有色套利早报 研究中心有色团队 2025/07/14 铜：跨市套利跟踪 2025/07/14 国内价格 LME价格 比价 现货 78670 9662 8.16 三月 78340 9684 8.10 均衡比价 盈利 现货进口 8.16 -220.79 现货出口 -64.09 锌：跨市套利跟踪 2025/07/14 国内价格 LME价格 比价 现货 22450 2772 8.10 三月 22355 2773 6.17 均衡比价 盈利 现货进口 8.65 -1530.73 铝：跨市套利跟踪 2025/07/14 国内价格 LME价格 比价 现货 20790 2607 7.97 三月 20630 2609 7.93 均衡比价 盈利 现货进口 8.50 -1371.41 镍：跨市套利跟踪 2025/07/14 国内价格 LME价格 比价 现货 120300 15058 7.99 均衡比价 盈利 现货进口 8.24 -2894.10 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 锌 当月合约-现货 次月合约-现货 价差 -100 ...

Report Investment Rating - No information provided about the industry investment rating Core Views - The report mainly presents the cross - market, cross - period, and cross - variety arbitrage tracking data of various non - ferrous metals on July 10, 2025, including copper, zinc, aluminum, lead, nickel, and tin [1][4][7] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot price is 79040 (domestic) and 9683 (LME) with a ratio of 8.25; March price is 78200 (domestic) and 9661 (LME) with a ratio of 8.17. Spot import equilibrium ratio is 8.16 with a profit of - 437.33 [1] - **Zinc**: Spot price is 22160 (domestic) and 2719 (LME) with a ratio of 8.15; March price is 22045 (domestic) and 2717 (LME) with a ratio of 6.34. Spot import equilibrium ratio is 8.67 with a profit of - 1420.13 [1] - **Aluminum**: Spot price is 20660 (domestic) and 2583 (LME) with a ratio of 8.00; March price is 20455 (domestic) and 2585 (LME) with a ratio of 7.95. Spot import equilibrium ratio is 8.51 with a profit of - 1323.71 [1] - **Nickel**: Spot price is 118350 (domestic) and 14781 (LME) with a ratio of 8.01. Spot import equilibrium ratio is 8.25 with a profit of - 2437.48 [1] - **Lead**: Spot prices are 17025 and 17195 (domestic), 2032 and 2049 (LME) with ratios of 8.37 and 10.78 respectively. Spot import equilibrium ratio is 8.84 with a profit of - 957.80 [1][3] Cross - Period Arbitrage Tracking - **Copper**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month are - 1440, - 1640, - 1840, and - 2030 respectively, while the theoretical spreads are 501, 900, 1309, and 1717 [4] - **Zinc**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month are 50, - 25, - 80, and - 125 respectively, and the theoretical spreads are 213, 333, 452, and 571 [4] - **Aluminum**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month are - 185, - 245, - 335, and - 410 respectively, and the theoretical spreads are 215, 330, 446, and 561 [4] - **Lead**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month are 70, 90, 85, and 75 respectively, and the theoretical spreads are 211, 317, 424, and 530 [4] - **Nickel**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month are - 1010, - 920, - 720, and - 550 respectively [4] - **Tin**: The 5 - 1 spread is - 610 with a theoretical spread of 5443 [4] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous) are 3.55, 3.82, 4.55, 0.93, 1.19, and 0.78 respectively; in London (three - continuous) are 3.51, 3.71, 4.68, 0.95, 1.26, and 0.75 respectively [7]

铅：跨市套利跟踪 2025/07/08 | | 国内价格 | LME价格 | 比价 | | 均衡比价 | 盈利 | | --- | --- | --- | --- | --- | --- | --- | | 现货 | 16950 | 2018 | 8.41 | | | | | 三月 | 17225 | 2043 | 10.86 | 现货进口 | 8.84 | -854.51 | 跨期套利跟踪 2025/07/08 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -720 -870 -1120 -1350 理论价差 502 902 1311 1720 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -350 -400 -465 -515 理论价差 215 336 458 579 铝 次月-现货月 三月-现货月四月-现货月 五月-现货月 价差 -405 -460 -550 -635 理论价差 215 331 447 563 铅 次月-现货月 三月-现货 月 四月-现货月 五月-现货月 价差 -30 -15 -30 -55 理论价差 211 318 426 533 镍 次月-现货 ...

