投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货品种套利数据日报（2025 年 11 月 21 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 | | | 2025/11/20 | 32 . | 6 | 0 . | 0 | 0 | 0 . | 0 . | 0 | | 2025/11/19 | 32 . | 6 | 0 . | 0 | 0 | 0 . | 0 . | 0 | | 2025/11/18 | 32 . | 6 | 0 . | 0 | 0 | 0 . | 0 . | 0 | | 2025/11/17 | 32 . | 6 | 0 . | 0 | 0 | 0 . | 0 . | 0 | | 2025/11/14 | 32 . | 6 | 0 . | 0 | 0 | 0 . | 0 . | 0 | www.bcqhgs.com 1 杭州市求是路8号公元大厦 ...

Core Insights - In October, the national futures market in China experienced a trading volume of 603 million contracts and a trading value of 61.22 trillion yuan, representing a year-on-year decrease of 13.26% in volume but an increase of 4.54% in value [1] - From January to October, the cumulative trading volume reached 7.347 billion contracts and a cumulative trading value of 608.84 trillion yuan, showing year-on-year growth of 14.86% in volume and 21.82% in value [3] Trading Analysis - The decline in October's trading volume is attributed to the National Day and Mid-Autumn Festival holidays, which reduced trading days by five, along with liquidity shocks from capital inflows and outflows [5] - Financial futures and options saw a decrease in both trading volume and value due to the A-share market closure and fewer trading days [5] - The steel and building materials sector also experienced a decline in trading volume and value, influenced by low real estate sentiment and cyclical downturns [5] - Agricultural products, including oilseeds, soft commodities, and feed, contributed significantly to the drop in trading scale in October [5] - The energy and chemical sectors faced a similar decline in trading volume and value, further impacting the overall trading scale [5] - In contrast, the precious metals sector showed positive growth in both trading volume and value, emerging as a standout performer in October [5] Market Outlook - Despite the decline in October, the overall trend for the first ten months indicates significant year-on-year growth in trading volume and value, driven by surges in precious metals and financial futures [6] - The energy and chemical sectors also contributed positively to the trading scale, while the non-ferrous metals sector benefited from various market dynamics [6] - Looking ahead, it is anticipated that November will see a substantial rebound in trading volume compared to October, with projections for 2025 indicating that trading volume and value will exceed 8.8 billion contracts and 73 trillion yuan, respectively, setting new historical records [6]

Group 1: Report Industry Investment Ratings - No industry investment ratings provided in the report Group 2: Core Views of the Report - The market may price in the probability of the Fed restarting rate cuts ahead of the September FOMC meeting. If volatility continues to decline, consider a long straddle options strategy for stock index futures [2]. - In the bond market, sentiment has improved, and Treasury bond futures have strengthened. The 10 - year Treasury bond yield may peak at 1.8% without incremental negative news, but downward movement is limited in the short - term. T2512 is expected to trade between 107.5 - 108.35 [2]. - Gold may enter a high - level consolidation phase, and the long straddle options strategy should be closed with profit. Silver's volatility has declined, and it is trading between 40.5 - 42.5 dollars. Consider selling out - of - the - money put options at high prices [2]. - The main contract of the container shipping index (European line) is in a weak oscillation. Consider a spread arbitrage between the December and October contracts [2]. - Coal supply contraction expectations have resurfaced, and coking coal has driven up steel prices. Iron ore prices are supported by resuming shipments, rising hot metal production, and restocking demand [2]. - In the non - ferrous metals market, copper is expected to trade between 79000 - 81500. Alumina may oscillate widely around 2900 in the short - term. Aluminum and aluminum alloy are expected to trade within certain ranges [2]. - In the energy and chemical market, the short - term crude oil market lacks strong drivers. The urea supply pressure may ease after the maintenance season, but demand restricts the upside. PX and PTA are expected to oscillate in the short - term [2]. - In the