6]. 3. Summary According to the Directory 3.1 Seller and Buyer Markets 3.1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.1, and the unweighted index is 0.14, up 0.11 from last week. Currently, institutions generally hold a neutral - to - bullish view, with 7 bullish, 19 neutral, and 3 bearish. 24% of institutions are bullish, citing the attractiveness of the 10 - year Treasury yield around 1.8%, weak fundamentals, and expected central bank easing. 66% are neutral, concerned about the "stock - bond seesaw" effect and incomplete institutional duration adjustment. 10% are bearish, worried about stock market rallies, inflation expectations, and subsequent pro - growth policies [12]. 3.1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index is 0.02, and the unweighted index is 0.03, down 0.03 from last week. Institutions generally hold a neutral - to - bullish view, with 3 bullish, 24 neutral, and 2 bearish. 10% of institutions are bullish, citing credit contraction, the improved cost - effectiveness of the bond market, and central bank support. 83% are neutral, believing that the bond market is gradually desensitized to equities. 7% are bearish, concerned that a stronger stock market may raise the interest - rate center [13]. 3.1.3 Credit Bonds - The scale of "fixed - income +" funds is expanding, which may support the demand for medium - to high - grade, medium - to short - duration non - financial credit bonds, but the current increase is limited. The stock - bond seesaw effect still exists, and a rising stock market may continue to pressure long - term bonds [18]. 3.1.4 Convertible Bonds - Institutions generally hold a neutral - to - bullish view this week, with 11 bullish and 4 neutral. 73% are bullish, believing that the logic of incremental funds driving the equity market remains valid. 27% are neutral, concerned about high valuations and increased market divergence [20]. 3.2 Treasury Futures Tracking 3.2.1 Futures Trading - Futures prices have risen across the board. As of August 29, the prices of TS/TF/T/TL contracts are 102.42 yuan, 105.52 yuan, 107.81 yuan, and 116.55 yuan respectively, up 0.10 yuan, 0.14 yuan, 0.15 yuan, and 0.57 yuan from last Friday. - Open interest has increased across the board. As of August 29, the open interest of TS/TF/T/TL contracts is 67,000 lots, 113,000 lots, 178,000 lots, and 121,000 lots respectively, up 38,948 lots, 5,654 lots, 16,595 lots, and 10,567 lots from last Friday. - Trading volume has decreased across the board. As of August 29, the 5 - day moving average trading volume of TS/TF/T/TL contracts is 84.7 billion yuan, 84.1 billion yuan, 120.6 billion yuan, and 212.2 billion yuan respectively, down 43.223 billion yuan, 29.834 billion yuan, 37.99 billion yuan, and 54.024 billion yuan from last Friday. - The trading volume - to - open - interest ratio has decreased across the board. As of August 29, the 5 - day moving average trading volume - to - open - interest ratio of TS/TF/T/TL contracts is 0.65, 0.77, 0.70, and 1.74 respectively, down 0.92, 0.62, 1.16, and 2.20 from last Friday [24][25]. 3.2.2 Spot Bond Trading - The turnover rate of 30 - year Treasury bonds has decreased. On August 29, it was 4.48%, down 0.94 percentage points from last week and 0.79 percentage points from Monday, with a weekly average of 3.99%. The weekly average turnover rate of interest - rate bonds has decreased. On August 29, it was 0.78%, down 0.10 percentage points from last week and 0.19 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds has increased. On August 29, it was 4.71%, up 0.62 percentage points from last week and down 1.03 percentage points from Monday [32][35]. 3.2.3 Basis Trading - Except for the basis of the TS main contract, which has widened, the basis of other main contracts has narrowed. As of August 29, the basis (CTD) of TS/TF/T/TL main contracts is - 0.04 yuan, 0.05 yuan, 0.44 yuan, and 0.71 yuan respectively, down 0.07 yuan, 0.02 yuan, 0.13 yuan, and 0.23 yuan from last Friday. - The net basis of all main contracts has narrowed. As of August 29, the net basis (CTD) of TS/TF/T/TL main contracts is 0.001 yuan, 0.08 yuan, 0.12 yuan, and 0.21 yuan respectively, down 0.02 yuan, 0.003 yuan, 0.09 yuan, and 0.18 yuan from last Friday. - The IRR of all main contracts has increased. As of August 29, the IRR (CTD) of TS/TF/T/TL main contracts is 1.51%, 1.25%, 1.13%, and 1.01% respectively, up 0.33%, 0.04%, 0.29%, and 0.44% from last Friday [39][42]. 