铅：跨市套利跟踪 2025/08/12 有色套利早报 研究中心有色团队 2025/08/12 铜：跨市套利跟踪 2025/08/12 国内价格 LME价格 比价 现货 79140 9676 8.12 三月 79050 9759 8.10 均衡比价 盈利 现货进口 8.18 -117.15 现货出口 -247.43 锌：跨市套利跟踪 2025/08/12 国内价格 LME价格 比价 现货 22530 2836 7.94 三月 22610 2840 5.94 均衡比价 盈利 现货进口 8.66 -2036.17 铝：跨市套利跟踪 2025/08/12 国内价格 LME价格 比价 现货 20630 2609 7.91 三月 20690 2617 7.89 均衡比价 盈利 现货进口 8.50 -1542.06 镍：跨市套利跟踪 2025/08/12 国内价格 LME价格 比价 现货 120900 15028 8.05 均衡比价 盈利 现货进口 8.26 -1921.73 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、 ...

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].

有色套利早报 研究中心有色团队 2025/08/07 铜：跨市套利跟踪 2025/08/07 国内价格 LME价格 比价 现货 78325 9602 8.19 三月 78290 9665 8.10 均衡比价 盈利 现货进口 8.17 -79.58 现货出口 -182.22 锌：跨市套利跟踪 2025/08/07 国内价格 LME价格 比价 现货 22330 2761 8.09 三月 22370 2771 6.08 均衡比价 盈利 现货进口 8.67 -1602.01 铝：跨市套利跟踪 2025/08/07 国内价格 LME价格 比价 现货 20630 2576 8.01 三月 20605 2575 8.01 均衡比价 盈利 现货进口 8.49 -1251.83 镍：跨市套利跟踪 2025/08/07 国内价格 LME价格 比价 现货 120100 14903 8.06 均衡比价 盈利 现货进口 8.25 -1667.45 国内价格 LME价格 比价 现货 16700 1952 8.57 三月 16850 1988 11.25 均衡比价 盈利 现货进口 8.86 -567.51 跨期套利跟踪 2025/08/0 ...

第五，要关注套利空间大小。不同ETF之间套利效果存在差异。选择溢价折价效应明显、跟踪误差小的 ETF作为套利标的，可以获取更多收益。 对个人投资者来说，在各种ETF套利策略中选择适合自己的策略非常重要。选择策略时需要考虑以下几 个方面： 第一，要考虑个人的资金实力。折溢价套利和期现套利需要大额资金进行ETF申购赎回或现货期货交 易。对资金实力一般的个人投资者来说，日内波段套利和事件驱动套利更适合，资金要求相对较低。 第二，要考虑个人的风险偏好。日内波段套利和事件驱动套利风险较大，需要承受一定的资金波动。而 折溢价套利和期现套利相对风险可控。稳健型投资者可以选择后两种策略。 第三，要考虑个人的专业知识。折溢价套利需要预测价格走势和计算套利空间。期现套利需要分析基差 变化。这两种策略对专业知识要求较高。非专业的个人投资者可优先选择日内波段套利和事件驱动套 利。 第四，要考虑个人的时间精力。日内波段套利需要实时观察市场，快速出手。事件驱动套利则需要持续 关注信息获取。对时间精力有限的个人投资者，可以选择折溢价套利，每日仅需观察二级市场价格和一 级市场实时参考净值即可。 第六，可能要使用量化交易工具。利用程序化交易软 ...

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 ...

Core Insights - The article emphasizes the importance of understanding stock index futures as indicators of market trends, akin to meteorological signals in climate changes [1][6][7] Group 1: Stock Index Futures and Market Trends - The "cross-period price difference" in stock index futures reflects market expectations for future trends, with a positive spread indicating optimism and a negative spread signaling increased short-term risk [2] - In Q3 2023, the price difference for the CSI 300 stock index futures expanded from +5 points to +20 points, predicting a subsequent rise in the index driven by improved consumption data, resulting in a 15% excess return for traders who monitored these changes [2] - A volatility ratio between price difference and spot index often indicates an impending acceleration in trends, successfully capturing three major upward movements in tech stocks in 2024 [2] Group 2: Open Interest and Market Sentiment - Changes in open interest can reveal the true intentions of capital flows, with a continuous increase in total open interest and a long-short ratio exceeding 1.5 indicating accumulating trend strength [3] - In Q1 2024, a significant increase in institutional accounts in the long positions of the CSI 500 stock index futures from 30% to 45% led to an 8% rise in the index within a month [3] - A sudden drop in open interest alongside price declines can signal potential market bottoms, as seen in October 2023 when the open interest for the SSE 50 stock index futures decreased by 15% while price declines slowed [3] Group 3: Arbitrage Opportunities - The "risk-free zone" in futures trading indicates when stock index futures prices deviate significantly from spot indices, prompting arbitrage activities to restore balance [5] - In mid-2024, a quantitative team initiated arbitrage when the price difference reached 7%, achieving a 2.3% risk-free return within 14 trading days [5] - The flow of arbitrage funds can signal market conditions, with increased positive arbitrage indicating potential overvaluation of the spot index, while active negative arbitrage may suggest a market bottom [5] Group 4: Contract Rollovers and Capital Movements - The "migration pattern" during contract rollovers reveals the trajectory of major capital movements, with a high rollover transfer rate correlating with subsequent trend strength [6] - In Q2 2024, a rapid increase in the rollover transfer rate for the CSI 1000 stock index futures from 20% to 80% predicted a 12% rise in small-cap stocks [6] - An expansion of backwardation during rollovers may indicate pessimistic expectations for the long-term market, as evidenced by a warning of adjustment risks in Q3 2023 [6]

