Report Industry Investment Rating - Not provided Core View - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on August 18, 2025 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On August 18, 2025, the domestic spot price was 79130, LME spot price was 9671, and the spot ratio was 8.19. The equilibrium ratio for spot import was 8.17, with a profit of 79.57. The domestic March price was 79050, LME March price was 9765, and the March ratio was 8.09 [1] - **Zinc**: The domestic spot price was 22450, LME spot price was 2830, and the spot ratio was 7.93. The equilibrium ratio for spot import was 8.66, with a profit of - 2054.98. The domestic March price was 22530, LME March price was 2836, and the March ratio was 5.92 [1] - **Aluminum**: The domestic spot price was 20710, LME spot price was 2621, and the spot ratio was 7.90. The equilibrium ratio for spot import was 8.47, with a profit of - 1487.44. The domestic March price was 20750, LME March price was 2620, and the March ratio was 7.91 [1] - **Nickel**: The domestic spot price was 119400, LME spot price was 14847, and the spot ratio was 8.04. The equilibrium ratio for spot import was 8.26, with a profit of - 1524.77 [1] - **Lead**: The domestic spot price was 16625, LME spot price was 1942, and the spot ratio was 8.60. The equilibrium ratio for spot import was 8.87, with a profit of - 519.03. The domestic March price was 16855, LME March price was 1986, and the March ratio was 11.33 [3] Cross - Period Arbitrage Tracking - **Copper**: On August 18, 2025, the spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 80, 70, 60, and 60 respectively, while the theoretical spreads were 497, 892, 1296, and 1700 [4] - **Zinc**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 25, 50, 65, and 55 respectively, and the theoretical spreads were 215, 337, 458, and 580 [4] - **Aluminum**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 55, 35, - 10, and - 50 respectively, and the theoretical spreads were 215, 330, 446, and 561 [4] - **Lead**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 120, 125, 145, and 175 respectively, and the theoretical spreads were 209, 313, 418, and 523 [4] - **Nickel**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were - 400, - 230, - 30, and 210 respectively [4] - **Tin**: The 5 - 1 spread was 1190, and the theoretical spread was 5541 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads for the current - month contract - spot and the next - month contract - spot were - 170 and - 90 respectively, and the theoretical spreads were 483 and 933 [4] - **Zinc**: The spreads for the current - month contract - spot and the next - month contract - spot were 30 and 55 respectively, and the theoretical spreads were 204 and 335 [4] - **Lead**: The spreads for the current - month contract - spot and the next - month contract - spot were 105 and 225 respectively, and the theoretical spreads were 199 and 310 [5] Cross - Variety Arbitrage Tracking - On August 18, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.51, 3.81, 4.69, 0.92, 1.23, and 0.75 respectively, and for London (three - continuous) were 3.50, 3.75, 4.93, 0.93, 1.32, and 0.71 respectively [5]

Report Summary 1) Report Industry Investment Rating - No investment rating information is provided in the report. 2) Report's Core View - The report provides cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on August 14, 2025. 3) Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot price is 79,510 (domestic) and 9,763 (LME) with a ratio of 8.11; March price is 79,380 (domestic) and 9,842 (LME) with a ratio of 8.05. Spot import equilibrium ratio is 8.16, and the profit is - 39.06. Spot export profit is 42.08 [1]. - **Zinc**: Spot price is 22,560 (domestic) and 2,840 (LME) with a ratio of 7.95; March price is 22,640 (domestic) and 2,841 (LME) with a ratio of 5.94. Spot import equilibrium ratio is 8.65, and the profit is - 1,994.05 [1]. - **Aluminum**: Spot price is 20,760 (domestic) and 2,624 (LME) with a ratio of 7.91; March price is 20,765 (domestic) and 2,629 (LME) with a ratio of 7.91. Spot import equilibrium ratio is 8.48, and the profit is - 1,492.93 [1]. - **Nickel**: Spot price is 121,750 (domestic) and 15,099 (LME) with a ratio of 8.06. Spot import equilibrium ratio is 8.25, and