Report Industry Investment Rating - Not provided Core Viewpoints - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for various non - ferrous metals including copper, zinc, aluminum, nickel, and lead on February 4, 2026 [1][4][7] Cross - market Arbitrage Tracking Copper - Spot price: domestic 101250, LME 13282, ratio 7.33; March price: domestic 104780, LME 13351, ratio 7.62; equilibrium ratio for spot import 7.87, profit - 650.94; profit for spot export 2095.94 [1] Zinc - Spot price: domestic 25070, LME 3321, ratio 7.55; March price: domestic 25010, LME 3347, ratio 4.97; equilibrium ratio for spot import 8.27, profit - 2405.07 [1] Aluminum - Spot price: domestic 23290, LME 3069, ratio 7.59; March price: domestic 23890, LME 3092, ratio 7.63; equilibrium ratio for spot import 8.35, profit - 2324.16 [1] Nickel - Spot price: domestic 132700, LME 17037, ratio 7.79; equilibrium ratio for spot import 8.03, profit - 1126.11 [1] Lead - Spot price: domestic 16425, LME 1921, ratio 8.56; March price: domestic 16700, LME 1973, ratio 12.72; equilibrium ratio for spot import 8.53, profit 69.19 [3] Cross - period Arbitrage Tracking Copper - Spread between next month and spot month 6810, between March and spot month 7090, between April and spot month 7140, between May and spot month 7190; theoretical spreads are 590, 1079, 1576, 2074 respectively [4] Zinc - Spread between next month and spot month 535, between March and spot month 585, between April and spot month 620, between May and spot month 590; theoretical spreads are 225, 356, 487, 619 respectively [4] Aluminum - Spread between next month and spot month 535, between March and spot month 615, between April and spot month 670, between May and spot month 720; theoretical spreads are 227, 356, 484, 613 respectively [4] Lead - Spread between next month and spot month 55, between March and spot month 115, between April and spot month 190, between May and spot month 265; theoretical spreads are 208, 312, 416, 520 respectively [4] Nickel - Spread between next month and spot month 5330, between March and spot month 5630, between April and spot month 5930, between May and spot month 5980 [4] Tin - Spread between 5 - 1 is - 770, theoretical spread is 7876 [4] Copper (Continuous Contracts) - Spread between current month contract and spot - 3620, between next month contract and spot 3190; theoretical spreads are - 223, 1328 respectively [4] Zinc (Continuous Contracts) - Spread between current month contract and spot - 645, between next month contract and spot - 110; theoretical spreads are 108, 253 (or 124, 340) respectively [4][5] Lead (Continuous Contracts) - Spread between current month contract and spot 160, between next month contract and spot 215; theoretical spreads are 140, 250 respectively [5] Cross - variety Arbitrage Tracking - Copper/zinc: Shanghai (three - continuous) 4.19, London (three - continuous) 4.04; Copper/aluminum: Shanghai 4.39, London 4.34; Copper/lead: Shanghai 6.27, London 6.86; Aluminum/zinc: Shanghai 0.96, London 0.93; Aluminum/lead: Shanghai 1.43, London 1.58; Lead/zinc: Shanghai 0.67, London 0.59 [7]

广发期货有限公司 研究所 投资咨询业务资格：证监许可【2011】1292号 本 2026年1月30日 纪元菲 从业资格：F3039458 投资咨询资格：Z0013180 工业硅月报 供 需 双 减 ， 价 格 低 位 震 荡 月度观点 供需双减，价格低位震荡，关注减产节奏对价格的影响 | 基差 | 1月30日 | 月差 | 1月30日 | | --- | --- | --- | --- | | 华东通氧SI5530工业硅 | 9250 | 主力合约 | 8925 | | 基差（通氧SI5530基准） | 325 | 当月-连一 | -45 | | 华东SI4210工业硅 | 9650 | | | | 基差（SI4210基准） | -75 | 连一-连二 | -25 | | 新疆99硅 | 8700 | 连二-连三 | -20 | | 基差（新疆） | 575 | 连三-连四 | 0 | n 市场概述：工业硅现货企稳，周四、周五期货继续在大型企业减产的消息刺激下上行，随后套利窗口打开，价格回落，整体期货先跌后涨，震荡偏强。主因新疆某 大型企业工业硅计划在1月底开始陆续减产一半，目前该厂区满产，产量约13万吨/月 ...

