金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 上海东证期货有限公司 股指期货量化策略跟踪周报主要内容 ★股指期货行情简评： 市场上周下跌。分行业看，有色、电子贡献了上证50主要的跌幅；电子、电力设备贡献了沪深300和中证500主要的跌幅；医药生物、电力设备贡献 了中证1000主要的跌幅。 各品种成交环比上行，IH、IF基差走弱，IC、IM基差走强。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： IH、IF基差走弱，IC、IM基差走强，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头 ...

跨期套利跟踪 2025/11/20 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 460 460 460 410 理论价差 530 959 1396 1833 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 15 35 45 85 理论价差 215 336 457 578 铝 次月-现货月 三月-现货月四月-现货月 五月-现货月 价差 150 160 170 195 理论价差 218 337 456 575 铅 次月-现货月 三月-现货 月 四月-现货月 五月-现货月 价差 40 60 40 50 理论价差 211 318 425 532 镍 次月-现货月 三月-现货月 四月-现货 月 五月-现货月 价差 990 1140 1420 1690 锡 5-1 价差 -360 理论价差 6070 期现套利跟踪 2025/11/20 铜 当月合约-现货 次月合约-现货 价差 -430 30 理论价差 - - 锌 当月合约-现货 次月合约-现货 价差 20 35 理论价差 - - 有色套利早报 研究中心有色团队 2025/11/20 铜：跨市套利跟踪 2025/11/20 国内价格 ...

有色套利早报 研究中心有色团队 2025/11/19 铜：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 86000 10647 8.12 三月 85660 10682 8.04 均衡比价 盈利 现货进口 - - 现货出口 - 锌：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 22290 3100 7.19 三月 22345 2971 5.82 均衡比价 盈利 现货进口 - - 铝：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 21460 2752 7.80 三月 21480 2788 7.71 均衡比价 盈利 现货进口 - - 镍：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 118800 14335 8.29 均衡比价 盈利 现货进口 - -2326.46 铅：跨市套利跟踪 2025/11/19 免责声明: 以上内容所依据的信息均来源于交易所、媒体及资讯公司等发布的公开资料或通过合法授权渠道向发布人取得的资讯，我们力求分析及建议内 容的客观、公正，研究方法专业审慎，分析结论合理，但公司对信息来源的准确性和完整性不 ...

专访对冲套利组第一名贺然 当贺然得知自己获得本届全国期货（期权）实盘交易大赛对冲套利组冠军时难掩激动，接受期货日报记 者采访时，他笑着回忆："第一反应是特别开心，差点直接发朋友圈分享。"这份喜悦的背后，是他用7 年时间在盈亏起伏中沉淀的交易哲学。 谈及在本届大赛中取得优异成绩的关键，贺然将答案归结为"坚持自己的策略"。"比赛中经历过利润大 幅回撤，也有近一个月没盈利，心态一度受到影响，甚至怀疑这次能不能取得好成绩，但最后想通了 ——过程正确比结果更重要，只要按策略执行，不要在意名次。"他透露，本次成绩由一笔笔小盈利累 积而成，没有"决定性的一笔交易"，但每一笔都是对交易系统和理念的严格执行。 在风险控制上，贺然有明确的规则："止损必须严格执行。"例如，股指期货单笔亏损超过0.5%必须止 损，单日回撤超过3%必须停止交易。"去年2月初股指连续下跌，如果没有严格执行单日止损线，可能 损失会更大。那次经历让我明白，保护本金是交易的基础，只有保住本金才有后续的机会。" 仓位管理上，他根据市场情况灵活调整："如果对某笔交易特别有把握，日内会用较高杠杆操作；如果 把握一般，只用较低杠杆。但隔夜仓位一定会严格控制，因为意外 ...