the profit is - 1,531.68 [1]. - **Lead**: Spot price is 16,725 (domestic) and 1,974 (LME) with a ratio of 8.48; March price is 16,940 (domestic) and 2,017 (LME) with a ratio of 11.21. Spot import equilibrium ratio is 8.85, and the profit is - 719.66 [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 370, 370, 390, and 410 respectively, while the theoretical spreads are 497, 892, 1296, and 1700 [4]. - **Zinc**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 0, 40, 40, and 25 respectively, and the theoretical spreads are 216, 338, 460, and 582 [4]. - **Aluminum**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 35, 10, - 35, and - 70 respectively, and the theoretical spreads are 215, 331, 446, and 562 [4]. - **Lead**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 30, 40, 60, and 85 respectively, and the theoretical spreads are 210, 315, 421, and 526 [4]. - **Nickel**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are - 20, 110, 310, and 600 respectively [4]. - **Tin**: The 5 - 1 spread is 1250, and the theoretical spread is 5593 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads of current - month contract - spot and next - month contract - spot are - 430 and - 60 respectively, and the theoretical spreads are 23 and 517 [4]. - **Zinc**: The spreads of current - month contract - spot and next - month contract - spot are 40 and 40 respectively, and the theoretical spreads are 80 and 211 (also mentioned 78 and 207) [4][5]. - **Lead**: The spreads of current - month contract - spot and next - month contract - spot are 175 and 205 respectively, and the theoretical spreads are 105 and 217 [4]. Cross - Variety Arbitrage Tracking - For cross - variety ratios on August 14, 2025: Copper/Zinc (Shanghai "continuous three") is 3.51, Copper/Aluminum is 3.82, Copper/Lead is 4.69, Aluminum/Zinc is 0.92, Aluminum/Lead is 1.23, Lead/Zinc is 0.75; LME (continuous three) ratios are 3.47, 3.75, 4.93, 0.92, 1.32, and 0.70 respectively [5].

Report Summary 1) Report Industry Investment Rating No information provided. 2) Report's Core View The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on August 13, 2025, which helps investors understand the current price relationships and potential arbitrage opportunities in the non - ferrous metals market [1][4][5]. 3) Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On August 13, 2025, the domestic spot price was 79,160, the LME price was 9,681, and the spot import equilibrium ratio was 8.17 with a profit of 84.82. The March price had a ratio of 8.09 [1]. - **Zinc**: The domestic spot price was 22,510, the LME price was 2,823, and the spot import equilibrium ratio was 8.66 with a profit of - 1927.11. The March price ratio was 5.99 [1]. - **Aluminum**: The domestic spot price was 20,640, the LME price was 2,600, and the spot import equilibrium ratio was 8.49 with a profit of - 1445.13. The March price ratio was 7.94 [1]. - **Nickel**: The domestic spot price was 121,600, the LME price was 15,079, and the spot import equilibrium ratio was 8.25 with a profit of - 2046.03 [1]. - **Lead**: The domestic spot price was 16,775, the LME price was 1,966, and the spot import equilibrium ratio was 8.86 with a profit of - 633.39. The March price ratio was 11.25 [3]. Cross - Period Arbitrage Tracking - **Copper**: On August 13, 2025, the spreads between the next month, March, April, and May and the spot month were 0, 60, 20, and 10 respectively, while the theoretical spreads were 497, 892, 1296, and 1700 [4]. - **Zinc**: The spreads were 35, 55, 55, and 35 respectively, and the theoretical spreads were 216, 338, 460, and 582 [4]. - **Aluminum**: The spreads were 15, - 15, - 60, and - 80 respectively, and the theoretical spreads were 215, 330, 446, and 561 [4]. - **Lead**: The spreads were 80, 90, 105, and 135 respectively, and the theoretical spreads were 209, 314, 420, and 525 [4]. - **Nickel**: The spreads were 540, 670, 840, and 1120 respectively [4]. - **Tin**: The 5 - 1 spread was 1330, and the theoretical spread was 5601 [4]. Cross - Variety Arbitrage Tracking On August 13, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous) were 3.49, 3.82, 4.67, 0.91, 1.22, and 0.75 respectively, and in London (three - continuous) were 3.46, 3.76, 4.88, 0.92, 1.30, and 0.71 respectively [5].