Report Summary 1. Report Industry Investment Rating - No investment rating provided in the report 2. Report Core View - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, and lead on January 30, 2026 3. Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot domestic price is 105125, LME price is 13820, and the ratio is 7.40; March domestic price is 109400, LME price is 13914, and the ratio is 7.41. The equilibrium ratio for spot import is 7.88, with a profit of 1825.50, and the spot export profit is 4722.22 [1] - **Zinc**: Spot domestic price is 25290, LME price is 3440, and the ratio is 7.35; March domestic price is 26010, LME price is 3462, and the ratio is 4.90. The equilibrium ratio for spot import is 8.28, with a loss of 3182.91 [1] - **Aluminum**: Spot domestic price is 24860, LME price is 3276, and the ratio is 7.59; March domestic price is 25655, LME price is 3300, and the ratio is 7.62. The equilibrium ratio for spot import is 8.29, with a loss of 2318.30 [1] - **Nickel**: Spot domestic price is 142750, LME price is 18503, and the ratio is 7.71. The equilibrium ratio for spot import is 8.03, with a loss of 450.01 [1] - **Lead**: Spot domestic price is 16750, LME price is 1998, and the ratio is 8.39; March domestic price is 17255, LME price is 2046, and the ratio is 12.39. The equilibrium ratio for spot import is 8.53, with a loss of 262.88 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next month, March, April, May and the spot month are 6440, 6730, 6930, 6930 respectively, and the theoretical spreads are 615, 1129, 1651, 2173 respectively [4] - **Zinc**: The spreads between the next month, March, April, May and the spot month are 395, 455, 470, 450 respectively, and the theoretical spreads are 231, 368, 504, 641 respectively [4] - **Aluminum**: The spreads between the next month, March, April, May and the spot month are 40, 105, 150, 195 respectively, and the theoretical spreads are 239, 379, 518, 658 respectively [4] - **Lead**: The spreads between the next month, March, April, May and the spot month are 270, 340, 380, 390 respectively, and the theoretical spreads are 210, 315, 421, 526 respectively [4] - **Nickel**: The spreads between the next month, March, April, May and the spot month are 3100, 3240, 3490, 3400 respectively [4] - **Tin**: The 5 - 1 spread is 840, and the theoretical spread is 9113 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot are - 1485 and 4955 respectively, and the theoretical spreads are 24 and 1543 respectively [4] - **Zinc**: The spreads between the current - month and next - month contracts and the spot are 265 and 660 respectively, and the theoretical spreads are 250 and 403 respectively [5] - **Lead**: The spreads between the current - month and next - month contracts and the spot are 165 and 435 respectively, and the theoretical spreads are 156 and 268 respectively [5] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - consecutive contracts) are 4.21, 4.26, 6.34, 0.99, 1.49, 0.66 respectively, and in London (three - consecutive contracts) are 3.99, 4.23, 6.76, 0.94, 1.60, 0.59 respectively [8]

有色套利早报 研究中心有色团队 2026/01/27 铜：跨市套利跟踪 2026/01/27 国内价格 LME价格 比价 现货 102320 13002 7.74 三月 102210 13073 7.87 均衡比价 盈利 现货进口 7.88 -803.91 现货出口 -667.87 锌：跨市套利跟踪 2026/01/27 国内价格 LME价格 比价 现货 24690 3272 7.55 三月 24795 3299 5.19 均衡比价 盈利 现货进口 8.30 -2461.65 铝：跨市套利跟踪 2026/01/27 国内价格 LME价格 比价 现货 24030 3170 7.58 三月 24285 3177 7.63 均衡比价 盈利 现货进口 8.30 -2279.81 镍：跨市套利跟踪 2026/01/27 国内价格 LME价格 比价 现货 148700 18256 8.15 均衡比价 盈利 现货进口 7.98 913.48 国内价格 LME价格 比价 现货 16925 1979 8.56 三月 17115 2028 12.19 均衡比价 盈利 现货进口 8.53 59.25 跨期套利跟踪 2026/01/ ...

