外部不确定性犹存， 人民币保持韧性 华泰期货研究院 2025年08月22日 蔡劭立 F3063489 Z0014617 联系人： 朱思谋 F03142856 — 量价和政策信号— 2 【量价观察】美元兑人民币期权隐含波动率下行 ◆3个月的美元兑人民币期权隐含波动率曲线显示出人民币的升值趋势，Put端波动率高于Call端。 ◆ 美元兑人民币期权波动率持续回落，市场对美元兑人民币未来波动性的预期减弱。 美元兑人民币期权隐含波动率 Delta为5的美元兑人民币3个月期权隐含波动率 数据来源： 3 Bloomberg Wind 华泰期货研究院 3 4 5 6 7 8 3M 2025/08/20 3M 2025/06/27 3M 2025/03/28 0 2 4 6 8 10 12 2023-04 2023-10 2024-04 2024-10 2025-04 20250819（%） 20250812（%） 20250722（%） 0 0.5 1 1.5 2 2.5 3 3.5 4 一月 三月 六月 一年 本周新交所美元兑人民币期货升贴水(-) 本周银行远期升贴水(-) 本周美中利差 0.0 0.5 1.0 1.5 2 ...

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Report's Core Views - The exchange rate of the US dollar against the RMB is expected to fluctuate within the range of 7.15 - 7.20 in the next week. Investors are advised to use options to hedge tail risks in the current low - volatility environment [2]. - The release of the child - rearing subsidy policy is expected to stimulate related sectors and drive the stock index up. The outcome of the China - US talks and the Politburo meeting this week will affect the stock index trend [3]. - For treasury bonds, although prices have recovered, there are still risks. The market is sentiment - driven, and attention should be paid to key events such as the FOMC, China - US talks, and the Politburo meeting this week [4][5]. - In the short term, the commodity market is volatile. It is recommended to wait for the sentiment to stabilize before trading. In the long term, focus on the implementation of anti - involution policies and changes in the fundamentals of some commodities [6]. - The price of the EC in the shipping index is expected to be slightly bearish in the short term, but there is support at the bottom. Pay attention to the actions of shipping companies, spot quotes, and cease - fire negotiations [7][8][9]. - For precious metals, the medium - to - long - term trend may be bullish, while the short - term volatility of London gold may increase. Maintain the idea of buying on dips [10][11][12]. - Copper prices may decline slightly in the short term as the anti - involution fever subsides. Attention should be paid to macro events this week [13]. - Aluminum is expected to fluctuate at a high level; alumina may experience high - volatility trading, and investors can consider inter - month arbitrage; casting aluminum alloy is expected to maintain a high - level shock, and arbitrage operations can be considered when the price difference changes [14]. - Zinc prices are expected to be weak in the short term. It is appropriate to short on rallies [16]. - Nickel and stainless steel are expected to fluctuate widely and be bearish in the long term. Focus on the callback of nickel - iron and the recovery of nickel salt demand [17]. - Tin prices may decline slightly as the anti - involution fever fades. Pay attention to macro events in late July [18]. - For lithium carbonate, pay attention to the situation of mines and important meetings this week [19]. - Industrial silicon and polysilicon are expected to have support at the bottom. Pay attention to the July meetings [20][21]. - Lead prices are expected to fluctuate in the short term. Wait for the peak season and changes in macro and downstream purchasing sentiment [22]. - For steel products, the upward trend may not end. Pay attention to the actual demand for steel, new tariff policies, and the implementation of anti - involution policies [23]. - Iron ore prices are mainly affected by non - fundamental factors. The short - term fundamentals are expected to remain stable, but the volatility may increase near the meeting [24]. - For coking coal and coke, the market may return to rationality after the sharp decline. Further upward movement requires super - expected macro policies. Pay attention to the Politburo meeting and China - US trade negotiations [25][26][27]. - For ferroalloys, the short - term risk of chasing high is high. Pay attention to the implementation of policy expectations and control risks [27][28]. - Crude oil prices are expected to continue the sideways - shock pattern. Geopolitical risks need to be focused on [29][30]. - For PX - PTA, it is recommended to expand the TA processing fee on dips [30][31]. - For MEG - bottle chips, it is recommended to wait and see before the implementation of anti - involution policies. The bottle chip price fluctuates with the cost [32][33]. - For methanol, it is recommended to wait and see as the market is macro - driven [34]. - For PP, the