Report Summary Industry Investment Rating - No industry investment rating information is provided in the reports [1][2][3] Core View - The reports present the cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data of non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on August 12, 2025 [1][3] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On August 12, 2025, the domestic spot price was 79140, LME spot price was 9676, and the spot ratio was 8.12. The equilibrium ratio for spot import was 8.18 with a profit of - 117.15. The domestic three - month price was 79050, LME three - month price was 9759, and the three - month ratio was 8.10 [1] - **Zinc**: The domestic spot price was 22530, LME spot price was 2836, and the spot ratio was 7.94. The equilibrium ratio for spot import was 8.66 with a profit of - 2036.17. The domestic three - month price was 22610, LME three - month price was 2840, and the three - month ratio was 5.94 [1] - **Aluminum**: The domestic spot price was 20630, LME spot price was 2609, and the spot ratio was 7.91. The equilibrium ratio for spot import was 8.50 with a profit of - 1542.06. The domestic three - month price was 20690, LME three - month price was 2617, and the three - month ratio was 7.89 [1] - **Nickel**: The domestic spot price was 120900, LME spot price was 15028, and the spot ratio was 8.05. The equilibrium ratio for spot import was 8.26 with a profit of - 1921.73 [1] - **Lead**: The domestic spot price was 16725, LME spot price was 1974, and the spot ratio was 8.47. The domestic three - month price was 16885, LME three - month price was 2009, and the three - month ratio was 11.24. The equilibrium ratio for spot import was 8.86 with a profit of - 765.90 [3] Cross - Period Arbitrage Tracking - **Copper**: On August 12, 2025, the spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month were 560, 590, 570, and 560 respectively, while the theoretical spreads were 494, 887, 1288, and 1689 [3] - **Zinc**: The spreads were 90, 110, 115, and 100 respectively, and the theoretical spreads were 216, 337, 459, and 580 [3] - **Aluminum**: The spreads were 5, - 5, - 40, and - 80 respectively, and the theoretical spreads were 214, 330, 445, and 561 [3] - **Lead**: The spreads were 95, 95, 115, and 160 respectively, and the theoretical spreads were 209, 314, 419, and 524 [3] - **Nickel**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month were 1180, 1330, 1500, and 1730 [3] - **Tin**: The 5 - 1 spread was 1110, and the theoretical spread was 5566 [3] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were - 635 and - 75 respectively, and the theoretical spreads were 26 and 546 [3] - **Zinc**: The spreads were - 30 and 60 respectively, and the theoretical spreads were 92 and 223 (also mentioned with theoretical spreads of 96 and 221) [3] - **Lead**: The spreads of the current - month and next - month contracts relative to the spot were 65 and 160 respectively, and the theoretical spreads were 97 and 209 [3] Cross - Variety Arbitrage Tracking - On August 12, 2025, for cross - variety arbitrage, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous contracts) were 3.50, 3.82, 4.68, 0.92, 1.23, and 0.75 respectively, and in London (three - continuous contracts) were 3.45, 3.76, 4.87, 0.92, 1.30, and 0.71 respectively [3]

Core Insights - Selecting an appropriate ETF arbitrage strategy is crucial for individual investors, considering factors such as capital strength, risk tolerance, professional knowledge, time commitment, and arbitrage space size [1][3]. Group 1: Factors to Consider - Capital strength is essential; strategies like premium-discount arbitrage and cash-futures arbitrage require significant funds, while intraday swing arbitrage and event-driven arbitrage are more suitable for investors with limited capital [1]. - Risk tolerance plays a key role; intraday swing and event-driven arbitrage involve higher risks, while premium-discount and cash-futures arbitrage are more controllable for conservative investors [1]. - Professional knowledge is necessary for premium-discount and cash-futures arbitrage, as they require price trend predictions and basis analysis, making intraday swing and event-driven arbitrage preferable for non-professionals [1]. - Time commitment is a factor; intraday swing arbitrage demands real-time market observation, while event-driven arbitrage requires ongoing information monitoring. Premium-discount arbitrage is more suitable for those with limited time, needing only to track secondary market prices and net asset values [1]. - The size of the arbitrage space is important; selecting ETFs with significant premium-discount effects and low tracking errors can yield higher returns [1]. Group 2: Tools and Strategies - Utilizing quantitative trading tools can significantly reduce the difficulty of arbitrage trading and enhance efficiency [2].