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - Currently, there are no risk - free inter - term arbitrage opportunities for domestic gold, silver, and platinum futures as their term spreads are all less than the term arbitrage costs. However, there is a certain degree of positive term arbitrage opportunity for palladium, as the spread between the PD2608 and PD2612 contracts is 6.5 yuan/gram, slightly larger than the 4 - month term arbitrage cost of 5.48 yuan/gram [4][12]. - There are no statistically significant term arbitrage opportunities for domestic gold futures as the term far - near ratios are all within the 80% confidence interval. For silver futures, since the term far - near ratios are mostly below the 95% confidence interval, investors interested can focus on the statistical term arbitrage strategy of shorting near - month contracts and longing far - month contracts [4][16]. - There are no risk - free spot - futures arbitrage opportunities for domestic gold, silver, platinum, and palladium futures as the spot - futures spreads are all less than the positive or negative spot - futures arbitrage costs. The spot - futures ratio of gold futures is within the 80% confidence interval, while that of silver futures is below the 95% confidence interval. Investors interested can focus on the term arbitrage opportunity of shorting silver TD and longing silver futures [4][23]. - From a statistical perspective, investors interested can focus on the cross - variety arbitrage opportunities of longing London platinum and shorting London silver, longing London gold and shorting London silver, and longing London palladium and shorting London silver. Also, considering the Shanghai gold - silver ratio has reached a historical low and is far below the 95% confidence interval, investors can focus on the cross - variety arbitrage opportunity of longing Shanghai gold and shorting Shanghai silver [4][29][30]. 3. Summary by Relevant Catalogs 3.1 Precious Metal Inter - term Arbitrage - Inter - term arbitrage involves simultaneously going long on a certain month's contract of a futures variety and going short on a different month's contract of the same futures variety. Positive inter - term arbitrage may obtain risk - free returns through warehouse receipt delivery, and enterprises with long - term inventory can reduce inventory costs through reverse inter - term arbitrage. However, reverse inter - term arbitrage without a spot basis and all inter - term arbitrage based purely on statistical analysis are risky [6]. - The main factors affecting the positive inter - term arbitrage cost of gold are the capital cost, which fluctuates with the gold price and market interest rate. For silver, the main factor is also the capital cost, and the trading fee also accounts for a certain proportion. Similar situations apply to platinum and palladium [8][9][11]. - Currently, there are no risk - free inter - term arbitrage opportunities for domestic gold, silver, and platinum futures, but there is a positive term arbitrage opportunity for palladium [4][12]. - For gold and silver, the far - near ratios are used for statistical analysis. Currently, there are no statistically significant term arbitrage opportunities for gold, while for silver, investors can focus on the strategy of shorting near - month contracts and longing far - month contracts [13][16]. 3.2 Precious Metal Spot - Futures Arbitrage - Both positive and negative spot - futures arbitrage can be carried out for gold and silver. For platinum and palladium, only positive spot - futures arbitrage can be considered due to the inability to short - sell in the spot market [18][20]. - The main factor affecting the positive spot - futures arbitrage cost of precious metals is the capital cost, while for negative spot - futures arbitrage, in addition to the capital cost, the deferred compensation fee also has a significant impact [18][19][21]. - Currently, there are no risk - free spot - futures arbitrage opportunities for domestic gold, silver, platinum, and palladium futures. Investors can focus on the term arbitrage opportunity of shorting silver TD and longing silver futures [4][23]. 3.3 Precious Metal Cross - variety Arbitrage - The fundamental basis of cross - variety arbitrage is the inter - connection between different precious metal varieties in supply or demand, which makes the price spreads/ratios fluctuate within a certain range, providing arbitrage opportunities [24]. - For London precious metals, currently, the gold - silver ratio is below the 90% confidence interval but within the 95% confidence interval, and investors can focus on cross - variety arbitrage opportunities such as longing platinum, gold, or palladium and shorting silver. For Shanghai precious metals, the gold - silver ratio has reached a historical low and is far below the 95% confidence interval, so investors can focus on the cross - variety arbitrage opportunity of longing Shanghai gold and shorting Shanghai silver [29][30].

