投资咨询业务资格：证监许可【2011】1778 号 运筹帷幄 决胜千里 www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙楼1-5层 宝城期货品种套利数据日报（2025 年 8 月 26 日） 一、动力煤 | 商品 | | 动力煤 （元/吨） | | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/08/25 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/22 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/21 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/20 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/19 | -99.4 | 0.0 | 0.0 | 0.0 | 运筹帷幄 决胜千里 二、能源化工 www.bcqhgs.com 2 杭州市求是路8号公元大厦东南裙楼1-5层 2025/08/25 2025/08/22 2025/08/21 2025/08/20 2025/ ...

地址：北京市朝阳区朝阳门外大街甲 6 号万通中心 D 座 20 层（100020） 总机：010-8535 6666 本公司具备期货交易咨询业务资格，请务必阅读免责声明。 分析师：王静，执业资格证号 F0235424/Z0000771。 苏妙达，执业资格证号 F03104403/Z0018167。 免责声明： 本报告中的信息均来源于公开资料，我公司对这些信息的准确性和完整性不作任何保证。报告中的内容和 意见仅供参考，并不构成对所述品种买卖的出价或征价。我公司及其雇员对使用本报告及其内容所引发的 任何直接或间接损失概不负责。本报告仅向特定客户传送，版权归冠通期货所有。未经我公司书面许可， 任何机构和个人均不得以任何形式翻版，复制，引用或转载。如引用、转载、刊发，须注明出处为冠通期 货股份有限公司。 冠通每日交易策略 制作日期：2025 年 8 月 25 日 热点品种 期市综述 截止 8 月 25 日收盘，国内期货主力合约大面积飘红，焦煤涨超 6%，燃料油涨超 5%，焦炭涨超 4%，BR 橡胶、集运欧线、铁矿石、玻璃、20 号胶涨超 2%；跌幅方 面，胶合板跌超 1%，碳酸锂、苯乙烯小幅下跌。沪深 300 股指期 ...

重点关注 股指期货全景日报 2025/8/25 | 项目类别 | 数据指标 | 最新 | 环比 数据指标 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | | IF主力合约（2509） | 4474.6 | +100.2↑ IF次主力合约（2512） | 4457.4 | +104.0↑ | | | IH主力合约（2509） | 2992.0 | +62.6↑ IH次主力合约（2512） | 2993.4 | +62.4↑ | | | IC主力合约（2509） | 6909.6 | +122.4↑ IC次主力合约（2512） | 6785.0 | +122.2↑ | | | IM主力合约（2509） | 7412.2 | +92.6↑ IM次主力合约（2512） | 7262.0 | +102.8↑ | | 期货盘面 | IF-IH当月合约价差 | 1482.6 | +30.6↑ IC-IF当月合约价差 | 2435.0 | +18.6↑ | | | IM-IC当月合约价差 | 502.6 | -35.6↓ IC-IH当月合约价差 | 3917.6 | + ...

| 商品 | | 动力煤 | （元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/08/22 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/21 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/20 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/19 | -99.4 | 0.0 | 0.0 | 0.0 | | 2025/08/18 | -100.4 | 0.0 | 0.0 | 0.0 | 运筹帷幄 决胜千里 宝城期货品种套利数据日报（2025 年 8 月 25 日） 一、动力煤 投资咨询业务资格：证监许可【2011】1778 号 二、能源化工 www.bcqhgs.com 2 杭州市求是路8号公元大厦东南裙楼1-5层 www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙楼1-5层 运筹帷幄 决胜千里 2025/08/22 2025/08/21 2025/08/20 2025/08/19 2025 ...

股指期货合约当日计算收益的公式！股指期货有助于降低股市的日均振幅和月线平均振幅，抑制非理性波动， 但是对于许多新手投资者而言，如何准确计算股指期货合约的当日收益却是一个难题。 期货合约以当日结算价作为计算当日盈亏的依据。 当日盈亏=∑[（卖出成交价-当日结算价）×卖出量×合约乘数]+∑[（当日结算价-买入成交价）×买入量×合约乘 数]+（上一交易日结算价-当日结算价）×（上一交易日卖出持仓量-上一交易日买入持仓量）×合约乘数 当日盈亏在当日结算时进行划转，盈利划入结算准备金，亏损从结算准备金中划出。 举例说明。某投资者在上一交易日持有某股指期货合约10手多头持仓，上一交易日的结算价为1500点。当日该 投资者以1505点的成交价买入该合约8手多头持仓，又以1510点的成交价卖出平仓5手，当日结算价为1515点， 则当日盈亏具体计算如下： 当日盈亏=[（1510-1515）×5]+[（1515-1505）×8]+（1500-1515）×（0-10）＝205点 如果该合约的合约乘数为300元/点，则该投资者的当日盈亏为205点×300元/点＝61500元。 除了基本的计算，还需要考虑交易成本，包括手续费等。 手续 ...