新华财经北京7月8日电（记者王小璐）今日（7月8日），期货市场迎来新品种，纯苯期货和期权正式上 市。作为重要的化工原料，纯苯期货的上市将是对化工期货产业链的又一有效补充。 供需压力下如何交易？ 展望后市，在供增需弱预期下，机构提示可以单边偏空思路操作或关注跨品种、跨期套利机会。 据大连商品交易所（以下简称"大商所"）公告，纯苯期货首批上市交易合约为BZ2603、BZ2604、 BZ2605、BZ2606四个合约，挂牌基准价均为5900元／吨。市场分析人士认为，该挂牌基准价处于合理 定价范围，考虑到未来纯苯市场面临供增需弱压力，可以单边偏空思路对待，并关注跨品种和跨期套利 机会。 上半年纯苯市场供应承压需求有所支撑 纯苯是重要的有机化工原料，常温下是可燃、有致癌毒性的无色透明液体，并带有强烈的芳香气味。 作为有机化合物一级基本有机原料"三苯、三烯、一炔、一萘"（即纯苯、甲苯、二甲苯、乙烯、丙烯、 丁二烯、乙炔和萘）之一，纯苯产业链上承石油和煤两大基础能源，下接合成树脂、合成纤维、合成橡 胶三大产业，终端产品涉及纺织、家电、轮胎、染料等，在石化产业链中占据重要地位。 我国是世界最大的纯苯生产国、消费国和进口国，近 ...

二 〇 二 五 年 度 2025 年 7 月 6 日 国债期货周报 唐立 投资咨询从业资格号：Z0021100 Tangli@gtht.com 虞堪 投资咨询从业资格号：Z0002804 yukan@gtht.com 报告导读： ◼ 摘要： 国 风险提示： 货币政策力度不及预期、权益市场情绪超预期 泰 君 安 期 货 研 究 所 请务必阅读正文之后的免责条款部分 1 期货研究 ◼ 国债期货上周先下后上。 ◼ 权益市场风险偏好回落，同时央行二季度例会压低市场三季度降息降准预期。 ◼ 国债期货长端合约走强，短端走弱。 ◼ 投机与配置周度净多头持仓均呈现超 10%的较大正增长。 ◼ IRR 回落，正套可了结符合我们 6 月底策略会的判断。 ◼ 维持后市大方向看震荡的观点。适当取舍做多跨期、逢低配置与逢高套保。 期货研究 （正文） 1. 周度聚焦与行情跟踪 国债期货合约周度表现分化。短端合约表现较弱的同时长端较强，曲线有所走平。 图 1：活跃合约走势 图 2：活跃合约周度涨跌幅 资料来源：Wind，国泰君安期货研究 资料来源：Wind，国泰君安期货研究 100 105 110 115 120 125 2024-01 ...

2025 年 07 月 04 日 铝：震荡运行 氧化铝：关注检修复产情况 铸造铝合金：下方有支撑 | T | T-1 | T-5 | T-22 | T-66 | 沪铝主力合约收盘价 | 20680 | 45 | 235 | 525 | -290 | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 沪铝主力合约夜盘收盘价 | 20650 | ー | ー | ー | - | LME铝3M收盘价 | -9 | 21 | -100 | 2606 | 140 | | | 沪铝主力合约成交量 | -32049 | 114240 | -38170 | -13972 | -31124 | 沪铝主力合约持仓量 | 281092 | -2637 | 20543 | 75009 | 21376 | 电解铝 | | LME铝3M成交量 | 19089 | -4436 | 1800 | 1825 | 2467 | LME注销仓单占比 | 2. 30% | -0. 11% | -1. 87% | -13. 78% ...