Core Insights - The essence of futures contract delivery is not merely a point of settlement but a natural transition in the contract lifecycle, serving as a calibration moment for market prices and a testing window for holding strategies [1][2][3] Group 1: Delivery Mechanism - Delivery day acts as a price anchor, reflecting the market consensus on the contract's value, which can help long-term holders assess the effectiveness of their arbitrage strategies [1] - The average price of the underlying index in the last two hours before delivery is used as the settlement price, which helps in correcting any unreasonable price discrepancies [1] Group 2: Strategy Transition - The transition between old and new contracts is crucial for maintaining strategy coherence, with short-term traders advised to monitor the "contract rollover premium" to minimize costs [2] - Long-term investors should plan their rollover strategies based on market expectations, either moving into new contracts before delivery or waiting for clearer trends post-delivery [2] Group 3: Position Assessment - Pre-delivery position assessment is essential for risk management, ensuring that hedging positions align with actual market exposure [3] - Traders must be aware of potential liquidity issues on delivery day, which can lead to unexpected price movements [3] Group 4: Post-Delivery Review - Post-delivery analysis provides an opportunity to identify strategy blind spots and improve future trading decisions, with traders encouraged to maintain a "delivery log" for continuous learning [5] - The process of reviewing actual settlement results against expectations can enhance understanding of market cycles and improve strategy effectiveness over time [5] Group 5: Market Dynamics - Futures delivery is described as a natural rhythm of market operations, where understanding and adapting to this rhythm can lead to more effective trading strategies [5] - Embracing the delivery process rather than resisting it allows traders to better align their strategies with market realities [5]

Report Summary 1. Cross - Market Arbitrage Tracking (2025/07/31) - **Copper**: Spot domestic price is 79,280, LME price is 9,729, and the ratio is 8.12; for the three - month contract, domestic price is 78,940, LME price is 9,776, and the ratio is 8.10. The equilibrium ratio for spot import is 8.19, with a loss of 736.08, and a profit of 93.60 for spot export [1]. - **Zinc**: Spot domestic price is 22,680, LME price is 2,806, and the ratio is 8.08; for the three - month contract, domestic price is 22,695, LME price is 2,809, and the ratio is 6.01. The equilibrium ratio for spot import is 8.68, with a loss of 1,671.47 [1]. - **Aluminum**: Spot domestic price is 20,670, LME price is 2,609, and the ratio is 7.93; for the three - month contract, domestic price is 20,610, LME price is 2,613, and the ratio is 7.90. The equilibrium ratio for spot import is 8.54, with a loss of 1,596.98 [1]. - **Nickel**: Spot domestic price is 120,950, LME price is 14,997, and the ratio is 8.07. The equilibrium ratio for spot import is 8.27, with a loss of 2,175.84 [1]. - **Lead**: Spot domestic price is 16,725, LME price is 1,979, and the ratio is 8.46; for the three - month contract, domestic price is 16,900, LME price is 2,016, and the ratio is 11.28. The equilibrium ratio for spot import is 8.87, with a loss of 808.38 [3]. 2. Cross - Period Arbitrage Tracking (2025/07/31) - **Copper**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month are 100, 110, 70, and - 20 respectively, while the theoretical spreads are 496, 890, 1293, and 1697 [4]. - **Zinc**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month are 60, 85, 95, and 70 respectively, and the theoretical spreads are 216, 338, 460, and 582 [4]. - **Aluminum**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month are - 20, - 35, - 80, and - 120 respectively, and the theoretical spreads are 214, 329, 445, and 560 [4]. - **Lead**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month are 10, 20, 40, and 40 respectively, and the theoretical spreads are 209, 315, 420, and 526 [4]. - **Nickel**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month are 100, 230, 440, and 690 respectively [4]. - **Tin**: The spread of the 5 - 1 contract is 530, and the theoretical spread is 5553 [4]. 3. Spot - Futures Arbitrage Tracking (2025/07/31) - **Copper**: The spreads of the current - month and next - month contracts relative to the spot are - 440 and - 340 respectively, and the theoretical spreads are 221 and 674 [4]. - **Zinc**: The spreads of the current - month and next - month contracts relative to the spot are - 70 and - 10 respectively, and the theoretical spreads are 130 and 262 [4]. - **Lead**: The spreads of the current - month and next - month contracts relative to the spot are 155 and 165 respectively, and the theoretical spreads are 151 and 263 [5]. 4. Cross - Variety Arbitrage Tracking (2025/07/31) - **Copper/Zinc, Copper/Aluminum, Copper/Lead, Aluminum/Zinc, Aluminum/Lead, Lead/Zinc**: The ratios for Shanghai (three - continuous contracts) are 3.48, 3.83, 4.67, 0.91, 1.22, and 0.74 respectively; for London (three - continuous contracts) are 3.48, 3.73, 4.87, 0.93, 1.31, and 0.72 respectively [5].