金融期货日报 股指 ◆ 核心观点： 周三早盘 A 股震荡回落，午后人工智能板块带动反弹，无视隔夜美股及亚太 股指下跌，股指期货大涨呈逼空态势，与碳酸锂跌停形成反差。资金面宽松 是主因：央行宽松政策下，资金为求回报流入股期市场；居民财富管理意识 提升、房地产吸引力下降，部分资金转向金融领域，充实股市资金池。市场普 遍看涨形成正向反馈—投资者买入推升价格，价格上涨又吸引更多资金入场， 放大涨幅，这种情绪与信心转变成为股指期货 IM、IC 逼空行情的重要心理基 础。 ◆ 策略建议： 逢低做多 国债 保持观望 研究咨询部 2025-08-21 公司资质 长江期货股份有限公司期货交易咨 询业务资格：鄂证监期货字{2014}1 号 金融期货团队 研究员： 彭博 从业编号：F3080600 投资咨询编号：Z0021839 研究员： 张志恒 ◆ 核心观点： 以前期高点作为参考，如果后续收益率调整高度不能突破前高（以 30 年国债 活跃券 2500002 前高 2.06%为例），那么权益市场的强势表现对债市冲击最 猛烈的时刻很可能已经过去；同时债市还迎来了税期过后资金面重回宽松以 及基金赎回压力经历前期释放而有所缓解的边际利好 ...

Report Overview - This is the Baocheng Futures Variety Arbitrage Data Daily Report for August 21, 2025, covering multiple commodities including thermal coal, energy chemicals, black metals, non-ferrous metals, agricultural products, and stock index futures [1] Industry Investment Rating - Not provided in the report Core View - Not provided in the report Summary by Commodity Category Thermal Coal - The report presents the basis and spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of thermal coal from August 14 to 20, 2025. The basis values are -106.4, -103.4, -100.4, -99.4, -97.4 for respective dates, while all spreads are 0.0 [2] Energy and Chemicals Energy Commodities - Data on basis, price ratios, and related indicators of energy commodities such as fuel oil, crude oil, and asphalt from August 14 to 20, 2025 are presented. For example, the basis of INE crude oil on August 20 was 136.18 yuan/ton [7] Chemical Commodities - The basis, spreads, and cross - commodity spreads of chemical commodities (rubber, methanol, PTA, LLDPE, V, PP, etc.) are provided. For instance, the basis of rubber on August 20 was -1075 yuan/ton [9][11] Black Metals - The report shows the cross - period spreads (5 - 1 month, 9(10) - 1 month, 9(10) - 5 month) and cross - commodity spreads (such as screw/ore, screw/coke) of black metals including rebar, iron ore, coke, and coking coal. The basis data from August 14 to 20, 2025 are also presented [20][21] Non - Ferrous Metals Domestic Market - The domestic basis data of non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) from August 14 to 20, 2025 are given. For example, the basis of copper on August 20 was 30 yuan/ton [28] London Market - Data on LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit/loss of non - ferrous metals in the London market on August 20, 2025 are provided [35] Agricultural Products - The basis, cross - period spreads, and cross - commodity spreads of agricultural products (soybean No.1, soybean No.2, soybean meal, soybean oil, etc.) are presented. For example, the basis of soybean No.1 on August 20 was 4284.54 yuan/ton [39] Stock Index Futures - The basis and cross - period spreads of stock index futures (CSI 300, SSE 50, CSI 500, CSI 1000) are provided. For example, the basis of CSI 300 on August 20 was 1.40 [51][53]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report The report provides trend judgments and trading strategies for various futures products based on fundamental and quantitative indicators. It analyzes the market conditions of different sectors, including macro - finance, black commodities, non - ferrous metals, agriculture, and energy - chemical industries, and offers corresponding investment suggestions. Summary by Relevant Catalogs 1. Macro Information - China's new LPR remains unchanged for three consecutive months, with the 1 - year at 3.0% and the 5 - year and above at 3.5% [10] - The Fed's July meeting minutes show that almost all policymakers support not cutting interest rates, with only two opposing. There are differences among officials on inflation, employment risks, and the impact of tariffs on inflation [10] - Multiple rural banks in Zhejiang, Guizhou, Jilin, etc., have lowered deposit rates, while many banks have launched large - value certificates of deposit with an annual interest rate of over 2% [10] - The US federal budget deficit is expected to reach $22.7 trillion in the next decade, nearly $1 trillion higher than the CBO's January forecast [11] 2. Macro Finance 2.1 Stock Index Futures - The strategy is to consider long - term buying on dips. The A - share market rebounded strongly on Wednesday, with the Shanghai Composite Index reaching a ten - year high. The semiconductor industry chain was strong, and sectors such as GPU, servers, and liquor led the rise [13] 