中国商品期货跨境套利周报-20251014

Report Industry Investment Rating - Gold: Potential [5] - Crude Oil: Potential [5] - Silver: On hold [5] - Copper: On hold [5] - Lead: On hold [5] - Zinc: On hold [5] Core Viewpoints - Maintains the view that the RMB will remain stable with a slight upward trend in the second half of the year, with the downside space around 7.05. The impact of the latest tariff threats on the RMB is likely to be less. Focus on the appreciation opportunity in the fourth quarter [6] - Recommends going long on SHFE Gold and short on COMEX Gold due to the low valuation of the gold price spread and the potential negative impact of escalating trade frictions on the RMB [5] - Suggests going long on Brent crude oil and shorting SC crude oil as domestic port inventories remain high, refinery processing volumes are under pressure, and the spot market for Middle Eastern crude oil is weak [5] Summary by Directory Precious Metals - Gold: Last week, the gold price differential fluctuated lower, and the overseas COMEX - LBMA spread declined. This week, recommends going long on the domestic - international gold price spread at a low level as the valuation of the gold price spread remains low and escalating trade frictions may weigh on the RMB [13][14] - Silver: Last week, the internal and external price spread of silver fluctuated downward, and the overseas COMEX - LBMA spread dropped sharply. This week, suggests waiting for the bullish opportunity after the situation eases as the short - term overseas price remains strong due to the shortage of London silver spot [20] Non - Ferrous Metals - Copper: Last week, Chinese copper inventories were de - stocked slowly, and the copper import profit window had a significant loss. This week, recommends gradually taking profit on the strategy of going long on LME copper and shorting SHFE copper [26] - Aluminum: Last week, the short - term domestic - international ratio remained range - bound with fluctuations, and the social inventory of domestic aluminum ingots continued to accumulate. This week, suggests temporarily observing cross - market arbitrage [32][33] - Zinc: Last week, there was already a profit in the spot export of Chinese zinc ingots to Southeast Asia, and the delivery window for warehouse receipt submission in Southeast Asia was close to opening. This week, recommends closing the position of going long on LME zinc and shorting SHFE zinc [38] - Lead: Last week, previously affected recycled lead smelters resumed production, and as the delivery of the SHFE Lead 2510 approached, the visible inventory of domestic lead ingots was expected to increase. Overseas lead inventories started de - stocking again but remained at a high level. This week, suggests temporarily observing cross - market arbitrage [44][49] - Nickel: Last week, the import window was closed, with fluctuations within a numerical range, and the situation of extreme price differences improved significantly. This week, suggests temporarily observing cross - market arbitrage [50] - Tin: Last week, the tin ratio rebounded, the spot tin import window remained closed, the import loss was 19,251 yuan/ton, and the driving force behind the tin price spread was not obvious. This week, suggests temporarily observing cross - market arbitrage [54] Ferrous Metals - Iron Ore: Last week, the iron ore price spread remained in a narrow range with no significant drivers. This week, recommends maintaining a wait - and - see attitude [60] Energy - Crude Oil: Last week, the SC - Brent price spread fluctuated. This week, recommends shorting SC and going long on Brent as China's inventories are at a high level, imports have slowed down since September, and the spot market for Middle Eastern crude oil is weak. Hold the spread strategy during the contract rollover period and pay attention to freight risks [65][66] Agriculturals - Soybean: Last week, import crushing margins were consolidating, and the Chinese market was expected to outperform ICE. This week, recommends short - term observation [71] - Sugar: Last week, import crushing margins edged lower, and the Chinese market was expected to outperform ICE in the medium to long term. This week, recommends short - term observation [75] - Natural Rubber: Last week, there was little change, and the price spread remained stable. Globally, as the tapping season began, there was an expectation of increased supply, but the demand side showed no improvement. This week, recommends observation [78] Overseas Arbitrage - COMEX - LME Copper: Last week, the U.S. White House stated that refined copper was excluded from tariffs, which differed from market expectations, and the premium of COMEX copper over LME copper remained at a low level. This week, recommends observing the COMEX - LME copper arbitrage position [84] - Brent - Dubai EFS: Last week, the Brent - Dubai EFS fluctuated. This week, recommends observation. Although OPEC+ is increasing production, the short - term medium and heavy crude oil may be supported by the profit of middle distillate refined oil, and the re - widening of the light - heavy oil price difference may need to wait. Pay attention to freight disturbances [89][90] - Brent - WTI: Last week, the Brent - WTI spread fluctuated. This week, recommends observation. The U.S. production remains resilient, and refined oil inventories are high, but the expected decline in U.S. production due to falling oil prices may support the U.S. fundamentals, and the spread will fluctuate [95][96] - TTF - NYMEX NG M1: Last week, the spread fluctuated at a low level. In the short term, both Europe and the U.S. are in the off - season for consumption, and freight performance is weak. This week, recommends short - term observation. In the medium term, the expected low temperature in north - western Europe in winter is stronger than that in the U.S., and the European inventory reserve adequacy rate is lower than that in the U.S., so the winter spread is expected to rise [99][100]