全品种价差日报 数据来源: Wind、Mysteel、广发期货研究所。请仔细阅读报告尾端免责声明。历史分位数:根据各品种近五年的墓差水平排序 免责声明 体报告内容德想必获语于部门发射竞再找后认为可以的已公开资料，但"发挥的过应盛信息的高的危险无奈胜还不用任何保证。本报告诉郑伟员《责经不同说点。见解及分行方法，并不代表厂发销运度利润利和放立场，在印情况下，报告中国政策参考，报告中国政策参考，报律中国政策参考，报律中国政策参考，报律中国政策参考，报律中国政策部 或所难这的舰好不得动团团最好买卖的出价南你价，我没看看她比很，见谁自但。不表陆高密表这些却"就能的新定都"几到《专业人士」 版权队"发掘的所有，来经广觉脱贫声面段仅，但凡人不得的年都是近行后回到女就该下。复制。知引用、消费，我觉，我觉，我觉，我觉，我觉，我觉，我觉得出处少了 发期货"。 知识图强,求实奉献,客户至上,合作共赢 | 硅铁(SF601) | 55.70% | 折算价:72硅铁合格块:内蒙-天津仓单 | 5578 | -8 | -0.14% | 5586 | 92 | 1.59% | 折算价:6517硅锰:内蒙-湖北仓单 | 硅锰(SM601) ...

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（2025-10-27）》，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、关键多空品种 基于"CurveLongShort"（曲线多空类型）和"Market Status"（市场状态）字段，核心多空品种分类如下： 多头品种（Long）： • Vol/Roll（波动/滚动比）：高值表示波动剧烈或展期成本高，如EC（集运指数）为34.80，提示交易活跃但风险大。 • Dvol（波动率）：高值品种如IC（0.017）、CU（0.014）显示高波动，可能伴随仓位增减。 • RollSharpeAbs（滚动夏普比率）：正值为正收益机会，如IM（0.456）、I（铁矿石，0.429）值得关注。 空头品种（Short）： 盘整品种（Consolidation）： • T（10年期国债）、TL（30年期国债）、HC（热轧卷板）、RU（橡胶）、SP（纸浆）等—市场状态为"Consolidation"，方向不明，建议观 望。 二、量仓变化 重点品种量 ...

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].

Report Overview - The report is a financial research on financial futures, including stock index futures and treasury bond futures, released by China Merchants Futures Co., Ltd. on August 22, 2025 [1][2] 1. Market Performance Stock Index Futures - On August 21, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.13% to 3771.1 points, the Shenzhen Component Index fell 0.06% to 11919.76 points, the ChiNext Index fell 0.47% to 2595.47 points, and the STAR 50 Index rose 0.09% to 1149.15 points. Market turnover was 2.4603 trillion yuan, an increase of 11.9 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+1.5%), petroleum and petrochemicals (+1.39%), and beauty care (+0.98%) led the gains, while machinery (-1.08%), power equipment (-0.98%), and composites (-0.73%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2169/164/3087 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -20.9 billion, -30.8 billion, 5.6 billion, and 46.1 billion yuan respectively, with changes of -8.4 billion, -9.7 billion, +6.7 billion, and +11.4 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 99.94, 87.37, 14.27, and -2.02 points respectively, with annualized basis yields of -9.57%, -9.05%, -2.31%, and 0.49% respectively, and three - year historical quantiles of 39%, 18%, 36%, and 50% respectively [2] Treasury Bond Futures - On August 21, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.426, down 0.13 bps from the previous day; the five - year bond was 1.639, down 1.32 bps; the ten - year bond was 1.728, down 0.99 bps; and the thirty - year bond was 2.135, down 1.96 bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of -0.25 bps, a corresponding net basis of 0.019, and an IRR of 1.24%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.096, and an IRR of 1.22%; the CTD bond of the ten - year treasury bond futures was 250007.IB, with a yield change of -2 bps, a corresponding net basis of 0.098, and an IRR of 0.16%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of -3 bps, a corresponding net basis of 0.401, and an IRR of 0.58% [2] - In terms of the money market, the central bank's net injection was 124.3 billion yuan through open market operations [2] 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - Given the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL in the medium - to - long term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic medium - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, with negative scores indicating weakening sentiment [9][11][12]