3.2.4 Inter - delivery Spread and Inter - variety Spread - In terms of inter - delivery spreads, the spreads of TS and TF main futures contracts have widened, while those of T and TL main futures contracts have narrowed. As of August 29, the near - to - far spreads of TS/TF/T/TL contracts are - 0.07 yuan, 0.14 yuan, 0.24 yuan, and 0.46 yuan respectively, down 0.07 yuan, up 0.04 yuan, down 0.01 yuan, and down 0.08 yuan from last Friday. - In terms of inter - variety spreads, except for the 3*T - TL futures contract, whose spread has narrowed, the spreads of other main futures contracts have widened. As of August 29, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL are 99.33 yuan, 103.21 yuan, 301.86 yuan, and 206.90 yuan respectively, up 0.06 yuan, 0.13 yuan, 0.24 yuan, and down 0.17 yuan from last Friday [49][50].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The report provides investment analysis and strategies for various financial and commodity futures and options, including intraday and mid - term views, reference strategies, and core logics for each product [1][2][5]. - For financial futures, the stock index futures are expected to have high - level sideways consolidation and index differentiation in the short - term, with a wide - range shock in the medium - term. The treasury bond futures are expected to continue to rebound with long - term bonds being strong in the short - term and remain strong in the medium - term [1][2]. - For commodity futures, different sectors such as metals, black and building materials, livestock and soft commodities, and energy and chemicals have different trends and influencing factors. For example, copper in the metal sector is affected by factors like Fed's interest - rate cut expectations, supply and demand, and inventory [5][6][7]. Summary by Related Catalogs Financial Futures and Options Stock Index Futures - **Varieties**: IF, IH, IC, IM - **Intraday View**: High - level sideways consolidation, index differentiation [1] - **Mid - term View**: Wide - range shock - **Reference Strategy**: Hold long positions in IF2509 cautiously and hold IO - 4300 - P put options for protection - **Core Logic**: Market trading volume has decreased but remains at a high level. Margin trading balance is stable and approaching 2.2 trillion yuan. Leverage funds continue to enter the market, and the trading sentiment of margin trading funds is heating up. The policy side forms multiple positive overlays, providing good support for the market [1]. Treasury Bond Futures - **Varieties**: TS, TF, T, TL - **Intraday View**: Rebound continues, long - term bonds are strong - **Mid - term View**: Strong - **Reference Strategy**: Hold long positions in TL2512 - **Core Logic**: The central bank's open - market operations turn to net withdrawal, but the previous monthly MLF renewal achieved a large - scale net injection. The inter - bank market liquidity remains abundant. The stock - bond seesaw effect may be further desensitized, and the economic recovery is slow, indicating that the bond market is difficult to switch from bull to bear [2][3]. Commodity Futures and Options Metal and New Energy Materials Sector - **Copper** - **Intraday View**: Fluctuate within the range of 79290 - 80100 (also 78500 - 80000 in another part) [5][51] - **Mid - term View**: Fluctuate within the range of 60000 - 90000 - **Reference Strategy**: Adopt an oscillating operation idea - **Core Logic**: The Fed's September interest - rate cut expectation is high. Supply shows a tightening trend in some aspects, and demand is positive in some areas like China's power grid investment and global energy - storage battery shipments. However, the slowdown in US import demand may weaken the support for copper prices [6][7][51]. - **Industrial Silicon** - **Intraday View**: Run strongly, within the range of 8600 - 8900 (also 8500 - 8800 in another part) [8][54] - **Mid - term View**: Run strongly, within the range of 8500 - 9500 - **Reference Strategy**: Adopt a long - biased approach - **Core Logic**: Supply decreased year - on - year in July. Demand also decreased year - on - year in June. The inventory is at a high level in the past 7 years, but the "Industrial Silicon Industry Kunming Initiative" is expected to boost the price [8][9][54]. - **Polysilicon** - **Intraday View**: Run strongly, within the range of 50,000 - 53,000 - **Mid - term View**: Run strongly, within the range of 45,000 - 65,000 - **Reference Strategy**: Adopt a long - biased approach - **Core Logic**: Supply decreased year - on - year in June. Demand decreased year - on - year in July. The inventory shows obvious oversupply, but the "anti - involution" expectation boosts the price [10][11][12]. - **Aluminum** - **Intraday View**: Run at a high level, within the range of 20600 - 20900 - **Mid - term View**: Run strongly, within the range of 19500 - 21000 - **Reference Strategy**: Sell AL2510 - P - 19300 - **Core Logic**: The supply - side reform in 2017 set a cap on China's electrolytic aluminum production capacity, and the current production capacity increase space is limited. The social inventory is at the second - lowest level in the past 5 years, and the automobile market is performing well, which is beneficial to the aluminum price [13][14][59]. - **Lithium Carbonate** - **Intraday View**: Wide - range fluctuation, within the range of 75,000 - 85,000 - **Mid - term View**: Oscillate strongly, within the range of 70,000 - 100,000 - **Reference Strategy**: Adopt a long - biased approach - **Core Logic**: The spot price has declined recently. Supply increased year - on - year in July, and the total inventory is at a high level within the year [15]. Black and Building Materials Sector - **Rebar and Hot - Rolled Coil** - **Intraday View**: Short - term decline but limited downside space - **Mid - term View**: Lack of upward driving force - **Reference Strategy**: Continue to hold sold out - of - the - money put options on rebar, such as RB2510 - P - 2900 - **Core Logic**: The inflection point of raw material supply and demand has appeared, and the policy - based production restriction is less than expected. However, the explicit inventory of steel products is at the lowest level in the past 5 years, so the downside space in the next 1 - 2 weeks is expected to be limited [17][18][61]. Livestock, Animal Husbandry, and Soft Commodities Sector - **Sugar** - **Intraday View**: Run weakly - **Mid - term View**: Strong bottom support (also oscillate weakly in another part) [20][21][63] - **Reference Strategy**: Exit long positions and wait and see - **Core Logic**: Production and exports in Brazil decreased in July. India is expected to have a large increase in production in the new season, and Thailand is expected to continue to increase production. In China, the domestic refined sugar production has increased significantly year - on - year, and the supply is expected to be marginally looser [23][63]. - **Protein Meal** - **Intraday View**: Rapeseed meal 2601 is weaker than soybean meal 2601 - **Mid - term View**: Soybean meal 2601 will fluctuate sharply in August and September - **Reference Strategy**: Continue to hold the strategy of shorting soybean oil 2601 and going long on palm oil 2601 - **Core Logic**: The average yields of US corn and soybeans are expected to reach record highs. The situation of US soybean exports to China, the harvest progress of Canadian rapeseed, and relevant policies all affect the market [33][34][64]. Energy and Chemicals Sector - **Crude Oil** - **Intraday View**: There is upward space - **Mid - term View**: Under pressure - **Reference Strategy**: Sell out - of - the - money put options on SC crude oil - **Core Logic**: OPEC + maintains the production - increase strategy in September. The supply of heavy - oil is still tight due to sanctions, but the supply from Venezuela may increase. The demand shows different trends in different regions and products, and the inventory is expected to accumulate in the third - quarter end [40][41][67]. - **PVC** - **Intraday View**: Stabilize and rebound (also run weakly in another part) [42][70] - **Mid - term View**: Support at the bottom - **Reference Strategy**: Continue to hold the strategy of selling out - of - the - money put options on PVC - **Core Logic**: The cost of calcium carbide increases, the supply decreases due to equipment maintenance but may increase in the future. The demand is weak, and the inventory is currently accumulating but may decrease later [43][44][70].