agricultural products market, palm oil is supported by falling production. Sugar is expected to be shorted in the short - term, and cotton should be observed on a wait - and - see basis [2]. - In the special and new energy products market, glass and rubber should be observed for the sustainability of spot sales. Industrial silicon is in a strong oscillation, and lithium carbonate is expected to trade between 70,000 - 75,000 [2]. Group 3: Summaries by Related Catalogs Financial - **Stock Index Futures**: The export chain has risen, and A - share major indices are in the green. Consider a long straddle options strategy if volatility declines [2]. - **Treasury Bond Futures**: Bond market sentiment has improved. T2512 is expected to trade between 107.5 - 108.35. Use a range - trading strategy and be cautious about chasing up in the short - term [2]. - **Precious Metals**: Gold may enter high - level consolidation, and the long straddle options strategy should be closed with profit. Silver is trading between 40.5 - 42.5 dollars. Consider selling out - of - the - money put options at high prices [2]. Black - **Steel**: Coal supply contraction expectations have resurfaced, and coking coal has driven up steel prices. Short - term long positions are recommended [2]. - **Iron Ore**: Shipments have resumed, hot metal production has risen, and restocking demand supports prices. Consider long positions in the 2601 contract between 780 - 850 and short hot - rolled coils [2]. - **Coking Coal**: Coal production area减产 expectations have increased, and downstream restocking demand has improved. Consider long positions in the 2601 contract between 1150 - 1300 and short coke [2]. - **Coke**: The second round of price cuts has been implemented, and the third round is difficult. Consider long positions in the 2601 contract between 1650 - 1800 and short coke while long coking coal [2]. Non - Ferrous - **Copper**: The 25bp rate cut was in line with expectations, and the price is expected to trade between 79000 - 81500 [2]. - **Alumina**: Supply - side disturbances in Guinea have increased. It is expected to oscillate widely around 2900 in the short - term [2]. - **Aluminum and Aluminum Alloy**: Aluminum is expected to trade between 20600 - 21000, and aluminum alloy between 20200 - 20600 [2]. - **Zinc**: The price is stronger overseas than in China, and social inventories are increasing. It is expected to trade between 21800 - 22800 [2]. - **Tin**: Supply is tight, and it is in high - level oscillation between 265000 - 285000 [2]. - **Nickel and Stainless Steel**: Nickel is in a weak oscillation between 120000 - 125000, and stainless steel is slightly weakening between 12800 - 13400 [2]. Energy and Chemical - **Crude Oil**: The short - term market lacks strong drivers. Wait and see on a single - side basis. Resistance levels are set for WTI, Brent, and SC. Consider expanding opportunities on the options side after volatility increases [2]. - **Urea**: Supply pressure may ease after the maintenance season, but demand restricts the upside. Consider selling out - of - the - money put options at high prices [2]. - **PX and PTA**: PX is expected to oscillate between 6600 - 6900 in September. PTA is expected to be tight in September but weak in the medium - term, oscillating between 4600 - 4800 [2]. - **Other Chemicals**: Short - fiber, bottle - chip, ethanol, etc. each have their own supply - demand situations and corresponding trading suggestions [2]. Agricultural Products - **Palm Oil**: Production has declined, supporting its strong performance. Observe if the main contract can stay above 9500 [2]. - **Sugar**: Overseas supply is expected to be ample. Short - sell in the short - term and watch the 5600 resistance level [2]. - **Cotton**: Old - crop inventories are low before new - cotton is widely available. Adopt a wait - and - see approach [2]. Special and New Energy - **Glass and Rubber**: Observe the sustainability of spot sales. Rubber trading sentiment has weakened, and prices have slightly declined [2]. - **Industrial Silicon**: Spot prices have slightly increased, and it is in a strong oscillation between 8000 - 9500 [2]. - **Lithium Carbonate**: The macro - environment is favorable, and it is in a tight - balance in the peak season. It is expected to trade between 70,000 - 75,000 [2].