Report Industry Investment Rating - No relevant information provided in the reports. Core Views - No clear core views are presented in the given reports. The reports mainly provide various data on different financial products and markets. Summary by Category Stock Index Futures - **Price - Spread Data**: Presented data on spot - futures spreads and inter - delivery spreads for different stock index futures contracts (F, H, IC, IM). For example, the F spot - futures spread was - 8.66 with a change of - 1.61 from the previous day, and the H spot - futures spread was 9.53 with a change of - 4.00. Also included historical percentile data [1]. Treasury Bond Futures - **Price - Spread Data**: Provided data on basis, inter - delivery spreads, and inter - variety spreads for different treasury bond futures contracts (TS, TF, T, TL). For instance, the TS basis on August 18, 2025, was 1.1620 with a change of 0.0332 from the previous day, and the TS - TF inter - variety spread was - 3.1510 with a change of 0.1630 [2]. Precious Metals - **Price Data**: Showed domestic and foreign futures closing prices, spot prices, basis, and other related data for gold and silver. For example, the AU2510 domestic futures contract closed at 777.66 yuan/gram on August 18, 2025, up 1.86 yuan from August 15, with a 0.24% increase [3]. Container Shipping Industry - **Price and Index Data**: Included spot quotes, freight indexes, futures prices, and basis data for container shipping. For example, the MAERSK spot quote for Shanghai - Europe future 6 - week freight on August 19, 2025, was 2443 dollars/FEU, up 85 dollars from August 18, with a 3.60% increase [4]. Trading Calendar - **Data and Events**: Listed overseas and domestic economic data and events to be released on August 19, 2025. For example, the eurozone's seasonally adjusted current account for June (in billions of euros) was to be released at 16:00, and the China's total polysilicon inventory was to be reported at 19:00 [5].

Group 1: Metals and Minerals - The price of silicon iron (SF509) is 5828, down 2 or -0.03% from the previous value, with a historical quantile of 59.10% [1] - The price of silicon manganese (SM509) is 6070, and the reference price for the 6517 variety in Inner Mongolia - Hubei warehouse receipts is provided [1] - The price of rebar (RB2510) is 3250, and the price of hot - rolled coil (HC2510) is 3480, up 15 or 0.43% [1] - The price of iron ore (12601) is 797, up 38 or 4.72%, with a historical quantile of 33.20% [1] - The price of coke (J2601) is 1613, down 68 or -4.02%, and the reference price for quasi - first - grade metallurgical coke in Rizhao Port is 1681 [1] - The price of coking coal (JM2601) is 1145, down 111 or -8.84%, and the reference price for S1.3 G75 main coking coal in Shaheyi is 1256 [1] - The price of copper (CU2509) is 79020, with a basis of 130 and a historical quantile of 58.33% [1] - The price of aluminum (AL2509) is 20700, with a basis of - 50 and a historical quantile of 29.58% [1] - The price of zinc (ZN2509) is 22590, with a basis of - 42 and a historical quantile of 21.04% [1] - The price of tin (SN2509) is 268380, with a basis of - 380 and a historical quantile of 34.58% [1] - The price of nickel (NISE09) is 122130, with a basis of - 30 and a historical quantile of 54.58% [1] - The price of stainless steel (SS2510) is 13225, with a basis of 145 and a historical quantile of 31.75% [1] - The price of alumina (AO2509) is 3249, with a historical quantile of 50.00% [1] Group 2: Agricultural Products - The price of soybean meal (M2601) is 2930, with a basis of - 142 and a historical quantile of 14.10% [1] - The price of soybean oil (V2601) is 8440, with a historical quantile of 11.50% [1] - The price of palm oil (P2509) is 9218, with a basis of - 18 and a historical quantile of 13.10% [1] - The price of rapeseed meal (RM509) is 2724, with a basis of - 134 and a historical