2.2 Treasury Bond Futures - The curve steepening strategy can still be held in the medium - term cycle. The money market initially tightened and then eased. The stock - bond seesaw effect was obvious, and the long - end yield was strongly suppressed by the asset comparison logic [14] 3. Black Commodities 3.1 Spiral Steel and Iron Ore - Policy tone is milder. Seasonal demand is weak, but the medium - term supply - demand contradiction is not prominent. Steel mill profits are stable, and prices are expected to fluctuate. The futures price of rebar is affected by the rumored large - scale warehouse receipts [15][16][17] 3.2 Coking Coal and Coke - Prices may enter a high - level oscillation stage. Supply may be tight in the short term, but there is also downward pressure from factors such as the possible decline in steel mill iron - water production and sufficient imported Mongolian coal supply [17][18] 3.3 Ferroalloys - After the sharp decline in the double - silicon futures price, the short - term fundamentals have no rebound logic. It is recommended to hold previous short positions and consider taking profits on dips if there is a sharp decline [19] 4. Non - ferrous Metals and New Materials 4.1 Aluminum and Alumina - Aluminum prices are expected to rebound, and it is advisable to buy on dips because of downstream replenishment, the approaching peak season, and the expected Fed interest - rate cut. Alumina prices are expected to decline, and it is recommended to sell on rallies due to supply surplus [21][22] 4.2 Zinc - Social zinc inventories are increasing, and the supply is expected to increase. Zinc prices will oscillate downward as the macro - impact fades and the overseas inventory decline slows down [23] 4.3 Lithium Carbonate - Prices are expected to rise first and then fall. There is a short - term supply gap, but the fourth - quarter fundamentals will loosen, and the global lithium resource balance sheet is in surplus [24] 4.4 Industrial Silicon and Polysilicon - Industrial silicon is expected to oscillate as the polysilicon复产 supports de - stocking. Polysilicon is mainly affected by policy progress, with wide - range oscillations [25][27] 5. Agricultural Products 5.1 Cotton - In the long - term, it is advisable to sell on rallies due to weak downstream demand and future production increase pressure. In the short - term, it is recommended to wait and see. Pay attention to macro and supply - demand changes [29][30] 5.2 Sugar - Domestic sugar inventory is low, but the expected increase in processed sugar restricts prices. Pay attention to the short - covering opportunity during the Mid - Autumn and National Day stocking period [32] 5.3 Eggs - The supply pressure is high, and the futures contract is at a premium. It is recommended to reduce short positions gradually and be cautious about bottom - fishing [33] 5.4 Apples - The strategy is to conduct light - position positive spreads due to rainfall in the western production area [34] 5.5 Red Dates - It is recommended to wait and see as the spot market in Hebei is stable and weak, and the futures price oscillates widely [36] 5.6 Pigs - The short - term spot price is expected to oscillate at the bottom. It is recommended to be cautiously short on near - month contracts and pay attention to the 11 - 1 reverse spread strategy [37][38] 6. Energy - Chemical Industry 6.1 Crude Oil - EIA inventory reduction is short - term positive. In the long - term, the market may turn to a supply - surplus situation. It is advisable to try shorting on rallies [39] 6.2 Fuel Oil - The price follows the trend of crude oil. The market is affected by factors such as the peak power - generation season in the Middle East, weak shipping, and inventory accumulation [39] 6.3 Plastics - Polyolefins have high supply pressure and are expected to oscillate weakly. However, the expectation of eliminating backward capacity in the petrochemical industry may drive up prices. It is recommended to close previous short positions and wait and see [39][40] 6.4 Rubber - There is no obvious short - term contradiction in the fundamentals. It is advisable to short on dips with a stop - loss and be cautious about chasing high prices [42] 6.5 Methanol - The port inventory is increasing, and the price is under pressure. It is recommended to close short positions and