铅：跨市套利跟踪 2025/07/03 跨期套利跟踪 2025/07/03 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -280 -470 -770 -1000 理论价差 506 910 1323 1736 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -85 -140 -195 -245 理论价差 215 335 456 576 铝 次月-现货月 三月-现货月四月-现货月 五月-现货月 价差 -165 -235 -325 -435 理论价差 215 331 447 563 铅 次月-现货月 三月-现货 月 四月-现货月 五月-现货月 价差 105 120 120 125 理论价差 210 317 423 529 镍 次月-现货月 三月-现货月 四月-现货 月 五月-现货月 价差 690 780 940 1050 锡 5-1 价差 -1000 理论价差 5546 期现套利跟踪 2025/07/03 铜 当月合约-现货 次月合约-现货 价差 -140 -420 理论价差 237 644 锌 当月合约-现货 次月合约-现货 价差 25 -60 理论价差 113 243 国 ...

Report Overview - Report Date: July 2, 2025 - Report Title: Index Futures Basis Series: Maintaining the Strategy of Basis Convergence - Analysts: Yu Kan, Li Honglei 1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The futures market's characteristic of following the upward movement but not the downward movement may indicate investors' expectations for the index market. Coupled with the improvement of fundamentals and the continuation of the low - interest - rate environment, the report is optimistic about the further improvement of the index beta, which will drive the basis to rise. Regulatory policies may bring trillions of incremental funds to the market, increasing the certainty of the index's upward trend. Currently, the basis has returned to a historical low, and the previous strategy ideas can be continued, including enhancing the long - position substitution strategy, mainly using near - month hedging for short - position hedging, and adopting the term reverse arbitrage strategy for inter - period arbitrage [6][20][26] 3. Summary by Directory 3.1 Recent Basis Review - **Market Performance in June**: The A - share market in June showed a "low - first - then - high" structural trend. At the beginning and middle of the month, despite favorable policies, the market risk appetite was not significantly repaired. In the last week, with multiple positive factors, the market risk appetite rapidly increased, trading volume significantly expanded, and the index rose rapidly. Small and micro - cap stocks led the gains, with a monthly increase of over 5% [6][7][8] - **Basis Changes**: In June, the arbitrage trading of eating the basis increased. The basis of IC and IM has been continuously converging since mid - June, while IH and IF remained stable throughout the month. At the end of the month, due to market adjustments and institutional profit - taking pressure, the basis widened rapidly, and each variety's basis returned to a low level in the past three years. The intraday 1 - minute frequency basis of each variety remained highly consistent, indicating systematic expectations. The futures market's characteristic of following the upward movement but not the downward movement reflects investors' expectations for the index market [6][14][20] - **Strategy Performance in June**: The return of the long - position substitution strategy further increased. The excess returns of the IC and IM main contracts compared to the index increased to 2.8% and 12.6% respectively, nearly 2% higher than in May. For short - position hedging, near - month contracts had lower costs, especially in the IC variety. In inter - period arbitrage, the long - far - month and short - near - month strategy gained some profits but suffered a retracement at the end of the month [22] - **Product - End Strategy Adjustment**: In June, there were adjustments in the strategy positions of the product end, showing the characteristics of quick entry and exit. Index - related products were stable with a slight decline, but the scale of A500ETF stabilized and rebounded, and the new issuance of index - enhanced products increased compared to May. The neutral strategy suffered a certain retracement, but the long - short positions increased as the hedging cost decreased. The long - position substitution strategy of futures was evident, and the CTA strategy's futures positions increased rapidly during the index's rise but decreased rapidly at the end of the month, causing the basis to fall back to a historical low and creating an arbitrage space [24][25] 3.2 Long - Position Roll - Over Performance Review - **Performance Data**: In the past 250 trading days, the annualized excess returns of IF, IH, IC, and IM in the long - position roll - over strategy were - 3.6%, 0.9%, 2.1%, and - 4.1% respectively. The benchmark portfolio was set as a weighted combination based on the previous trading day's closing positions of each contract, without considering handling fees. The trading prices in the calculation were the TWAP prices in the first half - hour of the opening [38] 3.3 Short - Position Roll - Over Performance Review - **Performance Data**: In the past 250 trading days, the annualized excess returns of IF, IH, IC, and IM in the short - position roll - over strategy were - 0.2%, - 0.5%, 1.2%, and - 0.3% respectively [45]

