Report Information - Report Title: Zhengxin Futures Non-ferrous Metals Arbitrage Weekly Report 20250428 [2] - Researchers: Zhang Jiefu, Wang Yanhong [2] - Investment Advisory Numbers: Z0016959, Z0010675 [2] - Email: zhangjf@zxqh.net, wangyh@zxqh.net [2] - Tel: 027 - 68851554 [2] Investment Ratings - No investment ratings are provided in the report. Core Views - Zinc Inter - period Arbitrage: With the continuous and rapid increase in TC, smelters have turned profitable. Affected by the production cycle of zinc mines at home and abroad, zinc ore supply will cyclically shift from tight to loose. If there are no major highlights in demand throughout the year, the supply - demand balance tends to move towards surplus. It is recommended to participate in zinc inter - period positive arbitrage on a dip - rolling basis [4]. - Aluminum - Zinc Cross - variety Arbitrage: The output of refined zinc in China has marginally recovered, and the newly commissioned zinc mine projects globally are expected to gradually release incremental production throughout the year. Due to capacity restrictions in China, the fundamentals of aluminum are stronger than those of zinc. It is recommended to participate in the strategy of going long on aluminum and short on zinc on a dip - rolling basis [4]. Summary by Directory Part I: Weekly Price Performance Review and Fund Flow - Weekly Price Review: LME copper increased by 1.87% from $9,188.5 to $9,360; LME aluminum rose by 3.04% from $2,365.5 to $2,437.5; LME zinc climbed by 2.66% from $2,577 to $2,645.5; LME lead advanced by 1.20% from $1,922 to $1,945; LME nickel decreased by 0.84% from $15,622 to $15,490; LME tin went up by 4.35% from $30,643 to $31,975. SHFE copper increased by 2.19% from 75,780 to 77,440; SHFE aluminum rose by 1.96% from 19,645 to 20,030; SHFE zinc climbed by 3.46% from 21,990 to 22,750; SHFE lead advanced by 1.16% from 16,750 to 16,945; SHFE nickel decreased by 0.18% from 126,030 to 125,800; SHFE tin went up by 1.97% from 257,770 to 262,840 [8]. - Fund Flow: The unilateral open interest of most non - ferrous metals is at a relatively low level in recent years, with a significant increase in aluminum's unilateral open interest recently. This week, copper's unilateral open interest increased by 1.4% month - on - month, while those of aluminum, zinc, lead, nickel, and tin decreased by 3.9%, 8.2%, 4.6%, and 7.8% respectively. Except for aluminum, the main non - ferrous metals experienced net capital outflows this week [10]. Part II: Non - ferrous Metals Inventory and Profit - Inventory: LME copper inventory decreased by 4.66% to 203,450; LME aluminum inventory dropped by 2.90% to 421,575; LME zinc inventory declined by 7.83% to 180,050; LME lead inventory decreased by 2.68% to 274,075; LME nickel inventory fell by 1.01% to 202,470; LME tin inventory decreased by 1.40% to 2,810 [22]. - Profit: Copper smelters' losses widened to 2,651 yuan/ton as processing fees decreased slightly week - on - week. Aluminum's theoretical smelting cost was 18,069 yuan/ton, and the smelting profit rose to 2,031 yuan/ton. Zinc's domestic processing fee remained flat, and the theoretical smelting profit from domestic ore was 936 yuan/ton [40]. Part III: Non - ferrous Metals Basis and Term Structure - Basis: The copper basis was 840, with a basis premium rate of 1.08%, a one - year basis quantile of 96.28%, and a three - year basis quantile of 85.54%. The aluminum basis was 70, with a basis premium rate of 0.35%, a one - year basis quantile of 87.19%, and a three - year basis quantile of 70.04%. The zinc basis was 490, with a basis premium rate of 2.15%, a one - year basis quantile of 85.54%, and a three - year basis quantile of 85.26%. The lead basis was 175, with a basis premium rate of 1.03%, a one - year basis quantile of 81.40%, and a three - year basis quantile of 90.98%. The nickel basis was 910, with a basis premium rate of 0.72%, a one - year basis quantile of 54.75%, and a three - year basis quantile of 24.72%. The tin basis was 340, with a basis premium rate of 0.13%, a one - year basis quantile of 55.17%, and a three - year basis quantile of 49.17% [43]. - Term Structure: This week, nickel was in a Contango structure, while copper and zinc were in a Back structure. Copper's spread between the first - line contract and the near - month contract was - 210, a decrease of 130 from last week. Aluminum's spread was - 60, an increase of 30 from last week. Zinc's spread was - 220, an increase of 30 from last week. Lead's spread was - 5, an increase of 35 from last week. Nickel's spread was 160, an increase of 20 from last week. Tin's spread was 70, an increase of 90 from last week [58]. Part IV: Comparison of Domestic and Overseas Metal Prices - Domestic - to - Overseas Ratio: The domestic - to - overseas ratios of zinc and lead are at relatively high historical levels. This week, the domestic - to - overseas ratios of major metals showed mixed trends. The domestic - to - overseas ratios of base metals were 1.13 for copper, 1.14 for aluminum, 1.17 for zinc, 1.19 for lead, 1.11 for nickel, and 1.15 for tin. The import profits and losses of copper, zinc, lead, and nickel were 591, 142, 706, and 447 respectively this week, while those of other major metals were negative [75]. - Arbitrage Considerations: Cross - market arbitrage can take into account factors such as the Fed's interest - rate cut policy, the comparison of domestic and overseas inventories, and the expectation of domestic growth - stabilization policies [75]. Part V: Changes in Cross - variety Ratios of Non - ferrous Metals - Ratio and Spread Data: The report provides detailed ratio and spread data for various cross - variety combinations (e.g., copper - aluminum, copper - zinc) at the current time, three months ago, and one year ago, along with their respective quantiles [92].
正信期货有色金属套利周报20250428-20250428
Zheng Xin Qi Huo·2025-04-28 11:11