中国商品期货跨境套利周报

中国商品期货跨境套利周报 November 11, 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 ◻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 its rate cuts into the first half of 2026. In the short term, the US Dollar may rise dueto 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 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：LME铜现货贴水幅度收窄，LME铜库存略有下降，国内铜社会库存仍在累积，铜现货进口窗口维持亏损，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:The spot discount for LME copper has narrowed, while LME copper inventories have slightly decreased.Chinesecopper socialinventories continue to accumulate, and the import window for spot copper remains at a loss.Suggestion:On hold. Risks:Significant fluctuations in macro sentiment, supply disruptions, and domestic consumption exceeding seasonal performance.Copper SHFE/LME Ratio铜内外比值Copper Import Profit/Loss (CNY/ton)铜进口盈亏 2.2 Aluminum铝 ◻上周表现：传统旺季已过，国内铝锭转为小幅累库，伦铝库存小幅去化，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 demand peak passed, while inventory accumulating. LME declined, 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：当前国内锌锭出口窗口打开，国内锌锭社会库存累积速度放缓，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 has opened. Chinese inventories of zinc are depleting. LME considers limiting large OIinnear 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: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：上周锡内外比值震荡，锡现货进口窗口持续关闭，进口亏损为16292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 16,292 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 s