铂：内外盘套利可行性与风险点分析

Report Summary 1. Report's Industry Investment Rating No relevant content provided. 2. Core View The article analyzes the feasibility and risk points of platinum's cross - market arbitrage by sorting out historical price difference data between domestic and overseas platinum markets. It points out that theoretically, cross - market positive arbitrage strategies are highly feasible when the price of platinum on the Guangzhou Futures Exchange is much higher than overseas spot or futures prices, and also reminds investors of the risks involved in cross - market arbitrage operations [1][2]. 3. Summary by Directory 3.1 Feasibility of Cross - Market Arbitrage in Theory - China encourages platinum imports and allows exports. However, China is a net importer of platinum with extremely low domestic production and high import dependence. When the price of platinum on the Guangzhou Futures Exchange is much higher than overseas prices, cross - market positive arbitrage strategies are theoretically highly feasible [2]. - There are essential differences between China's import requirements for platinum and gold. Gold imports are strictly regulated, while platinum imports are managed as regular goods, and since November 1, 2025, platinum has been subject to import - link VAT. Platinum exports are mainly managed as general goods trade, with some special regulations for "unwrought platinum" [3][4][5]. 3.2 Sorting of Platinum's Cross - Market Price Differences - Due to the late listing of domestic platinum futures, the spot price difference between Shanghai Gold Exchange platinum and LME platinum from January 1, 2011, to December 23, 2025, is used as a reference. The import cost of platinum before November 1, 2025, and after is estimated differently, and then the cross - market spot price difference is calculated [6]. - The statistical characteristics of the cross - market price difference show that most of the time, the domestic spot price is lower than the overseas spot price. When the cross - market spot price difference exceeds two standard deviations from the mean, it shows an obvious mean - reversion characteristic [7]. 3.3 Risk Points in Cross - Market Arbitrage Execution - Currently, the price difference between Guangzhou Futures Exchange platinum and COMEX platinum based on closing prices is significantly higher than the historical maximum, indicating a cross - market reverse arbitrage opportunity from a statistical arbitrage perspective. However, cross - market arbitrage in the futures market is affected by many factors, and investors should consider the following risk points [9][11]. - Short - term continuous expansion of cross - market price differences: The cross - market price difference in the futures market may continue to expand due to one - sided market sentiment. Cross - market reverse arbitrage investors should prepare for physical delivery [11]. - Fund and liquidity pressure: During periods of increased price volatility, both the Guangzhou Futures Exchange and COMEX may adjust margin requirements, trading fees, and price limits, increasing capital costs and reducing liquidity. Insufficient capital allocation may lead to forced liquidation [11]. - Mismatch in trading time and holidays: The trading hours of the Guangzhou Futures Exchange and COMEX are different, and their holiday arrangements also vary. During the holiday of one market, the price of the other open market may fluctuate sharply, making it difficult to manage risks in a timely manner [12]. - Policy impact: Policy factors may affect the global logistics of platinum and the cross - market price ratio, causing historical price differences to become invalid [12]. - Exchange rate risk: Arbitrage involves the conversion between RMB and the US dollar. Although the RMB is generally rising against the US dollar, exchange rate fluctuations during the trading period may erode profits [12].