quantile of 11.60% [1] - The price of rapeseed oil (O1509) is 9588, with a basis of 72 and a historical quantile of 32.90% [1] - The price of corn (C2509) is 2262, with a historical quantile of 64.90% [1] - The price of corn starch (CS2509) is 2642, with a basis of 108 and a historical quantile of 52.30% [1] - The price of live pigs (LH2511) is 14140, with a basis of - 290 and a historical quantile of 35.80% [1] - The price of eggs (JD2509) is 3271, with a basis of - 181 and a historical quantile of 18.90% [1] - The price of cotton (CF509) is 13680, with a basis of 1367 and a historical quantile of 89.90% [1] - The price of sugar (SR601) is 5573, with a basis of 437 and a historical quantile of 79.10% [1] - The price of apples (AP510) is 8127, with a basis of 153 and a historical quantile of 31.50% [1] - The price of red dates (CJ601) is 11685, with a basis of - 2185 and a historical quantile of 8.20% [1] Group 3: Energy and Chemicals - The price of p - xylene (PX509) is 6778, with a basis of 56.40% and a historical quantile of 1.58% [1] - The price of PTA (TA509) is 4700, with a basis of - 6 and a historical quantile of 49.50% [1] - The price of ethylene glycol (EG2509) is 4490, with a basis of 76 and a historical quantile of 86.30% [1] - The price of polyester staple fiber (PF510) is 6408, with a basis of 82 and a historical quantile of 65.50% [1] - The price of styrene (EB2509) is 7250, with a basis of 55 and a historical quantile of 38.40% [1] - The price of methanol (MA509) is 2382, with a basis of - 7 and a historical quantile of 30.20% [1] - The price of urea (UR509) is 1722, with a basis of 8 and a historical quantile of 13.50% [1] - The price of LLDPE (L2509) is 7285, with a basis of - 29 and a historical quantile of 13.30% [1] - The price of PP (PP2509) is 7095, with a basis of 25 and a historical quantile of 29.20% [1] - The price of PVC (V2509) is 4890, with a basis of - 120 and a historical quantile of 45.90% [1] - The price of caustic soda (SH209) is 2492, with a historical quantile of 48.60% [1] - The price of LPG (PG2509) is 4298, with a basis of 499 and a historical quantile of 67.00% [1] - The price of asphalt (BU2510) is 3481, with a basis of 199 and a historical quantile of 81.90% [1] - The price of butadiene rubber (BR2509) is 11500, with a basis of - 285 and a historical quantile of 7.70% [1] - The price of glass (FG509) is 1088, with a basis of 20 and a historical quantile of 69.74% [1] - The price of soda ash (SA601) is 1241, with a basis of - 104 and a historical quantile of 4.41% [1] - The price of natural rubber (RU2601) is 15755, with a basis of - 1055 and a historical quantile of 25.62% [1] Group 4: Stock Index Futures and Bond Futures - The price of IF2509 is 4104.8, with a basis of - 17.7 and a historical quantile of 25.00% [1] - The price of IH2509 is 2789.4, with a basis of - 0.5 and a historical quantile of 55.20% [1] - The price of IC2509 is 6391.8, with a basis of - 93 and a historical quantile of 3.80% [1] - The price of IM2509 is 6943.9, with a basis of - 92.7 and a historical quantile of 15.60% [1] - The price of 2 - year bond futures (TS2509) is 100.29, with a basis of 0.03 and a historical quantile of 35.60% [1] - The price of 5 - year bond futures (TF2509) is 100.70, with a basis of 0.03 and a historical quantile of 31.80% [1] - The price of 10 - year bond futures (T2509) is 100.84, with a basis of 0.03 and a historical quantile of 18.90% [1] - The price of 30 - year bond futures (TL2509) is 118.51, with a basis of 0.25 and a historical quantile of 33.60% [1]

