中国商品期货跨境套利周报

中国商品期货跨境套利周报 December 2, 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重点策略推荐 Forex Market汇率市场 ◻伴随美国政府停摆结束，9月非农数据的发布再次印证美国劳动力市场的疲软，叠加美联储部分官员的鸽派发言，市场对12月FOMC降息的概率有所抬升，10年期美债利率下行至4%附近，联邦基金期货显示12月降息概率达到86%。但我们认为短期需要警惕市场对12月降息预期过度透支的风险。鲍威尔已明确表示降息逻辑从“风险管理”转向“数据依赖”，现有数据或不足以完全弥合委员会内部分歧。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、美债利率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 After the US shutdown ended, Sep non-farm data confirmed labor weakness. Fed dovish remarks lifted Dec FOMC cut odds, 10-yr yields fell ◻near 4%, futures show 86% odds. But short-term risk: market overpricing cuts. Powell said cut logic is "data-dependent"; currentdata can'tbridge splits. If non-farm stays weak, USD upside capped; Q4 dollar index 95-102.Risks:US and EU fiscal policies; China's policies fall short of expectations；geopolitical risks. 目录 海外套利Overseas 06 1.1 Gold黄金 ◻上周表现：黄金内外价差震荡运行，海外COMEX-LBMA价差震荡运行；本周推荐：黄金价格温和上涨，内外价差短期暂缺驱动，短期观望为主；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 between domestic and foreign gold markets has been fluctuating, and the price difference between COMEXand LBMA overseas markets has also been fluctuating.Suggestion:On hold. Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.2 Sliver白银 ◻上周表现：白银内外价差延续回落，海外COMEX-LBMA价差震荡回落；本周推荐：伦敦白银挤仓风险主导价格上涨，外盘银价支撑较强，逢高做空内外价差策略继续持有；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 gap between domestic and foreign silver markets continued to decline, and the price gap between COMEX and LBMAoverseas markets also fluctuated and declined. 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：LME库存近期略有累积，考虑到铜进口窗口维持亏损，内外盘跨市策略短期建议观望；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 LME inventory has slightly increased recently. Considering that the copper import window remains in a loss state, the cross-market strategy between domestic and foreign markets is recommended to be observed for the time being.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：国内铝价回调带动成交回暖，周度库存延续去化，但去库幅度放缓，伦铝库存延续去化，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； ◻Last Week:The domestic aluminum price correction has driven the recovery of trading volume. Weekly inventory continues to decline, buttherate ofdecline has slowed down. The inventory of LME aluminum continues to decrease. In the short term, the foreign exchange ratio remains in a range-bound fluctuation, and cross-market arbitrage is temporarily 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，国内锌锭社会库存去化，伦锌库存快速上升但绝对水平偏低，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 domestic zinc ingot export window has opened, and the social inventory of domestic zinc ingots is being reduced. The LMEzincinventory has risen rapidly but is still at a relatively low absolute level. It is recommended to participate in shorting LMEzinc in a rolling mannerand buying SHFE 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：国内原生铅和再生铅冶炼厂检修增多，铅酸蓄电池企业开工率维持高位，国内铅锭社会库存去化，伦铅库存自高位回落，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. 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.◻Suggestion:On hold.◻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