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 30, 2025 从业资格号：F03121254Qualification No.投资咨询号：Z0022985Investment consulting No. 王含章WangHanzhang 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. Forex Market汇率市场 ◻展望2026年，我们认为美联储货币政策将延续宽松态势。明年美元指数运行区间或在95-102。2026年人民币汇率或呈稳中有升局面，运行区间或在6.8-7.2，贬值空间有限，关注升值机会。 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 ◻We expect that the Fed will maintain more accommodative in 2026. For 2026, the USD is expected to range between 95-102. RMB mayshowa stable upward trend, with a range of 6.8-7.2, indicating limited depreciation space and opportunities for appreciation.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价差震荡走高；本周推荐：黄金价格震荡上行，内外价差估值中性，短线观望为主；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：上周白银价格剧烈波动，内外价差冲高后回落，海外COMEX-LBMA价差震荡运行；本周推荐：白银短期情绪主导，行情非理性波动风险增加，内外价差估值中性，短线暂时观望；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 of silver experienced significant fluctuations. The domestic and foreign price differences rose sharply and then declined.The overseas COMEX-LBMA price difference fluctuated instead.Suggestion:On hold. Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.3 Platinum铂金 ◻上周表现：铂金内外价差仍位于高位，大幅高于进口成本。本周推荐：继续持有内外盘正套空GFEX铂，多NYMEX铂头寸，或择机增持。风险提示：全球经济衰退；美联储货币政策变化；俄罗斯地缘冲突变化；主产区供应扰动。 ◻Last Week:The price gap between platinum for domestic use and that for export remains at a high level, significantly exceeding the costofimport.Suggestion:Long NYMEX, Short GFEX Risks:Global economic recession; Changes in the monetary policy of the Federal Reserve; Changes in the geopolitical situation in Russia; Supplydisruptions in major production areas.Platinum Price Spread铂金内外价差NYMEX-LBMA Platinum Price Spread铂金海外市场价差 1.4 Palladium钯金 ◻上周表现：上周钯金内外价差有所收窄，但仍国内溢价高于进口成本。本周推荐：继续持有内外盘正套空GFEX钯，多NYMEX钯头寸，或择机增持。风险提示：全球经济衰退；美联储货币政策变化；俄罗斯地缘冲突变化；主产区供应扰动。 ◻Last Week:The price gap between domestic and international prices of palladium has narrowed, but the domestic premium is still higher thantheimport cost. Suggestion:Long NYMEX, Short GFEXRisks:Global economic recession; Changes in the monetary policy of the Federal Reserve; Changes in the geopolitical situation in Russia; Supply disruptions in major production areas.Palladium Price Spread钯金内外价差NYMEX-LBMA Palladium Price Spread钯金海外市场价差 2.1 Copper铜 ◻上周表现：需求淡季背景下国内铜库存仍在累积，不过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：国内铝锭转为累积，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；风险提示：宏观风险，供给扰动，需求不及预期。 ◻Last Week:Domestic aluminum ingots have shifted to a cumulative approach, while the inventories of LME aluminum continue to decline. Intheshort 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：短期内前期锁价的锌锭仍将陆续进口，锌精矿进口量明显回升也需要一段时间，国内锌锭社会库存去化仍有空间，伦锌库存逐步上升，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:Short term, priced-locked zinc ingots will keep arriving. Zinc concentrate imports need time to rise notably. Domestic zinc ingot stocksstill have room to fall, while LME zinc inventory is slowly climbing.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：前期检修或受环保原因影响的冶炼厂陆续复产，电动自行车新国标推行初期消费者观望情绪较浓，临近年末部分下游企业关账盘库，国内铅锭社会库存或将累积，伦铅库存开始去化，且铅锭进口窗口打开，建议关注多LME铅，空SHFE铅；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:Primary/recycled lead smelters to restart soon. Consumer