国债期货日报 2026/1/8 盎司，环比增加3万盎司，为连续第14个月增加。 | 周四国债现券收益率集体走强，到期收益率1-7Y下行1.50-2.75bp左右，10Y、30Y到期收益 | 率分别下行1.55、2.30bp左右至1.88%、2.31%。周四国债期货集体走强，TS、TF、T、TL主 | | | --- | --- | --- | | 力合约分别上涨0.02%、0.09%、0.15%、0.37%。DR007加权利率回升至1.47%附近震荡。 | 12月央行国债买卖净投放500亿元，低于市场预期。国内基本面端，12月官方制造业、非制造 | | | 业PMI双双回暖，重返荣枯线上。11月全国规上工企业利润同比持续回落，但高技术制造业等 | 新兴行业利润保持较快增长，工业结构持续优化。消息面上，央行定调2026年货币政策，将继 | | | 续实施适度宽松的货币政策，灵活高效运用降准降息等政策工具，保持流动性充裕，促进社会 | 综合融资成本低位运行。海外方面，美国就业市场持续降温，12月ADP就业人数温和修复至 | 观点总结 | | 4.1万人，但仍低于市场预期，11月职位空缺降至14个月新低。美国12月 ...

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

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

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

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

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

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

Group 1: Stock Index Futures Sector - Key Products: CSI 500 Futures (IC), CSI 1000 Futures (IM) - Bullish Outlook: Clear bullish sentiment supported by trading volume and open interest structure, but caution is advised for potential high-level pullbacks [1][2] Group 2: Government Bond Futures Sector - Key Products: 2-year, 5-year, 10-year, and 30-year government bond futures (TS, TF, T, TL) - Market Sentiment: Overall consolidation with a slight bearish bias [3][4] Group 3: Precious Metals Sector - Key Products: Gold (AU), Silver (AG) - Market Sentiment: Bearish consolidation; IC and IM show "Good Curve Long" structure with annualized rolling returns of 7.5% and 10.98%, significantly higher than SSE 50 and CSI 300 [5][6] - Trading Strategy: Hold long positions or add on dips, focusing on long-dated contracts of IC and IM; cross-product arbitrage suggested [5][6] Group 4: Non-Ferrous Metals Sector - Key Products: Copper (CU), Aluminum (AL), Zinc (ZN) - Market Sentiment: Significant differentiation; Aluminum shows the strongest fundamentals with tight supply-demand dynamics [9][10] - Trading Strategy: Long Aluminum and short Copper to capitalize on supply-demand gaps; light long positions in Zinc [9][10] Group 5: Black Metals Sector - Key Products: Iron Ore (I), Rebar (RB), Coking Coal (J) - Market Sentiment: Bearish outlook with negative returns for rebar and coking coal, indicating ongoing inventory pressure [13][14] Group 6: Energy and Chemical Sector - Key Products: Crude Oil (SC), Low Sulfur Fuel Oil (LU), Asphalt (BU), Rubber (RU) - Market Sentiment: Significant differentiation; Crude Oil and Low Sulfur Fuel Oil benefit from geopolitical factors and shipping demand [15][18] - Trading Strategy: Long SC/LU and short RU to exploit energy versus chemical dynamics [15][18] Group 7: Agricultural Products Sector - Key Products: Soybean Meal (M), Soybean Oil (Y), Palm Oil (P), Live Hogs (LH) - Market Sentiment: Overall bullish; soybean oil and palm oil benefit from biodiesel demand and weather disturbances in South America [21][22] - Trading Strategy: Long soybean oil/palm oil and short soybean meal to capitalize on oil-meal ratios; short live hogs due to oversupply [21][22] Group 8: Soft Commodities and Specialty Products - Key Products: Sugar (SR), Cotton (CF), Urea (UR), Industrial Silicon (SI) - Market Sentiment: Mixed; Urea supported by agricultural demand while Industrial Silicon faces supply pressure [27][28] - Trading Strategy: Long Urea and short Industrial Silicon to leverage agricultural demand against industrial supply [27][28] Group 9: Summary of Trading Strategies and Risk Control Recommendations - Long positions recommended in IC, IM, Urea, Aluminum, and oilseeds; short positions in Copper, Rebar, Rubber, Live Hogs, and Industrial Silicon [30]