Core Viewpoint - The article discusses the significant rebound in commodity prices driven by the "anti-involution" trend in July, highlighting the opportunities for arbitrage due to the rapid decline in basis rates to historical lows [2]. Group 1: Market Trends - The current market shows a clear near-weak and far-strong pattern, with near-term prices returning to reality as they approach delivery months, emphasizing the importance of warehouse logic [2]. - The article notes that the spot price increases and volatility are not keeping pace with futures prices, creating arbitrage opportunities [2]. Group 2: Arbitrage Costs and Monthly Differences - A detailed analysis of the monthly differences and risk-free arbitrage costs for various commodities is provided, with a funding cost reference of 4% [2]. - Specific examples include PTA with a monthly difference of -36 and an arbitrage cost of 186, and MEG with a monthly difference of -23 and an arbitrage cost of 238 [4]. - The article also highlights the complexities of warehouse registration and cancellation for various commodities, affecting their arbitrage potential [4][5][6]. Group 3: Commodity Specifics - For energy products, the article mentions that the asphalt warehouse registration is concentrated at the end of September, leading to potential expiration of warehouse receipts [4]. - In the black metals sector, the iron ore and rebar products show limited arbitrage space, with specific costs outlined for effective trading [5]. - The agricultural products section indicates that the risk-free arbitrage cost for live hogs is variable, depending on market conditions and production costs [6]. Group 4: Overall Market Strategy - The article emphasizes the need for investors to consider the implications of warehouse logic and registration timelines when engaging in commodity trading [2][4][5]. - It suggests that understanding the monthly differences and associated costs is crucial for making informed investment decisions in the current market environment [2][4].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating. 2. Report's Core View - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for various non - ferrous metals (copper, zinc, aluminum, nickel, lead, and tin) on August 7, 2025. It includes domestic and LME prices, price ratios, spreads, and theoretical spreads, which can be used by investors to analyze potential arbitrage opportunities [1][4][5]. 3. Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: The domestic spot price is 78325, the LME spot price is 9602, with a ratio of 8.19. The equilibrium ratio for spot import is 8.17, and the profit is - 79.58. The domestic three - month price is 78290, the LME three - month price is 9665, with a ratio of 8.10 [1]. - **Zinc**: The domestic spot price is 22330, the LME spot price is 2761, with a ratio of 8.09. The equilibrium ratio for spot import is 8.67, and the profit is - 1602.01. The domestic three - month price is 22370, the LME three - month price is 2771, with a ratio of 6.08 [1]. - **Aluminum**: The domestic spot price is 20630, the LME spot price is 2576, with a ratio of 8.01. The equilibrium ratio for spot import is 8.49, and the profit is - 1251.83. The domestic three - month price is 20605, the LME three - month price is 2575, with a ratio of 8.01 [1]. - **Nickel**: The domestic spot price is 120100, the LME spot price is 14903, with a ratio of 8.06. The equilibrium ratio for spot import is 8.25, and the profit is - 1667.45 [1]. - **Lead**: The domestic spot price is 16700, the LME spot price is 1952, with a ratio of 8.57. The equilibrium ratio for spot import is 8.86, and the profit is - 567.51. The domestic three - month price is 16850, the LME three - month price is 1988, with a ratio of 11.25 [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads for the next - month, three - month, four - month, and five - month contracts relative to the spot month are - 290, - 280, - 290, and - 320 respectively, while the theoretical spreads are 495, 888, 1290, and 1691 [4]. - **Zinc**: The spreads for the next - month, three - month, four - month, and five - month contracts relative to the spot month are 20, 10, 0, and - 35 respectively, while the theoretical spreads are 215, 336, 456, and 577 [4]. - **Aluminum**: The spreads for the next - month, three - month, four - month, and five - month contracts relative to the spot month are 50, 5, - 40, and - 95 respectively, while the theoretical spreads are 214, 329, 444, and 559 [4]. - **Lead**: The spreads for the next - month, three - month, four - month, and five - month contracts relative to the spot month are 140, 135, 165, and 190 respectively, while the theoretical spreads are 209, 313, 418, and 522 [4]. - **Nickel**: The spreads for the next - month, three - month, four - month, and five - month contracts relative to the spot month are 270, 370, 530, and 750 respectively [4]. - **Tin**: The 5 - 1 spread is 780, and the theoretical spread is 5536 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads for the current - month and next - month contracts relative to the spot are 255 and - 35 respectively, while the theoretical spreads are 232 and 624 [4]. - **Zinc**: The spreads for the current - month and next - month contracts relative to the spot are 30 and 50 respectively, and the theoretical spreads are 112 and 242 (also 103 and 234 in another record) [4][5]. - **Lead**: The spreads for the current - month and next - month contracts relative to the spot are 15 and 155 respectively, while the theoretical spreads are 108 and 220 [5]. Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) are 3.50, 3.80, 4.65, 0.92, 1.22, and 0.75 respectively, and for LME (three - continuous) are 3.47, 3.71, 4.85, 0.94, 1.31, and 0.72 respectively [5].