免责声明: 以上内容所依据的信息均来源于交易所、媒体及资讯公司等发布的公开资料或通过合法授权渠道向发布人取得的资讯，我们力求分析及建议内 容的客观、公正，研究方法专业审慎，分析结论合理，但公司对信息来源的准确性和完整性不作任何保证，也不保证所依据的信息和建议不会 锌 当月合约-现货 次月合约-现货 价差 75 85 理论价差 - - 铅 当月合约-现货 次月合约-现货 价差 245 125 理论价差 - - 跨品种套利跟踪 2025/11/18 铜/锌 铜/铝 铜/铅 铝/锌 铝/铅 铅/锌 沪（三连） 3.84 3.98 4.98 0.97 1.25 0.77 伦（三连） 3.60 3.83 5.29 0.94 1.38 0.68 国内价格 LME价格 比价 现货 17200 2037 8.48 三月 17355 2054 10.93 均衡比价 盈利 现货进口 - - 跨期套利跟踪 2025/11/18 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -370 -370 -410 -410 理论价差 536 970 1413 1856 锌 次月-现货月 三月-现货月 四月-现货月 五月-现 ...

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 市场上周震荡下跌。分行业看，电子贡献了各指数主要的跌幅。 IH、IF成交环比上行，IC、IM成交环比下行，基差有所走弱。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： 基差有所走弱，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头为主，预计IC、IM的深度贴水格局仍将维 持，建议市场情绪驱动贴水收敛时关注跨期正套的建仓机会。展期策略推荐多近空远。 ★股指期货套利策略跟踪： 跨期套利策略方面，上周各策略上涨，年化基差率、正套和动量因子分别盈利0.2%、0.5%、0.2%（6倍杠杆）。年化基差率因子转向正套信号。 跨品种套利时序合成策略净值上周盈利0. ...