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

Report Summary 1. Report Industry Investment Rating - Not provided in the given content. 2. Core View of the Report - On August 27, the yields of treasury bond cash bonds strengthened collectively, with the yields of 1Y - 7Y maturities declining by about 0.15 - 0.75bp, and the yields of 10Y and 30Y maturities declining by about 0.20bp to 1.76% and 1.99% respectively. Treasury bond futures also strengthened collectively, with the TS, TF, T, and TL main contracts rising by 0.02%, 0.07%, 0.08%, and 0.24% respectively. The weighted average rate of DR007 rose to around 1.51% and fluctuated. - In terms of the domestic fundamentals, the profits of industrial enterprises above the designated size in July decreased by 1.5% year - on - year, and the profit decline has narrowed for two consecutive months. In July, industrial added value and social retail sales fell more than expected, the scale of fixed - asset investment continued to shrink, and the unemployment rate remained stable. In July, the financial data showed structural differentiation, with government bonds continuing to support the increase in social financing, while the medium - and long - term financing momentum of enterprises and residents was still insufficient, and new loans turned negative. - The Ministry of Commerce will introduce several policies to expand service consumption in September, which will promote the recovery of consumption growth. Overseas, the Fed Chairman's speech at the central bank annual meeting increased market bets on a Fed rate cut in September. As bond yields approach the high point in mid - March this year, the allocation value has significantly increased, and allocation demand is expected to effectively support the market. The bond market's sensitivity to external factors such as the rise of the stock market may weaken marginally. - If the fluctuations in the capital and fundamental aspects are limited, the subsequent strengthening of the equity market is expected to have a limited impact on the bond market. The bond market pricing is expected to gradually return to the rational range dominated by fundamentals. However, in the context of the monetary policy focusing on structural tools, the interest rate center lacks the impetus to decline further. Strategically, it is recommended to pay attention to the trading opportunities brought by the phased repair of treasury bond futures. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: The closing prices of the T, TF, TS, and TL main contracts increased by 0.08%, 0.07%, 0.02%, and 0.24% respectively. The trading volumes of the T and TL main contracts increased by 3956 and 22208 respectively, while the trading volumes of the TF and TS main contracts decreased by 8338 and 5141 respectively. - **Futures Spreads**: The spreads of TL2512 - 2509, T12 - TL12, TF2512 - 2509, TS12 - T12, TS12 - TF12 decreased, while the spreads of T2512 - 2509 and TF12 - T12 increased. - **Futures Positions**: The positions of the T, TF, and TS main contracts increased by 1656, 1959, and 612 respectively, while the position of the TL main contract decreased by 1148. The net short positions of the T, TF, and TL decreased by 764, 63, and 2459 respectively, while the net short position of the TS increased by 221. [2] 3.2 CTD Bonds - The net prices of most CTD bonds increased, such as 220019.IB, 220017.IB, 230006.IB, etc., while the net price of 220022.IB decreased. [2] 3.3 Active Treasury Bonds - The yields of active treasury bonds with maturities of 1y, 3y, 5y, 7y, and 10y decreased by 1.25bp, 0.50bp, 1.00bp, 0.25bp, and 0.25bp respectively. [2] 3.4 Short - term Interest Rates - The silver - pledged overnight rate increased by 14.05bp, the Shibor overnight rate decreased by 0.20bp, the silver - pledged 7 - day rate decreased by 4.28bp, the Shibor 7 - day rate increased by 2.40bp, the silver - pledged 14 - day rate increased by 1.00bp, and the Shibor 14 - day rate increased by 1.10bp. The 1y and 5y LPR rates remained unchanged. [2] 3.5 Open Market Operations - The issuance scale of open market operations was 3799 billion yuan, the maturity scale was 6160 billion yuan, and the interest rate was 1.4% for 7 - day operations, with a net withdrawal of 2361 billion yuan. [2] 3.6 Industry News - From January to July, the total profit of industrial enterprises above the designated size was 40203.5 billion yuan, a year - on - year decrease of 1.7%. In July, the profit decreased by 1.5% year - on - year. At the end of July, the total assets of industrial enterprises above the designated size were 183.67 trillion yuan, a year - on - year increase of 4.9%; the total liabilities were 106.26 trillion yuan, an increase of 5.1%; the owner's equity was 77.41 trillion yuan, an increase of 4.6%; the asset - liability ratio was 57.9%, a year - on - year increase of 0.2 percentage points. - Six departments in Shanghai jointly issued a notice to optimize and adjust real estate policies, including unlimited housing purchases outside the outer ring for eligible families, adjusting housing purchase restrictions for single adults, increasing the provident fund loan limit for green buildings by 15%, implementing the "withdrawal and loan" policy for provident funds, unifying mortgage rates for first and second - home purchases, and fine - tuning property tax collection policies. - The Deputy Minister of Commerce stated that the consumption pattern in China has shifted to a stage where commodity consumption and service consumption are equally important. The Ministry of Commerce will introduce policies to expand service consumption in September. [2] 3.7 Key Events to Watch - On August 28 at 17:00, the Eurozone's industrial sentiment index for August will be released. - On August 29 at 20:30, the annual rate of the US core PCE price index for July will be released. [3]