中国商品期货跨境套利周报-20251217

1. Report Industry Investment Rating - Zinc is rated as "Potential" with a strategy of "Long SHFE, Short LME" [4] 2. Core Viewpoints - In the forex market, the overall monetary policy will remain accommodative due to the persistently weak labor market. The USD index is expected to range between 95 - 102 in 2026, and the RMB may show a stable upward trend with a range of 6.8 - 7.2, indicating limited depreciation space and opportunities for appreciation [6] - For zinc, the domestic zinc ingot export window is open, domestic inventory pressure has eased, and LME zinc inventory is gradually increasing. It is recommended to roll - participate in shorting LME zinc and going long on SHFE zinc [4] 3. Summary by Directory 3.1 Precious Metals - Gold: Last week, the internal - external price difference of gold fluctuated, and the overseas COMEX - LBMA price difference also fluctuated. This week, the gold price is expected to rise oscillatingly, the internal - external price difference valuation is neutral, and there is a lack of short - term drivers. It is recommended to wait and see [13] - Silver: Last week, the internal - external price difference of silver fell and then rebounded, and the overseas COMEX - LBMA price difference oscillated and declined. This week, the short - squeeze trading of silver has eased, the risk of high - level price fluctuations has increased, and there is a lack of price difference drivers. It is recommended to wait and see [19] 3.2 Non - Ferrous Metals - Copper: Last week, LME copper inventory increased, and the copper import window remained in a loss state. The cross - market strategy is recommended to wait and see [25] - Aluminum: Last week, domestic aluminum ingots started to accumulate, LME aluminum inventory continued to decline, and the short - term internal - external ratio oscillated within a range. Cross - market arbitrage should wait and see [30] - Zinc: Currently, the domestic zinc ingot export window is open, domestic zinc ingot social inventory is decreasing, and LME zinc inventory is rising. It is recommended to roll - participate in shorting LME zinc and going long on SHFE zinc [36] - Lead: Last week, many domestic primary and secondary lead smelters were under maintenance, the operating rate of lead - acid battery enterprises remained high, domestic lead ingot social inventory remained low, LME lead inventory accumulated again, and the domestic lead ingot import window opened. Cross - market arbitrage should wait and see [42] - Nickel: Last week, the import window was closed, the price difference extreme situation improved significantly, and cross - market arbitrage should wait and see [48] - Tin: Last week, the internal - external ratio of tin increased, the tin spot import window remained closed, the import loss was 15,206 yuan/ton, and the driving force for the tin price difference was not obvious. Cross - market arbitrage should wait and see [52] 3.3 Ferrous Metals - Iron Ore: Last week, the internal - external price difference of iron ore oscillated within a narrow range without obvious drivers. It is recommended to wait and see [56] 3.4 Energy - Crude Oil: Last week, the SC - Brent price difference oscillated. Due to the stability of Middle - East crude oil spot, high - volatility freight, and uncertainty in Russian crude oil supply, it is recommended to wait and see [60] - Natural Gas: Last week, the price difference (TFU - HH) rebounded slightly. The cold - wave trading ended, US production continued to rise, exports temporarily declined, and prices fell back; import costs supported European gas prices to stop falling. In the future, the US temperature is expected to be warmer, and the US dry gas production has reached a high level. The European price is approaching the import cost, and the bottom is strengthening. It is recommended to wait and see and pay attention to the opportunity of price difference narrowing after the rebound [95] 3.5 Agriculturals - Soybean: Last week, the crushing profit oscillated at the bottom. Due to the slow progress of Chinese purchases, US soybeans showed a weak downward trend, which promoted the further recovery of profit levels. It is recommended to wait and see in the short term [66] - Sugar: Last week, the internal - external price difference increased slightly. As the year - end approached, the marginal import volume decreased, and the driving force for the convergence of the internal - external price difference was weak. It is recommended to wait and see in the short term [69] - Natural Rubber: Last week, there was little change, and the price difference remained in the non - arbitrage range. Globally, it is gradually entering the tapping season, with an expected increase in supply, but no improvement on the demand side. It is recommended to wait and see [78] 3.6 Overseas Arbitrage - COMEX - LME Copper: Last week, the negative impact of the Fed's hawkish stance in December has been digested by the market. With the upcoming change of the Fed chairman and the strengthening of gold and silver prices, the price difference between COMEX and LME copper may rise. The market also expects a high probability of the US imposing tariffs on copper, so the downward space of the price difference is limited. It is recommended to wait and see [79] - Brent - Dubai EFS: Last week, the Brent futures - Dubai swap EFS oscillated. Due to the weak operation of Middle - East crude oil spot, the resilience of US production, and limited short - term guidance, it is recommended to wait and see [84] - WTI - Brent: Last week, the WTI - Brent price difference oscillated. With the US refinery operating rate returning to a high level, the pressure of refined oil inventory increasing year - on - year, and stable crude oil production, the price difference driver is limited. It is recommended to wait and see [90] - Natural Gas (TFU - HH): As mentioned above, after the cold - wave trading ended, the price difference rebounded slightly. It is recommended to wait and see and pay attention to the opportunity of price difference narrowing after the rebound [95]