中国商品期货跨境套利周报

November 25, 2025 桂晨曦GuiChenxiCFA PhD Rationale重点策略逻辑 Forex Market汇率市场 ◻12月11号FOMC会议之前9月非农成为唯一判断劳动力市场的“官方数据”。就业市场结构依然较差。数据发布后，12月降息概率有所提升。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 ◻Before the FOMC meeting on December 11th, the September non-farm payroll data becomes the only "official data" to judge the labor market.The structure of the job market remains poor. After the release of the data, the probability of a rate cut in December has increased. If Q3payrolls stay soft, USD upside could be capped. Q4 DXY might be 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：黄金内外价差高位回落，海外COMEX-LBMA价差震荡运行；本周推荐：黄金价格延续震荡调整期，内外价差逐渐回落，逢高做空内外价差建议择区间低点止盈；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 has dropped from its peak, the price gap between COMEX and LBMA overseas markets 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：白银内外价差震荡回落，海外COMEX-LBMA价差震荡运行；本周推荐：伦敦白银挤仓风险尚未完全解除，外盘银价仍有支撑，内外价差估值中性，逢高做空内外价差策略持有；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 difference has dropped after fluctuating, while the price difference between COMEX and LBMA overseas markets hasbeen fluctuating. 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，内外盘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：国内铝锭周度库存先升后降，伦铝库存有所去化，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:Chinesedomestic weekly aluminum ingot inventory rose initially and then declined. The inventory of LME aluminum decreased. In theshort term, the foreign exchange ratio remained within a range of fluctuations. Cross-market arbitrage is currently on hold.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 OIinnearcontracts, 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16328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；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。运费延续高波动，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 edged higher.Suggestion:On hold. R