supply - demand pressure is not fundamentally alleviated, and the upward space is limited. Pay attention to downstream demand and macro policies [35][36]. - For PE, the short - term pressure is large, but the downward space is limited. The demand is expected to pick up in the future [37][38][39]. - For PVC, it is recommended to wait and see in the short term as the anti - involution sentiment is unstable [39][40]. - For pure benzene, it is recommended to wait and see in the short term as the market is affected by macro emotions [40][41]. - For styrene, it is recommended to wait and see after the important macro meetings this week due to the expected increase in supply and decrease in demand [43]. - For fuel oil, the short - term drive is downward, and the market remains weak [44]. - For low - sulfur fuel oil, it is recommended to wait and see as the supply is low and the demand is slightly improved [44]. - For asphalt, the short - term price is in a shock pattern, and the peak season is expected in the long term. Pay attention to the implementation of anti - involution policies [44][45]. - For urea, the 09 contract is expected to fluctuate weakly, with support at the bottom and pressure at the top [45][46]. - For soda ash, the supply - demand pattern is strong supply and weak demand. Pay attention to cost fluctuations and policy implementation [46]. - For glass, the market will continue to game between reality and expectations. Pay attention to policy implementation and the approach of the delivery logic [47]. - For logs, the market is expected to have low - volatility shocks in the short term. Pay attention to risk control [47]. - For pulp, pay attention to the adjustment risk. It is recommended to be cautious when chasing high after the breakthrough [48]. - For caustic soda, pay attention to the delivery logic of the 09 contract and the pressure on the supply side in the long term [48][49]. - For live pigs, with high supplies, it is recommended to short on rallies and appropriately arrange reverse spreads [50]. - For oilseeds, pay attention to China - US trade negotiations. The supply of imported soybeans is abundant in the short term, and there may be a supply gap after December [51]. 3. Summaries According to Relevant Catalogs Financial Futures RMB Exchange Rate - **Market Review**: The on - shore RMB against the US dollar closed at 7.1729 at 16:30 yesterday, down 50 basis points from the previous trading day, and closed at 7.1787 at night. The central parity rate of the RMB against the US dollar was reported at 7.1467, down 48 basis points [2]. - **Important Information**: Trump said he would never want a weak US dollar, and Powell may be ready to cut interest rates. The European Central Bank is not in a hurry to cut borrowing costs [2]. - **Core Logic**: The independence of the Fed is being challenged. If Powell is removed, it may trigger the depreciation of the US dollar. It is recommended to use options to hedge risks. Without major events, the exchange rate of the US dollar against the RMB will fluctuate between 7.15 - 7.20 [2]. Stock Index - **Market Review**: The stock index fluctuated strongly yesterday. The Shanghai and Shenzhen 300 Index rose 0.21%. The trading volume of the two markets decreased by 450.29 billion yuan [3]. - **Important Information**: China - US economic and trade talks began in Stockholm. The child - rearing subsidy policy will be implemented from January 1, 2025, with a subsidy of 3,600 yuan per child per year [3]. - **Core Logic**: The market has digested last week's positive news. The child - rearing subsidy policy is expected to drive the stock index up. The outcome of the China - US talks and the Politburo meeting this week will affect the stock index [3]. Treasury Bonds - **Market Review**: Treasury bond futures opened higher, then fell and rose again, closing sharply higher. The central bank net injected 32.51 billion yuan. The capital price improved, with DR001 at around 1.45% and GC001 at around 1.35% [4]. - **Important Information**: A national industrial conference proposed to expand domestic demand and promote industrial development [4][5]. - **Core Logic**: The market is sentiment - driven. Although the bond price has recovered, there are still risks. Pay attention to key events this week [4][5]. Commodities Non - ferrous Metals - **Gold and Silver**: The precious metal market was weak on Monday. COMEX gold 2508 fell 0.65% to $3,314 per