Report Overview - The report is a non - ferrous metals arbitrage morning report released by the non - ferrous metals team of the research center on November 14, 2025, covering cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking for multiple non - ferrous metals [1] Cross - Market Arbitrage Tracking Copper - On November 14, 2025, the domestic spot price was 87,210, the three - month price was 87,580, the LME three - month price was 10,963, and the ratio was 7.96 [1] Zinc - On November 14, 2025, the domestic three - month price was 22,785, the LME three - month price was 3,089, and the ratio was 5.75 [1] Aluminum - On November 14, 2025, the domestic three - month price was 22,050, the LME three - month price was 2,902, and the ratio was 7.58 [1] Lead - On November 14, 2025, the domestic three - month price was 17,670, the LME three - month price was 2,089, and the ratio was 10.85 [1][3] Nickel - On November 14, 2025, the profit from spot import was - 2,084.11 [1] Cross - Period Arbitrage Tracking Copper - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 770, 800, 840, and 810 respectively, with theoretical spreads of 536, 970, 1413, and 1856 [4] Zinc - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 130, 175, 210, and 235 respectively, with theoretical spreads of 216, 338, 460, and 582 [4] Aluminum - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 200, 250, 250, and 265 respectively, with theoretical spreads of 220, 341, 462, and 583 [4] Lead - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 50, 70, 70, and 85 respectively, with theoretical spreads of 213, 322, 431, and 540 [4] Nickel - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 630, 800, 1040, and 1220 [4] Tin - On November 14, 2025, the 5 - 1 spread was - 740, with a theoretical spread of 6161 [4] Spot - Futures Arbitrage Tracking Copper - On November 14, 2025, the spreads between the current - month and next - month contracts and the spot were - 380 and 390 respectively [4] Cross - Variety Arbitrage Tracking - On November 14, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous contracts) were 3.84, 3.97, 4.96, 0.97, 1.25, and 0.78 respectively [5]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core View The report presents the daily arbitrage data of various futures varieties on November 13, 2025, including basis, inter - period spreads, and inter - variety spreads of power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. 3. Summary by Category 3.1 Power Coal - **Basis and Inter - period Spreads**: The basis of power coal on November 12, 2025, was 32.6 yuan/ton, showing an upward trend compared to previous days. The spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month were all 0 [2]. 3.2 Energy Chemicals - **Energy Commodities**: For fuel oil, the basis on November 12, 2025, was 4.45 yuan/ton. The ratio of crude oil to asphalt and other data such as INE crude oil basis were also presented [7]. - **Chemical Commodities** - **Basis**: On November 12, 2025, the basis of rubber was - 470 yuan/ton, methanol was - 13 yuan/ton, PTA was - 85 yuan/ton, LLDPE was 312 yuan/ton, PVC was - 106 yuan/ton, and PP was 35 yuan/ton [9]. - **Inter - period Spreads**: For example, the 5 - month minus 1 - month spread of rubber was 85 yuan/ton, and that of methanol was 105 yuan/ton [10]. - **Inter - variety Spreads**: On November 12, 2025, the spread of LLDPE - PVC was 2199 yuan/ton, LLDPE - PP was 329 yuan/ton, PP - PVC was 1870 yuan/ton, and PP - 3*methanol was 149 yuan/ton [10]. 3.3 Black Metals - **Basis**: On November 12, 2025, the basis of螺纹钢 was 162.0 yuan/ton,铁矿石 was 6.0 yuan/ton,焦炭 was - 84.5 yuan/ton, and焦煤 was 216.0 yuan/ton [20]. - **Inter - period Spreads**: The 5 - month minus 1 - month spread of螺纹钢 was 60.0 yuan/ton,铁矿石 was - 270 yuan/ton,焦炭 was 1435 yuan/ton, and焦煤 was 58.5 yuan/ton [19]. - **Inter - variety Spreads**: On November 12, 2025, the ratio of螺/矿 was 3.94,螺/焦炭 was 17972,焦炭/焦煤 was 1.3889, and螺 - 热卷 was - 219.0 yuan/ton [19]. 3.4 Non - ferrous Metals - **Domestic Market Basis**: On November 12, 2025, the basis of copper was - 190 yuan/ton, aluminum was - 160 yuan/ton, zinc was - 70 yuan/ton, lead was - 250 yuan/ton, nickel was 2060 yuan/ton, and tin was - 1440 yuan/ton [28]. - **London Market**: On November 12, 2025, the LME升贴水 of copper was (14.10), aluminum was (27.55), zinc was 128.30, lead was (23.90), nickel was (203.90), and tin was 51.00. The沪伦比 and CIF and domestic spot prices were also provided [33]. 3.5 Agricultural Products - **Basis**: On November 12, 2025, the basis of豆一 was - 107 yuan/ton,豆二 was 294.81 yuan/ton,豆粕 was - 9 yuan/ton,豆油 was 242 yuan/ton, and玉米 was - 17 yuan/ton [41]. - **Inter - period Spreads**: For example, the 5 - month minus 1 - month spread of豆一 was 43 yuan/ton,豆二 was - 216 yuan/ton [41]. - **Inter - variety Spreads**: On November 12, 2025, the ratio of豆一/玉米 was 1.89,豆二/玉米 was 1.73,豆油/豆粕 was 2.71,豆粕 - 菜粕 was 564 yuan/ton,豆油 - 棕榈油 was - 478 yuan/ton,菜油 - 豆油 was 1538 yuan/ton, and玉米 - 玉米淀粉 was - 312 yuan/ton [40]. 3.6 Stock Index Futures - **Basis**: On November 12, 2025, the basis of沪深300 was 17.91,上证50 was 1.50,中证500 was 88.05, and中证1000 was 116.58 [52]. - **Inter - period Spreads**: The次月 - 当月 spread of沪深300 was - 158,上证50 was - 38,中证500 was - 706, and中证1000 was - 916 [52].