Group 1 - The article emphasizes the importance of selecting suitable ETF arbitrage strategies for individual investors based on their financial strength, risk tolerance, professional knowledge, time availability, and the size of arbitrage opportunities [1][3] - It suggests that investors with limited capital should consider day trading and event-driven arbitrage, while those with more capital can engage in premium-discount and futures arbitrage [1] - The article highlights that different ETF arbitrage strategies have varying risk levels, with premium-discount and futures arbitrage being more controlled in terms of risk compared to day trading and event-driven strategies [1] Group 2 - The need for quantitative trading tools is mentioned, indicating that using algorithmic trading software can significantly reduce the difficulty of arbitrage trading and improve efficiency [2] - The article concludes that by considering the aforementioned factors, individual investors can determine the most suitable ETF investment strategy for themselves [3]

Group 1 - The importance of selecting suitable ETF arbitrage strategies for individual investors is emphasized, considering factors such as capital strength, risk tolerance, professional knowledge, time commitment, and arbitrage space size [1][3] - Individual investors with limited capital should consider day trading and event-driven arbitrage, while those with stronger capital can engage in premium-discount and futures arbitrage [1] - Risk tolerance plays a crucial role, with day trading and event-driven arbitrage being riskier options compared to premium-discount and futures arbitrage, which are more suitable for conservative investors [1] Group 2 - Professional knowledge is essential for premium-discount and futures arbitrage, as they require price trend predictions and basis analysis, making day trading and event-driven arbitrage more accessible for non-professional investors [1] - Time and energy considerations are vital, with day trading requiring real-time market observation and event-driven arbitrage needing continuous information monitoring, while premium-discount arbitrage demands less time [1] - The size of the arbitrage space is critical, as different ETFs exhibit varying arbitrage effectiveness, and selecting ETFs with significant premium-discount effects and low tracking errors can yield higher returns [1][2]

期市有风险，投资需谨慎 政策预期持续发酵，焦煤大涨可否持续？ 黑金聚焦-热点专题 曹颖 黑色金属首席分析师 Z0012043 7 月份以来，先是"反内卷"政策预期引爆了整体工业品的走强，后有各省 转发能源局 108 号文引发了市场对于核查煤矿超产情况的关注度直线上升，从而 导致焦煤走出了久违的剧烈波动行情。如今焦煤期货远月合约价格已经涨超 1200 元/吨，焦煤期指也已超越年初水平，如何评估其上涨的持续性呢？本文尝 试结合对于近期一系列政策信息的一些思考，试图做出些许探讨供参考。 一、政策具体执行有待观察，但在保供基础上出现变化 各地所转发的国家能源局于 2025 年 7 月 10 日印发的关于组织开展煤矿生产 情况核查，促进煤炭供应平稳有序的通知，是本轮上涨行情中市场所关注的焦点。 本次核查范围包括了山西、内蒙古、安徽、河南、贵州、陕西、宁夏、新疆等 8 省（区），要求所有煤矿应合理组织生产，年度原煤产量不得超过公告产能，月 度原煤产量不得超过公告产能的 10%。对超能力生产的煤矿，一律责令停产整改。 目前，有关省（区）正在组织生产煤矿和联合试运转煤矿的生产情况核查，于 8 月 15 日前报送国家能源局，国 ...