ounce, and silver 2509 fell 0.09% to $38.33 per ounce. The medium - to - long - term trend may be bullish, while the short - term volatility of London gold may increase. Maintain the idea of buying on dips [10][11][12]. - **Copper**: The Shanghai copper index fell slightly on Monday. The short - term price may decline as the anti - involution fever subsides. Pay attention to macro events this week [13]. - **Aluminum Industry Chain**: Aluminum is expected to fluctuate at a high level; alumina may experience high - volatility trading, and investors can consider inter - month arbitrage; casting aluminum alloy is expected to maintain a high - level shock, and arbitrage operations can be considered when the price difference changes [13][14]. - **Zinc**: The Shanghai zinc main contract fell 1.05% on the previous trading day. The short - term price is expected to be weak, and it is appropriate to short on rallies [16]. - **Nickel and Stainless Steel**: The Shanghai nickel main contract fell 1.5%, and the stainless steel main contract fell 0.73%. The medium - to - long - term trend is bearish. Focus on the callback of nickel - iron and the recovery of nickel salt demand [17]. - **Tin**: The Shanghai tin index fell slightly on Monday. The short - term price may decline as the anti - involution fever fades. Pay attention to macro events in late July [17][18]. - **Lithium Carbonate**: The lithium carbonate futures limit - down on Monday. The spot market of the lithium - battery industry chain is weak. Pay attention to the situation of mines and important meetings this week [19]. - **Industrial Silicon and Polysilicon**: Industrial silicon and polysilicon futures fell sharply on Monday. The "anti - involution" varieties have corrected. There is support at the bottom. Pay attention to the July meetings [20][21]. - **Lead**: The Shanghai lead main contract fell 0.24% on the previous trading day. The short - term price is expected to fluctuate. Wait for the peak season and changes in macro and downstream purchasing sentiment [22]. Black Metals - **Rebar and Hot - Rolled Coil**: The price fell sharply during the day yesterday and stabilized at night. The upward trend may not end. Pay attention to actual demand, tariff policies, and the implementation of anti - involution policies [23]. - **Iron Ore**: The recent price fluctuations are mainly affected by non - fundamental factors. The short - term fundamentals are stable, but the volatility may increase near the meeting [23][24]. - **Coking Coal and Coke**: The prices of coking coal and coke fell sharply. The fourth round of price increases has been implemented. The market may return to rationality, and further upward movement requires super - expected macro policies [25][26][27]. - **Ferroalloys**: The prices of ferroalloys rose due to policy expectations and coal - price support. The short - term risk of chasing high is high. Pay attention to the implementation of policy expectations and control risks [27][28]. Energy and Chemicals - **Crude Oil**: International crude oil futures rebounded slightly overnight. The price increase was driven by the macro - positive sentiment of the US - EU trade agreement and geopolitical risks [29][30]. - **PX - PTA**: PX - PTA has been oscillating strongly recently. The supply of PX may increase in August. PTA may reduce production to support prices. It is recommended to expand the TA processing fee on dips [30][31]. - **MEG - Bottle Chips**: The price of MEG has been strong recently, and the supply has increased. It is recommended to wait and see before the implementation of anti - involution policies. The bottle chip price fluctuates with the cost [32][33]. - **Methanol**: The methanol market is macro - driven, and it is recommended to wait and see [34]. - **PP**: The supply - demand pressure of PP is not fundamentally alleviated, and the upward space is limited. Pay attention to downstream demand and macro policies [35][36]. - **PE**: The short - term pressure of PE is large, but the downward space is limited. The demand is expected to pick up in the future [37][38][39]. - **PVC**: The anti - involution sentiment of PVC is unstable. It is recommended to wait and see in the short term [39][40]. - **Pure Benzene**: The supply and demand of pure benzene have both increased. The short - term market is affected by macro emotions. It is recommended to wait and see [40][41]. - **Styrene**: The supply of styrene is