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the provided content. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on November 12, 2025, including basis, inter - period spreads, and inter - variety spreads for different commodity categories such as thermal coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. 3. Summary by Category 3.1 Thermal Coal - Basis data from November 5 to November 11, 2025, shows that the basis increased from - 2.4 yuan/ton on November 5 to 29.6 yuan/ton on November 11 [1][2]. 3.2 Energy Chemicals - **Energy Commodities**: Basis data for fuel oil, INE crude oil, and crude oil/asphalt from November 5 to November 11, 2025, is provided, with values such as - 74.14, - 31.93, etc. [7]. - **Chemical Commodities**: - Basis data for rubber, methanol, PTA, LLDPE, V, and PP from November 5 to November 11, 2025, shows different trends. For example, the basis of rubber changed from - 500 yuan/ton on November 5 to - 395 yuan/ton on November 11 [9]. - Inter - period spreads for rubber, methanol, PTA, etc., are presented, such as the 5 - month minus 1 - month spread for rubber being 75 yuan/ton [10]. - Inter - variety spreads for LLDPE - PVC, LLDPE - PP, etc., are given, with values like 2203 yuan/ton for LLDPE - PVC on November 11 [10]. 3.3 Black Metals - Basis data for rebar, iron ore, coke, and coking coal from November 5 to November 11, 2025, shows fluctuations. For example, the basis of rebar increased from 146 yuan/ton on November 5 to 175 yuan/ton on November 11 [20]. - Inter - period spreads for rebar, iron ore, coke, and coking coal are provided, such as the 5 - month minus 1 - month spread for rebar being 61 yuan/ton [19]. - Inter - variety spreads for rebar/iron ore, rebar/coke, etc., are given, with values like 3.97 for rebar/iron ore on November 11 [19]. 3.4 Non - Ferrous Metals - **Domestic Market**: Basis data for copper, aluminum, zinc, lead, nickel, and tin from November 5 to November 11, 2025, shows different trends. For example, the basis of copper changed from - 350 yuan/ton on November 5 to 20 yuan/ton on November 11 [29]. - **London Market**: LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data for copper, aluminum, etc., on November 11, 2025, are presented. For example, the LME spread of copper is (21.28) [32]. 3.5 Agricultural Products - Basis data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from November 5 to November 11, 2025, shows fluctuations. For example, the basis of soybeans No.1 changed from - 103 yuan/ton on November 5 to - 92 yuan/ton on November 11 [39]. - Inter - period spreads for soybeans No.1, soybeans No.2, etc., are provided, such as the 5 - month minus 1 - month spread for soybeans No.1 being 44 yuan/ton [39]. - Inter - variety spreads for soybeans No.1/corn, soybeans No.2/corn, etc., are given, with values like 1.90 for soybeans No.1/corn on November 11 [38][39]. 3.6 Stock Index Futures - Basis data for CSI 300, SSE 50, CSI 500, and CSI 1000 from November 5 to November 11, 2025, shows different trends. For example, the basis of CSI 300 changed from 30.66 on November 5 to 25.37 on November 11 [50]. - Inter - period spreads for CSI 300, SSE 50, CSI 500, and CSI 1000 are provided, such as the next - month minus current - month spread for CSI 300 being - 144 [50].

CFC商品策略研究作者 | 中信建投期货研究发展部 作者：田亚雄本报告完成时间 | 2025年11月11日 重要提示：本报告观点和信息仅供符合证监会适当性管理规定的期货交易者参考。因本平台暂时无法设 置访问限制，若您并非符合规定的交易者，为控制交易风险，请勿点击查看或使用本报告任何信息。对 由此给您造成的不便表示诚挚歉意，感谢您的理解与配合！ 当前橡胶供应最显著的特征是其刚性约束。这并非源于短期的天气或政策扰动，而是由橡胶树龄结构老 龄化这一根本问题决定的。产能周期已经转向，这意味着即使价格处于相对高位，也难以刺激出大量的 新增供应。 总体而言，橡胶市场正处于"供需弱平衡、库存中性偏低"的状态。短期看，缺乏打破震荡格局的单边驱 动，价格可能继续在当前区间内运行。然而，供应端的刚性约束与需求端的韧性共同构成了价格的底部 支撑。对于投资者而言，相较于追逐单边趋势，关注RU与NR的价差收敛机会可能更具可行性。市场正 在等待一个能够打破当前平衡的强变量，而上述核心因素的演变将决定橡胶何时选择方向，短期维持主 力天胶合约【14800，15500】运行区间的判断。 研究员：田亚雄 期货交易咨询从业信息：Z0012209 ...