有色套利早报 研究中心有色团队 2026/01/26 铜：跨市套利跟踪 2026/01/26 国内价格 LME价格 比价 现货 100680 12859 7.78 三月 101540 12926 7.84 均衡比价 盈利 现货进口 7.89 -590.48 现货出口 -176.73 锌：跨市套利跟踪 2026/01/26 国内价格 LME价格 比价 现货 24620 3206 7.68 三月 24640 3239 5.30 均衡比价 盈利 现货进口 8.32 -2044.55 铝：跨市套利跟踪 2026/01/26 国内价格 LME价格 比价 现货 24110 3142 7.67 三月 24340 3146 7.73 均衡比价 盈利 现货进口 8.31 -2017.82 镍：跨市套利跟踪 2026/01/26 国内价格 LME价格 比价 现货 144550 18492 7.82 均衡比价 盈利 现货进口 7.99 -1277.12 铅：跨市套利跟踪 2026/01/26 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 ...

Report Industry Investment Rating - Not provided in the report Core View - The report presents the cross - market, cross - period, and cross - variety arbitrage tracking data of non - ferrous metals including copper, zinc, aluminum, nickel, and lead on January 23, 2026, including domestic and LME prices, price ratios, equilibrium price ratios, and profit data [1][3][5] Summary by Directory Cross - Market Arbitrage Tracking - **Copper**: On January 23, 2026, the domestic spot price was 100110, the LME spot price was 12762, with a ratio of 7.89; the domestic three - month price was 100900, the LME three - month price was 12845, with a ratio of 7.83. The equilibrium ratio for spot import was 7.90, with a profit of - 498.98, and the profit for spot export was - 159.97 [1] - **Zinc**: The domestic spot price was 24300, the LME spot price was 3163, with a ratio of 7.68; the domestic three - month price was 24445, the LME three - month price was 3200, with a ratio of 5.34. The equilibrium ratio for spot import was 8.33, with a profit of - 2042.42 [1] - **Aluminum**: The domestic spot price was 23740, the LME spot price was 3110, with a ratio of 7.63; the domestic three - month price was 24100, the LME three - month price was 3129, with a ratio of 7.65. The equilibrium ratio for spot import was 8.32, with a profit of - 2153.83 [1] - **Nickel**: The domestic spot price was 140200, the LME spot price was 17829, with a ratio of 7.86. The equilibrium ratio for spot import was 8.00, with a profit of 427.18 [1] - **Lead**: The domestic spot price was 16900, the LME spot price was 1987, with a ratio of 8.51; the domestic three - month price was 17185, the LME three - month price was 2032, with a ratio of 11.95. The equilibrium ratio for spot import was 8.55, with a profit of - 86.18 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month were - 350, - 150, 70, and 50 respectively, while the theoretical spreads were 607, 1113, 1627, and 2141 [3] - **Zinc**: The spreads were 95, 140, 175, and 180 respectively, and the theoretical spreads were 225, 355, 486, and 616 [3] - **Aluminum**: The spreads were - 30, 15, 55, and 75 respectively, and the theoretical spreads were 231, 364, 496, and 629 [3] - **Lead**: The spreads were 80, 125, 165, and 195 respectively, and the theoretical spreads were 210, 317, 423, and 529 [3] - **Nickel**: The spreads were - 320, - 140, 100, and 140 respectively [3] - **Tin**: The 5 - 1 spread was 3280, and the theoretical spread was 8334 [3] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were 1020 and 670 respectively, and the theoretical spreads were 632 and 1133 [3] - **Zinc**: The spreads were 5 and 100 respectively, and the theoretical spreads were 188 and 329 [3] - **Lead**: The spreads were 160 and 240 respectively, and the theoretical spreads were 182 and 295 [3] Cross - Variety Arbitrage Tracking - The cross - variety ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous contracts) were 4.13, 4.19, 5.87, 0.99, 1.40, and 0.70 respectively; in London (three - continuous contracts) were 3.97, 4.07, 6.31, 0.98, 1.55, and 0.63 respectively [5]