expected to increase and the demand to decrease in August. The short - term market is affected by macro emotions. It is recommended to wait and see after important macro meetings this week [43]. - **Fuel Oil**: The supply of fuel oil has improved, and the demand has rebounded. The short - term drive is downward, and the market remains weak [44]. - **Low - Sulfur Fuel Oil**: The supply of low - sulfur fuel oil is low, and the demand is slightly improved. It is recommended to wait and see [44]. - **Asphalt**: The supply of asphalt has decreased slightly, and the demand is in the off - season. The short - term price is in a shock pattern, and the peak season is expected in the long term. Pay attention to the implementation of anti - involution policies [44][45]. - **Urea**: The price of urea has been weak recently. The 09 contract is expected to fluctuate weakly, with support at the bottom and pressure at the top [45][46]. - **Soda Ash**: The supply of soda ash is in a narrow - range fluctuation, and the demand is weak. The supply - demand pattern is strong supply and weak demand. Pay attention to cost fluctuations and policy implementation [46]. - **Glass**: The supply of glass has slightly increased, and the demand is in a weak balance. The market will continue to game between reality and expectations. Pay attention to policy implementation and the approach of the delivery logic [47]. Agricultural Products - **Live Pigs**: The futures price of live pigs fell 1.81%. The supply is high, and the demand is general. It is recommended to short on rallies and appropriately arrange reverse spreads [50]. - **Oilseeds**: The price of US soybeans is weak, and the domestic soybean meal price has declined. The supply of imported soybeans is abundant in the short term, and there may be a supply gap after December. Pay attention to China - US trade negotiations [51].

Market Observations - The implied volatility of USD/CNY options has been declining, indicating reduced market expectations for future volatility[4] - The current three-month USD/CNY implied volatility is at 0%[6] Policy Insights - The counter-cyclical factor is hovering around 0%, suggesting limited intervention in the currency market[10] - The three-month CNH HIBOR-SHIBOR differential shows a fluctuating trend with no clear direction[14] Macroeconomic Trends - The Federal Reserve is pricing in a 43.5 basis point rate cut by 2025, reflecting a slight decrease in expectations for rate cuts[18] - The U.S. economy is showing signs of marginal decline, with recent economic activity slightly down and concerns over consumer spending and labor market stability[21] Employment Data - The U.S. non-farm payrolls showed a moderate decline in May, with the unemployment rate holding steady at 4.2%[22] - Average hourly earnings increased by 0.4% month-on-month, contributing to inflationary pressures[22] Fiscal Developments - The U.S. Congressional Budget Office estimates a $2.4 trillion increase in deficits from 2025 to 2034 due to new legislation[23] - The proposed legislation includes significant tax reforms and spending cuts, which may impact economic growth and federal revenue[24]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The volatility of the USD/CNY exchange rate will intensify in the short term due to trade policy uncertainties. In the medium term, with the Fed's policy shift and the narrowing of the interest rate spread, the RMB has a chance to stabilize periodically [55]. - The Trump administration's "reciprocal tariffs" policy will push up the price level in the US, increasing the short - term upward pressure on inflation. The US economy will face a more severe "stagflation" risk, and the narrative of recession or stagflation may continue [25]. Summary by Directory Quantity - Price and Policy Signals Quantity - Price Observation - The implied volatility curve of the 3 - month USD/CNY option shows an appreciation trend of the US dollar, with the call - end volatility significantly higher than the put - end, and the volatility rising significantly. The market's expectation of the future volatility of the USD/CNY exchange rate has increased [5]. - The term structure data of the Singapore Exchange's USD/CNY futures and bank forward premiums and discounts, as well as the US - China interest rate spread, are presented, but specific trends are not clearly summarized in the text [8][10][11]. Policy Observation - The policy counter - cyclical