Core Viewpoint - Options are a unique derivative instrument with a price that should have a certain correlation with the underlying asset's price, and the expiration mechanism creates an "invisible gravity" that pulls the option price back to its theoretical price based on the underlying asset's price [1] Group 1: Principles of Exercise Arbitrage - Exercise arbitrage is a special type of arbitrage that occurs when options are nearing expiration, as their prices become closer to the actual price of the underlying asset [2] - Basis refers to the price difference between synthetic futures and spot prices, where synthetic futures can be created using a combination of call and put options [3] Group 2: Opportunities for Exercise Arbitrage - In the case of undervalued in-the-money call options, the option's strike price is lower than the underlying asset's price, creating an opportunity to buy the call option and sell a higher strike put option to construct a synthetic futures long position [5] - Conversely, in the case of overvalued in-the-money put options, the option's strike price is higher than the underlying asset's price, allowing for the purchase of a high strike call option and the sale of the put option to create a synthetic futures long position [5] Group 3: Operation Process of Exercise Arbitrage - When a significant basis exists, the process begins by going long on synthetic futures through the purchase of call options and the sale of put options [6] - Simultaneously, short selling the underlying asset (e.g., ETF) locks in the risk of price fluctuations during the exercise period [7] - Upon exercise, if the synthetic futures have a low strike price, the bought call option is exercised; if it has a high strike price, the sold put option is exercised [8] - After the exercise concludes, the trader receives the underlying asset to cover the short position [9] Group 4: Key Considerations for Exercise Arbitrage - The key to exercise arbitrage is to observe the basis, as a larger synthetic futures discount increases potential arbitrage profits [10] - Risk management is crucial, achieved by short selling the underlying asset to lock in risks during the exercise period [10] - Patience is required until the exercise concludes before closing positions to realize profits [11]

Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) 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 July 30, 2025, to help investors find potential arbitrage opportunities [1][4][5]. 3) Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot price is 79,030 (domestic) and 9,706 (LME), with a ratio of 8.15; March price is 78,860 (domestic) and 9,758 (LME), ratio 8.09. Spot import equilibrium ratio is 8.17, profit is - 398.80 [1]. - **Zinc**: Spot price is 22,580 (domestic) and 2,804 (LME), ratio 8.05; March price is 22,675 (domestic) and 2,808 (LME), ratio 6.03. Spot import equilibrium ratio is 8.65, profit is - 1,685.62 [1]. - **Aluminum**: Spot price is 20,620 (domestic) and 2,616 (LME), ratio 7.88; March price is 20,590 (domestic) and 2,619 (LME), ratio 7.86. Spot import equilibrium ratio is 8.51, profit is - 1,652.64 [1]. - **Nickel**: Spot price is 120,300 (domestic) and 15,004 (LME), ratio 8.02. Spot import equilibrium ratio is 8.25, profit is - 1,795.71 [1]. - **Lead**: Spot price is 16,750 (domestic) and 1,984 (LME), ratio 8.46; March price is 16,915 (domestic) and 2,016 (LME), ratio 11.22. Spot import equilibrium ratio is 8.85, profit is - 772.80 [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next - month, March, April, May and the spot - month are - 160, - 140, - 180, - 240 respectively, while the theoretical spreads are 497, 892, 1296, 1700 [4]. - **Zinc**: The spreads are 40, 60, 40, - 10, and the theoretical spreads are 216, 338, 460, 582 [4]. - **Aluminum**: The spreads are - 40, - 55, - 110, - 165, and the theoretical spreads are 214, 329, 445, 560 [4]. - **Lead**: The spreads are 20, 35, 55, 110, and the theoretical spreads are 209, 315, 420, 526 [4]. - **Nickel**: The spreads are 300, 430, 610, 870 [4]. - **Tin**: The 5 - 1 spread is 1060, theoretical spread is 5526 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts to the spot are - 10 and - 170, and the theoretical spreads are 296 and 710 [4]. - **Zinc**: The spreads are 35 and 75, and the theoretical spreads are 146 and 278 [4]. - **Lead**: The spreads are 130 and 150, and the theoretical spreads are 151 and 263 [5]. Cross - Variety Arbitrage Tracking - **Domestic (Three - Consecutive Contracts)**: Copper/zinc is 3.48, copper/aluminum is 3.83, copper/lead is 4.66, aluminum/zinc is 0.91, aluminum/lead is 1.22, lead/zinc is 0.75 [5]. - **LME (Three - Consecutive Contracts)**: Copper/zinc is 3.49, copper/aluminum is 3.76, copper/lead is 4.86, aluminum/zinc is 0.93, aluminum/lead is 1.29, lead/zinc is 0.72 [5].