Group 1: Stock Index Futures Spread Daily Report Core Viewpoints - The report presents the latest values, changes from the previous day, 1 - year historical percentiles, and all - time percentiles of various stock index futures spreads and cross - variety ratios on July 22, 2025 [1]. Summary by Category - **Futures - Spot Spreads**: For example, the F futures - spot spread is - 20.81, down 4.06 from the previous day, with a 1 - year percentile of 30.70% and an all - time percentile of 21.70% [1]. - **Inter - delivery Spreads**: Such as the F inter - delivery spread, where the season - month minus the current - month is - 41.00, down 32.20, with a 1 - year percentile of 20.00% and an all - time percentile of 26.40% [1]. - **Cross - Variety Ratios**: For instance, the IC/IF ratio is 1.4898, up 0.0051, with a 1 - year percentile of 62.20% and an all - time percentile of 60.20% [1]. Group 2: Treasury Bond Futures Spread Daily Report Core Viewpoints - The report provides data on IRR, basis, inter - delivery spreads, and cross - variety spreads of treasury bond futures on July 22, 2025, including their changes and historical percentiles [2]. Summary by Category - **IRR**: The 15 - year IRR is 1.6099, down 0.0053 from the previous day, with a historical percentile of 24.90% [2]. - **Basis**: For example, the T basis is 1.5727, down 0.0409, with a historical percentile of 53.80% [2]. - **Inter - delivery Spreads**: Like the TS inter - delivery spread, the current - season minus the alternate - season is - 0.0080, with a historical percentile of 11.60% [2]. - **Cross - Variety Spreads**: Such as the TS - TF spread, which is - 3.5350 on July 22, 2025, up 0.0210, with a historical percentile of 8.10% [2]. Group 3: Precious Metals Futures - Spot Daily Report Core Viewpoints - The report shows the domestic and foreign futures closing prices, spot prices, basis, ratios, interest rates, exchange rates, inventory, and holdings of precious metals on July 22, 2025, along with their changes [4]. Summary by Category - **Futures Closing Prices**: The AU2510 contract closed at 781.70 yuan/gram on July 21, up 4.68 (0.60%) from July 18 [4]. - **Spot Prices**: The London gold price was 3396.67 dollars/ounce on July 21, up 47.01 (1.40%) from July 18 [4]. - **Basis**: The gold TD - Shanghai gold主力 basis is - 4.70, down 1.05, with a 1 - year percentile of 5.60% [4]. - **Ratios**: The COMEX gold/silver ratio is 86.91, down 0.42 (- 0.48%) [4]. - **Interest Rates and Exchange Rates**: The 10 - year US Treasury yield is 4.38%, down 0.06 (- 1.4%) [4]. - **Inventory and Holdings**: The SPRD gold ETF holding is 947 tons, up 3.44 (0.36%) [4]. Group 4: Container Shipping Industry Futures - Spot Daily Report Core Viewpoints - The report offers information on Shanghai - Europe future 6 - week freight rates, container shipping indices, futures prices, basis, and fundamental data on July 22, 2025 [7]. Summary by Category - **Freight Rates**: The CMA CGM's Shanghai - Europe future 6 - week freight rate is 4226 dollars/FEU on July 21, up 124 (3.78%) from July 20 [7]. - **Indices**: The SCFIS (European route) settlement price index is 2400.50 points on July 21, down 21.4 (- 0.89%) from July 14 [7]. - **Futures Prices and Basis**: The EC2602 contract closed at 1486.4 on July 21, down 8.7 (- 0.58%) from July 18, and the basis of the main contract is 956.5, down 22.1 (- 2.26%) [7]. - **Fundamental Data**: The global container shipping capacity supply is 3271.67 on July 22, unchanged from July 21 [7]. Group 5: Trading Calendar Core Viewpoints - The report lists overseas and domestic data and information release schedules on July 22, 2025, including various economic indicators and events [9]. Summary by Category - **Overseas Data**: Such as New Zealand's log exports [9]. - **Domestic Data**: For example, the inventory of manganese ore by variety and the throughput of manganese ore in Qinzhou Port for manganese - silicon [9].