factor has been activated, but the overall willingness to stabilize the exchange rate is lower than in the previous round. The policy counter - cyclical factor shows a continuous upward trend, and the US - China interest rate spread shows an upward trend. The three - month CNH HIBOR - SHIBOR spread has narrowed [16]. Fundamentals and Views Macro - The Fed is expected to cut interest rates by 95bp by 2025, and the pricing of US interest rate cuts continues to rise. Short - term interest rates are rising, the TGA account balance was 301.6 billion on April 2, and the Fed's reverse repurchase balance was 233.4 billion US dollars [20]. - The US economy has a rising downside risk. Employment data is mixed, with the February non - farm payrolls falling short of expectations and the unemployment rate rising; inflation is rebounding; the economy maintains resilience, with retail sales and fiscal spending falling, the manufacturing industry falling in March, and the service industry rebounding [22]. Events - On April 2, Trump's "reciprocal tariffs" policy was implemented, including a 10% "benchmark tariff" on all countries and personalized higher "reciprocal tariffs" on countries with large trade deficits with the US. The tariff scale considers value - added tax, trade deficits, "exchange - rate manipulation, and non - tariff barriers". There are exempted goods and countries, and the policy contains a "modification right" [24][25]. - Many countries have taken counter - measures against the US tariffs, including condemnation, negotiation, and counter - tariffs [26]. - The "reciprocal tariffs" policy is beyond market expectations. From the perspective of tariff rate comparison, most of the top 15 trading partners of the US in 2024 had higher most - favored - nation tariff rates than the US in 2022. From the perspective of trade surplus, countries/regions such as China, the EU, Mexico, and Vietnam have large trade surpluses with the US [27]. - The US may further increase tariffs on China. A review of the previous round of Trump's tariff increases shows that the RMB and A - shares were under pressure, and the RMB depreciated by about 8% at most during the three - round tariff increases. Among commodities, iron ore and non - ferrous metals were most directly affected [33]. 3 - Month Data - The US non - farm payrolls in March exceeded expectations, with consumption - related industries (retail), trade, and the government contributing to the increase. The hourly wage in March increased by 0.25% month - on - month and 3.6% year - on - year, which may intensify long - term inflation. The impact of the March non - farm payrolls was small, and the market was dominated by tariff concerns in the short term [37]. - In March, the US "rush to export" ended. The US manufacturing PMI was 49.8 (52.7), the service industry PMI was 54.3 (51), and the composite PMI was 53.5 (51.6). The service industry offset the decline in manufacturing. In Europe, the manufacturing PMI was 48.7 (47.6), the service industry PMI was 50.4 (50.6), and the composite PMI was 50.4 (50.2) [38]. - China's economic structure is differentiated. From January to February, industrial production, infrastructure investment, and manufacturing investment maintained high growth rates, while consumption and real - estate investment improved month - on - month, and the decline in real - estate sales narrowed significantly. Import and export growth rates declined, and the credit structure did not improve significantly. The economic sentiment rebounded in March [41]. - In March, China's PMI improved month - on - month but was weaker than the seasonal average year - on - year. Production increased less than new orders. The "rush to export" continued in March, imports decreased by 2% month - on - month, and finished - product inventories decreased. The industry sentiment was transmitted from upstream to downstream [43]. Overall View - The current situation shows a neutral economic expectation gap between China and the US, a neutral Sino - US interest rate spread, and trade policy uncertainties that are favorable to the US dollar. In the short term, the USD/CNY exchange rate will fluctuate more due to trade policy uncertainties. In the medium term, the RMB may stabilize periodically [55]. Risk Assessment - The range of the basis fluctuation of the futures main contract from April 2022 to the present (nearly 3 years) is between - 1100 and 900 [56].