Group 1 - The cryptocurrency market has shown significant signs of institutional shift since January 2026, with $1.2 billion net inflow into the US spot Bitcoin ETF, reversing the funding downturn from late last year and indicating a profound change in market dynamics where large funds are moving from passive arbitrage to active directional buying [1][3] - The $1.2 billion influx coincides with a market structural adjustment period, as the previously popular "cash-and-carry arbitrage" strategy has seen profit margins shrink to around 5.5%, nearly eliminating profit opportunities [1][3] - Institutions are not exiting the market despite the diminishing returns from arbitrage; instead, they are converting their positions into direct bets on long-term price increases, enhancing the support level at current price points [1][3] Group 2 - The continuous decline in market volatility provides an ideal entry point for long-term capital, with Bitcoin's 30-day implied volatility dropping to a quarterly low of 40% [2][4] - Following a rise in precious metals like gold and silver, institutional investors are likely to seek alternative assets that have yet to rally, and Bitcoin's current low volatility aligns with the preferences of "sticky capital" [2][4] - The non-commercial open interest in the CME futures market has surpassed 22,000 contracts, indicating that professional speculators are becoming the main drivers of position growth [2][5] - The microstructural changes in the market may have profound implications for Bitcoin's long-term value, as hedge funds steadily reduce their short positions, gradually releasing "short pressure" in the market [2][5] - Each dollar flowing into the ETF increasingly reflects pure bullish momentum rather than complex structured hedging, as institutional funds shift from "quick money" to "long money," further solidifying Bitcoin's position in diversified asset allocation [2][5]

| | | | | | | | HE STATE W | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | 2026/01/19 | 国贸期货出品 TG国贸期货 | | | | | | | | | | | | 投资咨询业务资格:证监许可[2012] 31号 | | | | | | | | | | | 黑色金属研究中心 | 执业证号 | 投资咨询证号 | | | | | | | | | | 张宝慧 | F0286636 | Z0010820 | | | | | | | | | | 黄志鸿 | F3051824 | Z0015761 | | | | | | | | | | 董子勖 | F03094002 | Z0020036 | | | | | | | | | | 薛夏泽 | F03117750 | Z0022680 | | | | 远月合约收盘价 (元/吨) 元 | RB2610 | HC2610 | 12609 | J2609 | JM2609 | 6000 | | | 400 3 ...

1月15日，中辉期货在山西太原成功举办黑色产业风险管理大会。本次会议得到山西省期货业协会大力支持，汇聚5位 来自期货公司、产业企业、投资机构及咨询领域的核心专家。会议由中辉期货资管部投资经理王维芒主持。 针对处于深度调整与结构重塑期的黑色产业链，会议围绕"风险管理"，从宏观战略、中观市场、微观实战与工具应用 等多维度展开深入探讨。5位嘉宾的分享，展现出产业企业在不确定性中主动管理风险、借助金融工具实现稳健经营 的发展路径。会议吸引全国60余家煤焦钢企业共110名嘉宾参与。 "作为从山西走向全国的金融机构，中辉期货不忘家乡情，通过'晋享汇'项目平台持续联动全国资源，致力于将前沿的 策略与模式带回服务一线，赋能本土企业在波动中行稳致远。"王斌说。 河南驰戍公司韩经博聚焦于专业性极强的月差交易(跨期套利)，分享了其公司从传统的基差贸易到系统化开展做市业 务的经验。 韩经博将月差理解为"基差在盘面的二次反映"，其波动由资金驱动(如交割博弈)和预期驱动(近月反映现实、远月反映 预期)共同决定，核心是"双轮驱动分析框架"：一方面，通过基本面分析定框架，即判断商品所处的周期位置(如底部 启动、牛市顶部、下跌周期等)，结合季 ...