wait and see due to the impact of the expectation of eliminating backward capacity in the petrochemical industry [43] 6.6 Caustic Soda - The spot price is stable, and the futures price has risen significantly. It is advisable for long - positions to take profits at an appropriate time [44] 6.7 Asphalt - The price follows the trend of crude oil. The asphalt market is in the off - season, with slow inventory reduction [45] 6.8 Polyester Industry Chain - It is advisable to try going long on dips. The PX supply - demand pattern is in tight balance, the PTA supply is tight, and the terminal demand shows signs of recovery [46][47] 6.9 Liquefied Petroleum Gas (LPG) - The price is expected to decline as the Russia - Ukraine issue eases. The supply is abundant, and the demand is weak in the medium - term [48] 6.10 Pulp - The coniferous pulp market is weak. It is recommended to observe whether the port de - stocking continues and whether the spot trading improves [49] 6.11 Logs - The fundamentals are oscillating. It is recommended to observe and consider hedging at high prices according to the spot situation [50] 6.12 Urea - The domestic demand is weak, and the market follows a wide - range oscillation pattern. Pay attention to the changes in China's urea export volume [50]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - For copper, the Fed's September FOMC meeting is approaching, with high market uncertainty. The fundamentals remain largely unchanged, but the upcoming peak season may boost demand, so copper prices are expected to fluctuate at high levels [9]. - For lithium carbonate, the market is volatile. Although the resumption of Yichun Yinli's production eases supply concerns, the suspension of CATL's production continues. With the anti - involution measures in progress, lithium carbonate prices are likely to oscillate at high levels [11]. - For crude oil, supply - demand conditions are weakening, and prices are expected to decline under pressure. It is recommended to short on rallies [12][14]. - For asphalt, considering factors such as开工 rate, production, demand, and cost, it is advisable to view asphalt as having a weak and volatile trend [15]. - For PP, it is expected to oscillate in the near term. The 09 - 01 reverse spread is recommended to take profit and exit as the 09 contract approaches the delivery month [17]. - For plastic, it is expected to oscillate recently, influenced by factors like开工 rate, demand, and cost [18]. - For PVC, due to factors such as supply, demand, and inventory, it is expected to oscillate downward [20]. - For coking coal, the market sentiment is fluctuating, and the futures price is temporarily oscillating with a downward bias [21]. - For urea, the market is affected by factors such as supply, demand, and inventory. Attention should be paid to the Indian tender in September [23]. Summary by Related Catalogs Futures Market Overview - As of August 20th, domestic commodity futures contracts showed mixed performance. EG, caustic soda, and methanol rose over 1%, while lithium carbonate hit the daily limit down, and soda ash, glass, etc. declined significantly. Stock index futures generally rose, and treasury bond futures had different trends [6]. Capital Flows - As of 15:22 on August 20th, funds flowed into CSI 1000 2509, SSE 300 2509, and CSI 500 2509, while funds flowed out of Shanghai silver 2510, lithium carbonate 2511, and ten - year treasury bond 2509 [7]. Specific Commodity Analyses Copper - Uncertainty surrounds the Fed's FOMC meeting. Supply may face challenges in the later third - quarter, and demand is expected to improve in the peak season. Copper prices are likely to oscillate at high levels [9]. Lithium Carbonate - After the resumption of Yichun Yinli's production, the market sentiment fluctuated, and the price hit the daily limit down. Supply may decline in August - September, and demand has some support [11]. Crude Oil - Seasonal factors, OPEC+ production decisions, and geopolitical events affect supply - demand. Prices are expected to decline under pressure [12][14]. Asphalt - Supply is increasing, but demand is restricted by factors such as weather and funds. Cost is weakening, and the price is expected to be weakly volatile [15]. PP - Downstream开工 rate is low, supply may increase, and cost is decreasing. It is expected to oscillate, and the 09 - 01 reverse spread is recommended to take profit [16][17]. Plastic -开工 rate is at a medium - low level, demand is weak, and cost is decreasing. It is expected to oscillate [18]. PVC - Supply is increasing, demand is weak, and inventory is high. It is expected to oscillate downward [20]. Coking Coal - Supply is increasing, downstream demand is complex, and market sentiment is fluctuating. The price is temporarily oscillating with a downward bias [21]. Urea - Supply has a narrow - range fluctuation, demand is insufficient, and inventory is high. Attention should be paid to the Indian tender [23].