Report Summary 1. Investment Ratings The report does not provide an overall industry investment rating. 2. Core Views - **Financial Futures and Options**: The intraday view of stock index futures is a volatile rebound, and the medium - term view is bullish. For treasury bond futures, both the intraday and medium - term views are bullish [1][2]. - **Commodity Futures and Options**: For aluminum, it is expected to trade at a high level both intraday and in the medium - term. For steel products like rebar and hot - rolled coil, the intraday price is expected to be volatile and strong, and the price is expected to be strong from July to August [4][5]. 3. Summary by Category Financial Futures and Options - **Stock Index Futures (IF, IH, IC, IM)**: - **Reference Strategy**: Hold long positions in IM2509 [1]. - **Core Logic**: The marginal slowdown of fundamental repair strengthens policy expectations. The government's strengthened long - cycle assessment of insurance funds is beneficial for the entry of incremental funds. Overseas, the phased settlement of tariff uncertainties has a limited impact on the equity market [1]. - **Treasury Bond Futures (TS, TF, T, TL)**: - **Reference Strategy**: Hold long positions in T2509 or TL2509 [3]. - **Core Logic**: During the tax period, the central bank's injection of medium - term liquidity supports the long - end bond market. The weak domestic fundamentals and low inflation strengthen the expectation of monetary easing. After the release of multiple negative news, the bond market maintains a rebound momentum [3]. Commodity Futures and Options - **Metal and New Energy Materials (Aluminum)**: - **Reference Strategy**: Sell AL2508 - P - 19300 [4]. - **Core Logic**: Due to supply - side reforms, the increase in aluminum production capacity is limited. The current social inventory is at a five - year low, and the good performance of the automotive market is beneficial for aluminum prices [4]. - **Black and Building Materials (Rebar, Hot - Rolled Coil)**: - **Reference Strategy**: Continue to hold long positions in in - the - money call options RB2510 - C - 3000, short positions in out - of - the - money put options RB2510 - P - 2900, and short - term short positions in out - of - the - money call options RB2510 - C - 3300 [5]. - **Core Logic**: The supply pressure of steel raw materials is expected to ease, which may support the prices of furnace materials and steel production costs. The low inventory of finished steel products and the emergence of multiple positive factors are expected to boost speculative demand [5].

Group 1: Financial Futures and Options - Stock Index Futures - Investment Rating: Intraday - Oscillating with an upward bias; Medium - term - Bullish [1] - Core View: Overseas risks are decreasing, Sino - US consultations are progressing positively, domestic policies are boosting the equity market, and the science and technology sector is expected to continue its upward trend [1] - Strategy: Hold short MO2507 - P - 5800 out - of - the - money put options and IM2507 long positions [1] Group 2: Financial Futures and Options - Treasury Bond Futures - Investment Rating: Intraday - Oscillating and rebounding; Medium - term - Bullish [2] - Core View: The domestic fundamental situation is weak, policy expectations are strengthening, and the money market is conducive to the bond market [3] - Strategy: Hold T2509 or TL2509 long positions [2] Group 3: Commodity Futures and Options - Black and Building Materials Sector - Investment Rating: Intraday - Short - term switching between long and short, downward driving force weakening; Medium - term - Stopping decline and stabilizing [4] - Core View: Supply pressure of steel raw materials will ease, and speculative demand for steel will heat up in the short term [4][5] - Strategy: Buy RB2510 at - the - money call options and short RB2510 straddle options in the range of 2900 - 3200 [4]