Report Summary 1. Report Industry Investment Rating No investment rating provided in the report. 2. Core View The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on July 1, 2025. 3. Summary by Related Catalogs Cross - market Arbitrage Tracking - **Copper**: On July 1, 2025, the domestic spot price was 79,990, the LME price was 10,059, and the ratio was 7.97; the three - month price was 79,680, the LME price was 9,878, and the ratio was 8.07. The equilibrium ratio for spot import was 8.13, with a loss of 1,666.99, and a profit of 1,406.63 for spot export [1]. - **Zinc**: The domestic spot price was 22,500, the LME price was 2,770, and the ratio was 8.12; the three - month price was 22,445, the LME price was 2,780, and the ratio was 6.17. The equilibrium ratio for spot import was 8.64, with a loss of 1,440.41 [1]. - **Aluminum**: The domestic spot price was 20,780, the LME price was 2,598, and the ratio was 8.00; the three - month price was 20,495, the LME price was 2,599, and the ratio was 7.90. The equilibrium ratio for spot import was 8.54, with a loss of 1,404.94 [1]. - **Nickel**: The domestic spot price was 119,900, the LME price was 15,025, and the ratio was 7.98. The equilibrium ratio for spot import was 8.23, with a loss of 2,486.93 [1]. - **Lead**: The domestic spot price was 16,925, the LME price was 2,021, and the ratio was 8.39; the three - month price was 17,225, the LME price was 2,049, and the ratio was 10.94. The equilibrium ratio for spot import was 8.82, with a loss of 875.89 [2]. Cross - period Arbitrage Tracking - **Copper**: The spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were - 210, - 400, - 640, and - 870 respectively, while the theoretical spreads were 502, 903, 1312, and 1722 [3]. - **Zinc**: The spreads were 5, - 45, - 100, and - 155, and the theoretical spreads were 215, 337, 458, and 580 [3]. - **Aluminum**: The spreads were - 200, - 285, - 385, and - 490, and the theoretical spreads were 215, 331, 447, and 563 [3]. - **Lead**: The spreads were 125, 150, 130, and 120, and the theoretical spreads were 210, 317, 423, and 530 [3]. - **Nickel**: The spreads were 510, 590, 730, and 850 [3]. - **Tin**: The 5 - 1 spread was - 1410, and the theoretical spread was 5538 [3]. Spot - futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot were 105 and - 105, and the theoretical spreads were 301 and 714 [3]. - **Zinc**: The spreads were - 10 and - 5, and the theoretical spreads were 130 and 261 [3]. - **Lead**: The spreads were 150 and 275, and the theoretical spreads were 151 and 264 [4]. Cross - variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.55, 3.89, 4.63, 0.91, 1.19, and 0.77 respectively; for LME (three - continuous), they were 3.59, 3.80, 4.83, 0.94, 1.27, and 0.74 [4].

有色套利早报 研究中心有色团队 2025/06/30 铜：跨市套利跟踪 2025/06/30 国内价格 LME价格 比价 现货 80110 10134 7.81 三月 79760 9894 8.09 均衡比价 盈利 现货进口 8.15 -2612.60 现货出口 1836.25 锌：跨市套利跟踪 2025/06/30 国内价格 LME价格 比价 现货 22590 2765 8.17 三月 22345 2765 6.23 均衡比价 盈利 现货进口 8.65 -1338.95 铝：跨市套利跟踪 2025/06/30 国内价格 LME价格 比价 现货 20890 2579 8.10 三月 20480 2579 7.99 均衡比价 盈利 现货进口 8.55 -1159.58 镍：跨市套利跟踪 2025/06/30 国内价格 LME价格 比价 现货 119900 14975 8.01 均衡比价 盈利 现货进口 8.25 -2723.01 或储存上的错误、或遭第三人侵入系统篡改或伪造变造资料等，我们均不承担任何责任。 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 ...