中国商品期货跨境套利周报-20260106

Report Industry Investment Rating - Gold: Potential [4] - Silver: Potential [4] - Lead: Potential [4] - Zinc: Potential [4] - Platinum: On hold [4] - Palladium: On hold [4] Core Viewpoints - In 2026, the Fed's monetary policy will remain accommodative, with the USD index ranging between 95 - 102, and the RMB may show a stable upward trend, ranging from 6.8 - 7.2 [6]. - For cross - border arbitrage of various commodities, different strategies are recommended based on market conditions such as price differences, inventory changes, and exchange rate expectations [4][5]. Summary by Directory Precious Metals - Gold: Last week, the price difference between domestic and foreign gold markets fluctuated, and the overseas COMEX - LBMA spread declined. This week, given the relatively high valuation of the price difference and the expected RMB appreciation, it is recommended to go long COMEX and short SHFE [12][13]. - Silver: Last week, the domestic - foreign silver price difference rose and then fell, and the overseas COMEX - LBMA spread decreased. This week, due to the high - level price difference, the tight overseas spot market, and the expected RMB appreciation, it is recommended to go long COMEX and short SHFE [19][20]. - Platinum and Palladium: Last week, the price gap between platinum and palladium narrowed significantly, and the previous high premium was largely restored. This week, it is recommended to close the long/short positions and take profits, and put the positions on hold [26][33]. Non - Ferrous Metals - Copper: In the off - season of demand, domestic copper inventory is still accumulating, and the copper import window remains in a loss state. Cross - market arbitrage is recommended to be on hold [40]. - Aluminum: Domestic aluminum ingots are accumulating, while LME aluminum inventory is decreasing. The short - term exchange ratio fluctuates within a range, and cross - market arbitrage is on hold [45]. - Zinc: In the short term, priced - locked zinc ingots will continue to be imported, and domestic zinc inventory has room to decline, while LME zinc inventory is rising. It is recommended to go long SHFE and short LME [54]. - Lead: Domestic lead ingot social inventory may rise, LME lead inventory is decreasing, and the lead ingot import window is open. It is recommended to go long LME lead and short SHFE lead [60]. - Nickel: The import window remains open, the balance ratio has slightly declined, and domestic and foreign inventories are at relatively high levels. Cross - market arbitrage is on hold [61]. - Tin: The domestic - foreign tin price ratio fluctuated, the spot tin import window is closed, and the import loss is 15,368 yuan/ton. Cross - market arbitrage is on hold [65]. Ferrous Metals - Iron Ore: The iron ore price spread remained in a narrow range with no significant drivers. It is recommended to stay on the sidelines [69]. Energy - Crude Oil: The SC - Brent price spread has been fluctuating. Due to the weakening of Middle - East crude oil spot, high geopolitical uncertainties, and the significant decline in freight rates, it is recommended to wait and see [73][74]. - Natural Gas: The price difference between Europe and the US fluctuated. With expected mild temperatures in January, gas prices in Europe and the US are weak. In the short term, it is recommended to wait and see, and pay attention to the opportunity of spread narrowing when the US gas price rebounds [109]. Agriculturals - Soybean: The crushing profit has been fluctuating at the bottom. Due to the slow progress of Chinese purchases, US soybeans showed a weak downward trend, promoting the recovery of profit levels. It is recommended to wait and see in the short term [79]. - Sugar: Both the domestic and foreign markets rebounded at low levels, and the price difference fluctuated within a narrow range. In the short term, due to the difficulty in increasing imports, the driving force for spread convergence is weak. It is recommended to wait and see [83]. - Natural Rubber: There were no major changes last week, and the spread was in the non - arbitrage range. Supply is expected to increase, but demand has not improved. It is recommended to wait and see [88]. Overseas Arbitrage - COMEX - LME Copper: The negative impact of the Fed's hawkish stance in December has been digested. With the upcoming change of the Fed chair and the strengthening of gold and silver prices, the COMEX - LME copper spread may rise. Also, the expected US copper tariff limits the spread's downside. It is recommended to wait and see [94][95]. - Brent - Dubai EFS: The Brent futures - Dubai swap EFS has been fluctuating. Due to the weakening of Middle - East crude oil spot and the resilient US production, it is recommended to wait and see [99][100]. - WTI - Brent: The WTI - Brent spread has been fluctuating. Although freight rates have declined significantly, the high - level operation of US refineries, stable US crude oil production, and high geopolitical uncertainties limit the spread's driving force. It is recommended to wait and see [105][106]. - Natural Gas (TFU - HH): The price difference has been fluctuating. With expected mild temperatures in January, gas prices in Europe and the US are weak. It is recommended to wait and see in the short term, and pay attention to the opportunity of spread narrowing when the US gas price rebounds [109].