中国商品期货跨境套利周报

从业资格号：F03121254Qualification No.投资咨询号：Z0022985Investment consulting No. 王含章WangHanzhang 姜婧Jiang JingCFA从业资格号：F3018552Qualification No.投资咨询号：Z0013315Investment consulting No. 桂晨曦GuiChenxiCFA PhD 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。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；本周推荐：黄金内外价差估值中性，人民币汇率高位震荡，内外套利暂时观望；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 difference between domestic and international gold markets has been fluctuating, and the price difference betweenCOMEX and LBMA overseas 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：上周白银内外价差震荡走强，海外COMEX-LBMA价差震荡走低；本周推荐：白银内外价差回升至高位，海外现货仍偏紧，人民币升值预期压制国内价格，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 difference between domestic and foreign silver markets rose sharply but then declined; the price difference betweenCOMEX and LBMA on the overseas market fluctuated and decreased.Suggestion: Long COMEX, Short SHFE Risks:Exchange rate expectations volatility; Trump policy risks; Fed policy shift risks. 1.3 Platinum铂金 上周表现：铂金内外价差大幅收敛，前期国内高溢价状态得到明显修复，跨市套利暂观望。本周推荐：跨市套利暂观望。 ◻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 platinum has significantly narrowed, and the previous high premium situationinthedomestic market has been noticeably rectified.Suggestion:On hold. 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：钯金内外价差大幅收敛，高溢价状态得到明显修复，建议跨市场套利暂观望。本周推荐：跨境套利暂观望。 ◻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 palladium has significantly narrowed, and the high premium state has beennoticeably rectified. Suggestion:On hold. 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.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，当前铜远期合约进口盈利窗口已经打开，建议关注远期合约的多LME铜，空SHFE铜；本周推荐：关注远期合约的多LME铜，空SHFE铜；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:Despite the domestic copper inventory still piling up in the context of a weak demand season, the import profit window for copperforward contracts has now opened. It is recommended to pay attention to taking a long position on LME copper and a short position on SHFEcopper in forward contracts. Suggestion: Long LME, Short SHFERisks: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：国内铝锭延续累积，伦铝库存去化，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，伦锌库存回升暂缓，建议持有空LME锌，多SHFE锌；本周推荐：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，汽车铅酸蓄电池消费好转，电动自行车铅酸蓄电池消费逐渐进入淡季，且电动自行车新国标推行初期消费者观望情绪较浓，国内铅锭社会库存或延续累积，伦铅库存延续去化，且铅锭进口窗口打开，建议关注多LME铅，空SHFE铅；本周推荐：多LME铅，空SHFE铅； 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. Consumers were cautious on new e-bike standards early. Some downstream firms closingaccounts/inventoried. Domestic lead ingot social inventory likely up. Futures lead inventory falling, lead ingot import window open.Suggestion: Long LME, Short SHFE 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：进口窗口维持开启，镍平衡比值区间震荡，国内外库存