中国商品期货跨境套利周报

October 14, 2025 从业资格号：F3023159Qualification No.投资咨询号：Z0013632Investment consulting No. 姜婧Jiang JingCFA从业资格号：F3018552Qualification No.投资咨询号：Z0013315Investment consulting No. 桂晨曦GuiChenxiCFA PhD Opportunity to Watch重点策略推荐 Forex Market汇率市场 ◻维持下半年人民币稳中有升的观点，下方空间或至7.05附近，周五特朗普威胁对中国商品加征100%关税，我们认为本轮关税威胁对人民币的冲击程度或将低于4月。一方面，市场对特朗普的关税言论已有所适应，敏感度相比4月初有所下降；另一方面，美国经济基本面走弱，政府停摆、消费者信心指数骤降等不确定性增强，或使美方对达成协议的需求提升，关税更多被视为谈判筹码。关注四季度的升值机会。风险提示：欧美财政政策超预期；2）中国宏观政策不及预期；3）地缘政治风险升级 ◻We maintain the view that the RMB will remain stable with a slight upward trend, and its downside space may be around 7.05. We believe theimpact oflatesttariff threats on the RMB will likely be less.Market sensitivity has decreased. U.S. economic fundamentals are weakening, anduncertainties which may enhance the U.S.needfor reaching agreement.CurrentChina-U.S. talks may not cause a sustained impact.Risks:US and EU fiscal policies; China's policies fall short of expectations；geopolitical risks. 目录 03黑色金属Ferrous Metals 02有色金属Non-Ferrous Metals 海外套利Overseas 05农产品Agricultures 06 1.1 Gold黄金 ◻上周表现：黄金内外价差震荡回落，海外COMEX-LBMA价差下降；本周推荐：黄金价差估值仍偏低，贸易摩擦升级或利空人民币，低位做多黄金内外价差；风险提示：汇率预期变化风险；特朗普政策风险；美联储政策变动风险。 ◻Last Week:The gold price differential fluctuated lower, while the overseas COMEX-LBMA spread declines.Suggestion:Long SHFE, Short COMEX.The valuation of the gold price spread remains low. Escalating trade frictions may weigh on the RMB, soit is recommended to go long on the domestic-international gold price spread at a low level.Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.2 Sliver白银 ◻上周表现：白银内外价差震荡下行，海外COMEX-LBMA价差大幅下行；本周推荐：伦敦白银现货紧缺引发价格大涨，短期海外价格维持强势，套利策略暂观望，等待缓和后的多头机会；风险提示：汇率预期变化风险；特朗普政策风险；美联储政策变动风险。 ◻Last Week:The internal and external price spread of silver fluctuates downward,while the overseas COMEX-LBMA spread drops sharply.Suggestion:On hold. Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 2.1 Copper铜 ◻上周表现：铜国内库存去化速度偏慢，考虑到铜进口盈利窗口亏损幅度较大，内外盘多LME铜，空SHFE铜建议逐步止盈；本周推荐：多LME铜，空SHFE铜建议逐步止盈；风险提示：宏观情绪剧烈波动、供应中断、国内消费超季节性表现。 ◻Last Week:Chinesecopper inventories are being de-stocked at a slow pace, and the copper import profit window is seeing a significant loss.Suggestion:On hold. Risks:Significant fluctuations in macro sentiment, supply disruptions, and domestic consumption exceeding seasonal performance. 2.2 Aluminum铝 上周表现：短期内外比值维持区间震荡，国内铝锭社库延续累积，跨市套利暂观望；本周推荐：跨市套利暂时观望； 风险提示：宏观风险，供给扰动，需求不及预期。 ◻Last Week:In the short term, the domestic-international ratio remains range-bound with fluctuations, while the social inventory of domestic aluminumingots continues to accumulate.Suggestion:On hold. Risks:Macro risks, supply disruptions, and demand falling short of expectations.Aluminum SHFE/LME Ratio铝内外比值 2.3 Zinc锌 ◻上周表现：当前中国锌锭向东南亚出口现货已有利润，向东南亚交仓窗口也接近打开，建议锌多LME锌，空SHFE锌套头寸离场；本周推荐：多LME锌，空SHFE锌离场；风险提示：宏观转向风险；锌矿供应超预期回升。 ◻Last Week:Currently, there is already a profit in the spot export of Chinese zinc ingots to Southeast Asia, and the delivery window forwarehousereceipt submission in Southeast Asia is also close to opening.Suggestion:On hold. Risks:Macro shift risks and zinc mine supply rebounding beyond expectations.Zinc SHFE/LME Ratio锌内外比值 2.4 Lead铅 ◻上周表现：前期受影响的再生铅冶炼厂陆续复产，再生铅冶炼厂开工率提升，同时临近沪铅2510合约交割，国内铅锭显性库存或将增多，供需将较为宽松；海外铅库存再度开始去化，但绝对水平仍高，铅锭内外盘套利暂观望；本周推荐：跨市套利暂时观望； 风险提示：供应端扰动；电池出口放缓、进口大增。 ◻Last Week:Previously affected recycled lead smelters have gradually resumed production, pushing up their operating rate. Meanwhile, asthe delivery of the SHFE Lead 2510 approaches, the visible inventory of domestic lead ingots is expected to increase, leadingtoa relativelyloose supply-demand balance; overseas lead inventories have started de-stocking again, yet their absolute level remains high.Suggestion:On hold. Risks:Supply-side disruptions; slowing battery exports; surging imports.Lead SHFE/LME Ratio铅内外比值 2.5 Nickel镍 上周表现：进口窗口处于关闭阶段，数值区间震荡，价差极端化情况大幅改善，跨市套利暂时观望；本周推荐：跨市套利暂时观望； ◻风险提示：宏观及地缘政治变动超预期；印尼政策风险；供应释放不及预期。 ◻Last Week:The import window is currently closed, with fluctuations within a numerical range, and the situation of extreme price differences hassignificantly improved. Risks:Unexpected changes in macroeconomic and geopolitical conditions; Indonesian policy risks; supply release falling short of expectations.Nickel SHFE/LME Ratio镍内外比值Nickel Import Profit/Loss (CNY/ton)镍进口盈亏 2.6 Tin锡 上周表现：上周锡内外比值回升，锡现货进口窗口持续关闭，进口亏损为19251元/吨，锡内外价差驱动不明显，跨市套利暂观望； ◻本周推荐：跨市套利暂观望；风险提示：供应释放超预期；需求恢复不及预期。 ◻Last Week:The tin ratio has rebounded, while the spot tin import window remains closed. The import loss stands at RMB 19,251 per ton, andthedriving force behind the tin price spread is not obvious.Suggestion:On hold. Risks:Unexpected changes in macroeconomic and geopolitical conditions; Indonesian policy risks; supply release falling short of expectations. 3.1 Iron Ore铁矿石 上周表现：铁矿石内外价差保持窄幅震荡，无明显驱动，价差窄幅震荡。本周推荐：建议保持观望。 ◻风险提示：汇率波动；部分中高品位铁矿供应下降；钢企利润大幅变动。 ◻Last Week:The iron ore price