中国商品期货跨境套利周报-20260120

Report Industry Investment Rating - Silver, copper, lead, zinc, and natural gas (TFU-HH) are rated as "Potential" [4] - Gold is rated as "On hold" [4] Report's Core View - The report provides a weekly analysis of China's commodity futures cross - border arbitrage, covering precious metals, non - ferrous metals, ferrous metals, energy, and agricultural products. It gives investment suggestions based on the performance of each variety last week and the current market situation [4][5] Summary by Directory Precious Metals - Gold: Last week, the domestic - overseas price difference and the overseas COMEX - LBMA spread fluctuated. This week, with a neutral valuation of the domestic - overseas spread and the RMB exchange rate oscillating at a high level, it is recommended to wait and see [12] - Silver: Last week, the domestic - overseas spread strengthened while the overseas COMEX - LBMA spread declined. This week, with the domestic - overseas spread at a high level, overseas spot tightness, and RMB appreciation expectations, it is recommended to short the spread by going long on COMEX and short on SHFE [18][19] - Platinum: Last week, the domestic - overseas spread significantly narrowed. This week, it is recommended to wait and see for cross - market arbitrage [25] - Palladium: Last week, the domestic - overseas spread significantly narrowed. This week, it is recommended to wait and see for cross - market arbitrage [31] Non - Ferrous Metals - Copper: Last week, in the off - season of demand, domestic copper inventory continued to accumulate, and the import profit window for forward contracts opened. This week, it is recommended to go long on LME copper and short on SHFE copper in forward contracts [37][38] - Aluminum: Last week, domestic aluminum ingots accumulated while LME aluminum inventory decreased, and the short - term domestic - overseas ratio oscillated. This week, it is recommended to wait and see for cross - market arbitrage [42] - Zinc: Last week, previously locked - price zinc ingots will continue to be imported, and domestic inventory has room to decline while LME inventory is rising slowly. This week, it is recommended to go long on SHFE zinc and short on LME zinc [51] - Lead: Last week, domestic lead ingot inventory may accumulate, LME lead inventory decreased, and the import window opened. This week, it is recommended to go long on LME lead and short on SHFE lead [57] - Nickel: Last week, the import window remained open, the balance ratio oscillated, and inventories were at a relatively high level. This week, it is recommended to wait and see for cross - market arbitrage [58] - Tin: Last week, the domestic - overseas ratio dropped, the import window was closed, and the import loss was 6,187 yuan/ton. This week, it is recommended to wait and see for cross - market arbitrage [62] Ferrous Metals - Iron Ore: Last week, the domestic - overseas spread of iron ore oscillated narrowly with no obvious driver. This week, it is recommended to wait and see [66] Energy - Crude Oil: Last week, the SC - Brent spread rebounded from the bottom. This week, due to weakening Middle - East crude oil spot, high freight, and potential risks from Iran and Russia, it is recommended to wait and see [69] - Natural Gas (TFU - HH): Last week, the price gap rose and then declined. This week, with short - term supply and weather disturbances pushing TTF to a high level, limited high - level support, expected rebound of HH, and falling freight, it is recommended to go long on NYMEX and short on ICE, with a light - position strategy and continuous tracking of cold wave intensity and European inventory [105][106] Agriculturals - Soybean: Last week, the crushing profit oscillated at the bottom, and U.S. soybeans showed a weak downward trend, promoting profit repair. This week, it is recommended to wait and see in the short term [75][76] - Sugar: Last week, the domestic and foreign markets oscillated at a low level, the import volume in the first quarter was at a low point, and the driving force for spread convergence was weak. This week, it is recommended to wait and see in the short term [80] - Natural Rubber: Last week, there were no major changes, and the spread was in the no - arbitrage zone. With expected supply increase and no improvement in demand, it is recommended to wait and see [85] Overseas Arbitrage - COMEX - LME Copper: Last week, the possible personnel change at the Federal Reserve and expected U.S. tariffs on copper may limit the downward space of the spread. This week, it is recommended to wait and see for arbitrage [91] - Brent - Dubai EFS: Last week, the Brent futures - Dubai swap EFS rose and then declined. This week, with weakening Middle - East crude oil spot, low CPC exports, and expected export increase, it is recommended to wait and see [96] - WTI - Brent: Last week, the WTI - Brent spread declined. This week, considering high freight volatility and expected refinery load reduction, the spread is expected to oscillate, and it is recommended to wait and see [101]