Core Insights - London remains a leading global financial center despite challenges from Brexit and competition from other financial hubs, showcasing resilience and competitiveness in various key sectors [4] - The establishment of an international financial risk management center in London is supported by its extensive banking network, technological concentration, and strong fintech ecosystem [3][4] Group 1: Global Financial Market Position - London holds a 43.1% share of global foreign exchange trading, significantly higher than the US at 16.5% and Hong Kong and Singapore both at 7.6% [1] - The UK leads in global interest rate derivatives trading with a 50.2% market share, followed by the US at 32.2% [1] - London is the largest center for gold pricing and trading, with an average daily transaction volume of 47.1 million ounces and a daily turnover of $126 billion [4] Group 2: Advantages of London as a Financial Hub - The UK has the largest concentration of international banks in Europe, facilitating multinational companies in managing currency and liquidity risks [3] - London is home to the largest cybersecurity market in Europe, valued at over £6 billion, employing over 30,000 people [3] - The city is a key player in the global insurance and reinsurance market, accounting for 10% of the world's market share [3] Group 3: Recommendations for Shanghai's Financial Risk Management Center - Shanghai should develop a comprehensive financial risk management product system that covers various types of risks and encourages innovation [5] - The city needs to enhance its financial risk monitoring and control mechanisms to improve the identification and management of potential risks [6] - Establishing a competitive financial market in Shanghai requires reducing costs for international entities and improving the investment environment [7] Group 4: Innovation and Policy Support - Shanghai aims to create a leading technology industry cluster to support the development of its international financial risk management center [8] - The city plans to enhance its financial technology capabilities and establish a robust information network and data security center [8] - Policies will be introduced to support the establishment of a controllable offshore financial system in the Pudong New Area [8]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In 2H25, the precious metals market may face policy and liquidity risks, with gold constrained by policy and liquidity, and silver facing risks due to industrial demand and allocation shortcomings [14]. - The non - ferrous metals market will see an accelerated differentiation in the risk pattern, with traditional industrial metals facing shortage risks and new - energy metals facing over - supply pressure [46]. - The Chinese steel industry in 2H25 will face risks of weakening demand and over - capacity on the supply side [3]. - The core risks in the global energy market in 2H25 stem from the divergence among geopolitics, OPEC+ production increases, and shale oil decline [4]. - The global agricultural product market in 2H25 will continue to be affected by climate and policy shocks [5]. Summary by Directory 1. Precious Metals: Retreat of Safe - Haven Demand and Geopolitical Risks - **Monetary Policy and Retreat of Safe - Haven Demand** - Inflation may potentially rebound, and the Fed's policy shift may be delayed again. The Fed's "stagflation - style adjustment" of economic forecasts in the June 2025 FOMC meeting shows concerns about economic stagnation and inflation. The probability of a September interest rate cut will significantly decrease if core PCE continuously exceeds 3.2% from June to August [15][23]. - The safe - haven premium is retreating, and there is potential selling pressure on positions. After May, as uncertainties were cleared and safe - haven funds withdrew, the trading logic of gold changed. The market has priced in some tariff premiums, and liquidity contraction may intensify the closing of gold long positions [28]. - There is instability in the trading related to the contraction of the US dollar credit. The long - term weakening of the US dollar credit system is the core driver of the gold bull market, but short - cycle trading needs to be wary of instability caused by over - priced expectations and liquidity disturbances [33]. - **Weakness in Silver's Industrial Demand and Lack of Allocation Interest** - Silver's industrial demand has collapsed. The recession trade may magnify the vulnerability of silver's commodity attributes. The demand for silver in the industrial sector is facing structural risks, and the demand - supply gap in 2025 may narrow [36]. - The lack of monetary attributes leads to a lack of allocation interest. Silver's structural weakness in the monetary credit system makes it difficult to obtain systematic allocation by sovereign funds. Its derivative positions are vulnerable to liquidity shocks [40]. - **Cross - Risks of Unexpected Trade Frictions and Geopolitical Conflicts** - "Black swan" events in trade frictions may cause secondary shocks to the supply chain and liquidity traps. If the US raises tariffs, it will cause a secondary shock to the global supply chain and increase market volatility [44]. - The escalation of geopolitical conflicts will increase safe - haven demand, and its sustainability determines the price elasticity. If the conflict escalates, it will significantly increase safe - haven demand and push up the gold price, and the impact on inflation expectations may also increase the cost of gold production [45]. 