中国商品期货跨境套利周报

November 4, 2025 桂晨曦GuiChenxiCFA PhD Opportunity to Watch重点策略观察 Forex Market汇率市场 ◻上周美元指数上行，原因是10月FOMC会议鲍威尔释放12月降息并非定局的信号。但我们认为美联储对后续美国消费依然维持较强韧性的预期或过于乐观，我们预计美联储将在2026年上半年延续其宽松立场，继续进行降息。美元指数短期或受日元疲软等因素影响而有所上行，但进一步上行的空间有限，不构成趋势性反转。 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 ◻The US Dollar rose last week due to signals from Jerome Powell indicating that a rate cut in December is not a foregone conclusion. Weanticipate that the Fed will maintain itsrate cutsinto the first half of 2026. In the short term, the US Dollar may rise due to factors such as aweak yen, but the potential for further increases is limited and does not constitute a trend reversal.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：黄金内外价差震荡运行，海外COMEX-LBMA价差震荡，二者估值位于中性水平；本周推荐：黄金价格进入震荡调整期，价差估值中性，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 SHFE-COMEX gold price differential and the COMEX-LBMA 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：白银内外价差震荡运行，海外COMEX-LBMA价差回升至中性位置；本周推荐：白银短期预计震荡运行，内外价差缺乏显著驱动，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 was range bounded,while the overseas COMEX-LBMA spread recovered to neutrality.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：传统旺季已过，国内铝锭转为小幅累库，同时伦铝库存有所累积，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 demand peak passed, while inventory accumulating. LME surged, 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以及向东南亚交仓窗口均打开，国内锌锭社会库存开始去化，LME拟推出永久性规则限制近月大额持仓，伦锌挤仓压力将有所缓解，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:The window for exporting Chinese zinc ingots to Southeast Asia and deliveries, has opened. Chinese inventories of zinc aredepleting. LME considers limiting large OI in near contracts, which is expected to alleviate the squeeze pressure on zinc.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：国内社会库存回升幅度有限，冶炼厂铅锭库存不高，伦铅库存去化且注销仓单比例较高，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:Inventories rose slightly as smelters inventory remained low. Canceled warrants for LME has surged again as destocking maintained.Suggestion:On hold. Risks:Supply-side disruptions; slowing battery exports; surging imports. 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：上周锡内外比值回落，锡现货进口窗口持续关闭，进口亏损为15516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 15,516 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.Tin SHFE/LME Ratio锡内外比值Tin Import and Export Profit/Loss (CNY/ton)锡进出口盈亏 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 spread remained in a narrow range with no significant drivers, experiencing slight fluctuations.Suggestion:On hold. Risks:Exchange rate fluctuations; decline in supply of some medium-to-high grade iron ore; significant changes in steel company profits. 4.1 Crude Oil原油 ◻上周表现：SC-Brent价差震荡。本周推荐：观望。运费波动加剧，俄罗斯原油供应不确定性仍存，价差观望。 风险提示：中东地缘局势，OPEC+产量政策调整，美国调整对伊朗、俄罗斯、委内瑞拉制裁政策。 ◻Last week:The SC-Brent price spread has been fluctuated.Suggestion:On hold.Risks:Geopolitical tensions, OPEC+ production policy adjustments, U.S. modifications to sanctions on Iran, Russia, and Venezuela. 5.1 Soybean大豆 ◻上周表现：压榨利润底部震荡，中美贸易缓和，预计榨利逐步修复。本周推荐：多外盘空内盘。风险提示：主产国产量不及预期、南美天气异常、美国生柴政策变化等； ◻Last Week:Import crushing margins are consolidating,