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 18, 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 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. Rationale重点策略逻辑 Forex Market汇率市场 ◻本周美国政府开门，但由于联储官员偏鹰派发言以及重点经济数据的缺席，市场进一步交易12月降息概率降低，9月份非农数据将于下周四公布。我们认为若后续非农数据依然延续三季度的疲软态势，美元的上行或进一步受到压制。美元指数四季度运行区间或在95-102。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 U.S. government reopened. Fed hawks’ comments and missing key data pushed markets to price lower odds of a December ratecut. OISsignals <25bps cuts by Jan 2026. September non-farms (released Thu) may show labour weakness. If Q3 payrolls stay soft, USD upsidecould be capped. Q4 DXY seen at 95-102. 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：黄金内外价差回落后反弹，海外COMEX-LBMA价差震荡，内外价差估值回升至偏高位置；本周推荐：黄金价格进入震荡调整期，价差估值偏高，美股走弱带来外盘看多力量更为强势，建议逢高做空内外价差；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 price gap first decreased and then increased. The price gap between COMEX and LBMA overseas markets fluctuated, and theprice gap valuation rose to a high level. Suggestion: Long COMEX, Short SHFE.Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.2 Sliver白银 ◻上周表现：白银内外价差震荡走高，海外COMEX-LBMA价差同步回升；本周推荐：伦敦白银现货租赁利率再度抬升，现货偏紧支撑外盘价格，内外价差处于偏高估值，建议逢高做空内外价差；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 price has been fluctuating and rising; the overseas COMEX-LBMA price difference has also rebounded simultaneously.Suggestion: Long COMEX, Short SHFE. Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 2.1 Copper铜 上周表现：铜国内库存去化缓慢，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 domestic inventory of copper is not being depleted quickly. Considering that the copper import window remains incurringlosses, the cross-market strategy suggests a short-term wait-and-see approach.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：国内铝锭转为小幅累库，伦铝库存小幅累积，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: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: Long SHFE, Short LME. 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，伦铅库存累积但注销仓单比例较高，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15424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 15,424 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；