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on August 20, 2025, including basis, inter - period spreads, and inter - commodity spreads for power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1][5][21][27][39][50] 3. Summary by Category Power Coal - **Basis Data**: From August 13 to August 19, 2025, the basis of power coal was - 108.4, - 106.4, - 103.4, - 100.4, - 99.4 yuan/ton respectively. The spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month were all 0.0 yuan/ton [2] Energy Chemicals Energy Commodities - **Basis and Ratio Data**: For fuel oil, INE crude oil, and the ratio of crude oil to asphalt, data such as basis and ratio from August 13 to August 19, 2025 are provided. For example, the basis of INE crude oil on August 19 was - 1.87 yuan/ton [7] Chemical Commodities - **Basis Data**: For rubber, methanol, PTA, LLDPE, PVC, and PP, basis data from August 13 to August 19, 2025 are presented. For instance, the basis of rubber on August 19 was - 1025 yuan/ton [9] - **Inter - period Spreads**: The inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - 1 month spread of rubber was 80 yuan/ton [11] - **Inter - commodity Spreads**: The inter - commodity spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from August 13 to August 19, 2025 are provided. For example, the LLDPE - PVC spread on August 19 was 2301 yuan/ton [11] Black Metals - **Inter - period Spreads**: For rebar, iron ore, coke, and coking coal, the 5 - 1 month, 9(10) - 1 month, and 9(10) - 5 month inter - period spreads are presented. For example, the 5 - 1 month spread of rebar was 49.0 yuan/ton [20] - **Inter - commodity Spreads**: The ratios of rebar/iron ore, rebar/coke, coke/coking coal, and the spread of rebar - hot rolled coil from August 13 to August 19, 2025 are given. For example, the rebar/iron ore ratio on August 19 was 4.08 [20] - **Basis Data**: The basis data of rebar, iron ore, coke, and coking coal from August 13 to August 19, 2025 are provided. For example, the basis of rebar on August 19 was 144.0 yuan/ton [21] Non - ferrous Metals Domestic Market - **Basis Data**: For copper, aluminum, zinc, lead, nickel, and tin, the basis data from August 13 to August 19, 2025 are presented. For example, the basis of copper on August 19 was 170 yuan/ton [28] London Market - **LME Data**: Data such as LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss for copper, aluminum, zinc, lead, nickel, and tin on August 19, 2025 are provided. For example, the LME spread of copper was (96.85) [35] Agricultural Products - **Basis Data**: For soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn, the basis data from August 13 to August 19, 2025 are presented. For example, the basis of soybeans No.1 on August 19 was - 6 yuan/ton [39] - **Inter - period Spreads**: The inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are given. For example, the 5 - 1 month spread of soybeans No.1 was 42 yuan/ton [39] - **Inter - commodity Spreads**: The ratios of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, and the spreads of soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, and corn - corn starch from August 13 to August 19, 2025 are provided. For example, the ratio of soybeans No.1/corn on August 19 was 1.86 [39] Stock Index Futures - **Basis Data**: For CSI 300, SSE 50, CSI 500, and CSI 1000, the basis data from August 13 to August 19, 2025 are presented. For example, the basis of CSI 300 on August 19 was 7.17 [51] - **Inter - period Spreads**: The inter - period spreads (next month - current month, next quarter - current quarter) of CSI 300, SSE 50, CSI 500, and CSI 1000 are provided. For example, the next month - current month spread of CSI 300 was - 42.6 [53]