2. Non - Ferrous Metals: Differentiation between Traditional Industrial Metals and New - Energy Metals - **Risk Differentiation between Traditional Industrial Metals and New - Energy Metals** - There are co - existing problems of shortages and over - supply. The copper market faces supply shortages, while the lithium market has a significant contradiction between supply growth exceeding demand growth. The supply - side risks of industrial silicon are concentrated in the concentrated resumption of production in Q3 [47][50]. - There are co - existing problems of low and high inventories. Traditional industrial metals have low inventories with potential liquidity risks, while new - energy metals have high inventories, forming a vicious cycle that is difficult to resolve [52][53]. - **Faster - than - Expected Decline in Demand** - The weakness of traditional demand and the decline of new - energy demand have a dragging effect. Traditional demand repair is weak, and new - energy demand is retreating faster than expected, intensifying the demand - supply contradiction [61]. - The weakening of export momentum and the continuous risk of tariff threats. The export growth rate is under pressure, and although some tariffs have been suspended, the US still retains potential tariff tools, which will impact direct and indirect export costs [63]. 3. Black Metals: Crisis in the Context of Weak Supply and Demand - **Exhaustion of Endogenous Momentum on the Demand Side** - The demand for steel in the real estate sector has entered a structural contraction phase. Real estate core indicators are declining, and the systematic pressure on real estate enterprises' capital chains is being transmitted to the black metal market [67][69]. - The incremental demand for steel in infrastructure has reached its peak. The structural differentiation of infrastructure investment is intensifying, and the diversion effect of special bond funds is prominent, making it difficult to offset the shortage of steel demand in the real estate sector [70]. - The manufacturing industry shows a high degree of policy dependence. The growth of the manufacturing industry relying on policies deviates from the market's spontaneous contraction, and policy tools are in a period of decreasing effectiveness [73][74]. - **Parallel Capacity Release and Passive Production Cuts on the Supply Side** - The loosening of iron ore supply is delayed but certain. The global iron ore market is moving towards overall over - supply, and the new production capacity of the Simandou project may reshape the cost curve [79][84]. - The supply pressure of coking coal is insoluble. The coking coal market is in a "triple - high" situation of high production, high imports, and high inventories. The collapse of demand support is accelerating the cost reduction, and the reconstruction of the cost curve is causing systematic risks in the industry [85][91]. 4. Energy: Geopolitical and OPEC+ Production Increase Game - **Escalation of Geopolitical Risks** - Iran's threat to block the Strait of Hormuz has triggered a panic premium in the market. The Strait of Hormuz is a key global energy transportation channel. If blocked, it will cause a panic premium in the market, impact the energy supply of Asian countries, and cause a global shock from chemical products to food [93][97]. - The interruption of Iran's energy - related product supply may cause a global shock. The interruption of Iran's methanol, LPG, and urea supply will have a chain - reaction impact on the global chemical and agricultural sectors [97]. - Shipping costs may soar non - linearly. Historical events show that similar situations have led to significant increases in shipping costs and insurance premiums [99]. - **Differentiation between OPEC+ Production Increase and the Peak of Shale Oil** - There are risks in the implementation of OPEC+'s production increase policy. OPEC+ entered the production increase cycle in April 2025, but there are risks in policy implementation, including the potential re - evaluation of the production increase policy and the ineffectiveness of the compensation mechanism [103]. - The decline of US shale oil production is due to triple exhaustion. US shale oil production has entered a downward channel since March 2025. If the decline rate of shale oil exceeds expectations, OPEC+ may suspend production increases and resume production cuts, but there will be a supply vacuum during the lag period [104][106]. 5. Agriculture: Dual Impact of Climate and Policy - **Climate Risks Driving Price Volatility Upgrades** - Drought risks have substantially increased, leading to a supply crisis in US soybean - producing areas. The drought in the US Midwest and northern plains may lead to a significant reduction in soybean yields, and the decline in ending stocks and the ratio of stocks to consumption will increase price elasticity [108][109]. - La Niña may occur, delaying the South American planting season and putting pressure on the supply side. There is a probability of La Niña, which may delay the South American planting season, affect yields, and disrupt the global soybean trade flow [113]. - **Trade Frictions and Policy Adjustments as Double "Black Swans"** - If the Sino - US tariff deadlock is not resolved, China's import gap in Q4 may reach 3 million tons, and changes in biodiesel policies will cause cross - market disturbances [107]. - The overlap of the climate - sensitive period and the policy window period in late Q3 to early Q4 may increase the volatility of agricultural products [107].

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