中国商品期货跨境套利周报

October 21, 2025 从业资格号：F03121254Qualification No.投资咨询号：Z0022985Investment consulting No. 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 王含章WangHanzhang 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。This report is not a service under the futures trading consulting business. The opinions and information provided are for reference only and do not constitute investmentadvice to anyone. CITIC Futures do not consider relevant personnel as client due to the attention, receipt, or reading of this report. Opportunity to Watch重点策略观察 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 of latest tariff threats on the RMB will likely be less. Market sensitivity has decreased. U.S. economic fundamentalsareweakening, anduncertainties which may enhance the U.S. need for reaching agreement. Current China-U.S. talks may not cause a sustained impact.Risks:US and EU fiscal policies; China's policies fall short ofexpectations；geopoliticalrisks. 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：黄金内外价差大幅回升，海外COMEX-LBMA价差低位波动；本周推荐：黄金价差估值实现修复，低位做多黄金内外价差策略止盈离场；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 surged, while the COMEX-LBMA spread fluctuated.Suggestion:On hold.Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.2 Sliver白银 ◻上周表现：白银内外价差回升，海外COMEX-LBMA价差向上修复；本周推荐：价差估值回升至中性水平，伦敦白银紧张缓和但尚未完全解决，内外套利策略暂时观望；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 price spread of silver surged,while the overseas COMEX-LBMA spreadrecoverd.Suggestion:On hold. Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 2.1 Copper铜 上周表现：铜国内库存仍在累积，考虑到铜进口窗口维持亏损，跨市策略建议短期观望；本周推荐：跨市套利暂时观望； ◻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:Chinese copper inventories are accumulating, 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：国内铝锭有所去化，伦铝库存低位去化，短期内外比值维持区间震荡，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:Chinese and LME inventories declined, while the price ratio remains range-bound with fluctuations.Suggestion:On hold. Risks:Macro risks, supply disruptions, and demand falling short of expectations. 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，建议滚动参与空LME锌，多SHFE锌；本周推荐：滚动参与空LME锌，多SHFE锌；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: Short LME, Long SHFE. 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：尽管铅锭现货进口窗口打开，9月铅锭净进口量明显回升，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，铅锭供应上升，不过社会库存累积并不明显，同时临近北方供暖季，大气质量管控或影响再生铅供应；海外铅库存再度累积，且绝对水平仍高，铅锭跨市套利暂观望；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:Despite the opening of the spot import window for lead ingots and a significant rebound in September net imports, resumed production atpreviously affected recycled lead smelters has boosted supply. Social inventory accumulation remains modest. With northern China's heating seasonapproaching, air quality controls may constrain recycled lead supply. Overseas lead inventories have re-accumulated and stay ata high level.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16242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 16,242 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