Report Industry Investment Ratings - Cotton: ☆☆☆, indicating a relatively balanced short - term long/short trend with poor operability on the current market [1] - Pulp: ★☆☆, suggesting a bullish/ bearish bias with a driving force for price movement, but limited operability on the market [1] - Sugar: ☆☆☆, representing a relatively balanced short - term long/short trend and poor operability [1] - Apple: ☆☆☆, showing a relatively balanced short - term long/short trend and poor operability [1] - Timber: ☆☆☆, indicating a relatively balanced short - term long/short trend and poor operability [1] - Natural Rubber: ★☆☆, suggesting a bullish/ bearish bias with a driving force for price movement, but limited operability on the market [1] - 20 - rubber: ★☆☆, indicating a bullish/ bearish bias with a driving force for price movement, but limited operability on the market [1] - Butadiene Rubber: ★☆☆, suggesting a bullish/ bearish bias with a driving force for price movement, but limited operability on the market [1] Core Views - The cotton market has support from low commercial inventories and fast sales progress, but short - term upward space is still cautiously viewed. The sugar market is expected to remain weak. The apple market has increased long - short divergence, and the focus is on de - stocking. The natural rubber and synthetic rubber markets have different supply and demand and inventory situations, with opportunities for cross - variety arbitrage. The pulp market is in a situation of high inventory and weak demand. The timber market has low - inventory support [2][3][4][6][7] Summary by Commodity Cotton & Cotton Yarn - Zhengzhou cotton has broken through the previous trading range. Although new cotton production has increased significantly this year, commercial inventories are not high, and sales progress is fast, providing strong support to the market. The market has a certain bullish expectation for the new - year planting in China. Pure cotton yarn prices are stable, with insufficient new orders. After the breakthrough of Zhengzhou cotton, the industry can pay attention to hedging opportunities, and the operation is to wait and see or go long lightly on dips [2] Sugar - Overnight, US sugar fluctuated. Brazil's sugar production will remain high. In the Northern Hemisphere, India and Thailand are gradually starting to crush, and sugar production is expected to increase year - on - year. In China, Zhengzhou sugar is running weakly. The market's trading focus is shifting to the next season's output estimate. Overall, sugar prices are expected to remain weak [3] Apple - The futures price is running strongly. In the spot market, transactions in Shandong are mainly for small and medium - sized fruits, and prices in the northwest are stable. As of November 20, the national cold - storage apple inventory is 733 million tons, a year - on - year decrease of 12.73%. The market's trading logic has shifted from cold - storage inventory to sales expectations. The de - stocking situation will be the main trading point in the future [4] 20 - rubber, Natural Rubber & Synthetic Rubber - The futures prices of natural rubber RU and 20 - rubber NR continued to rise slightly, and the butadiene rubber BR futures price fluctuated. The global natural rubber supply is in a high - yield period, but the Yunnan产区 in China has entered the non - production period. The operating rate of domestic butadiene rubber plants has dropped significantly. The demand performance is average, natural rubber inventories are increasing, synthetic rubber inventories are starting to decrease, and there are opportunities for cross - variety arbitrage [6] Pulp - Pulp futures rose slightly. As of November 27, 2025, the inventory of mainstream pulp ports in China was 217.2 million tons, a decrease of 0.1 million tons from the previous period, with a month - on - month decrease of 0.05%. The supply is loose, demand is weak, and the basis has narrowed significantly. The operation is to wait and see [7] Timber - The futures price is fluctuating, and the spot price is stable. The external market price is still high, and domestic supply is expected to remain low. Port outbound volume is above 60,000 cubic meters, and low inventory supports the price. The operation is to wait and see [8]

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on November 28, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - variety spreads [1][5][20][26][36][46] 3. Summary by Relevant Catalogs 3.1 Power Coal - The basis data for different contract spreads (May - January, September - January, September - May) from November 21 to November 27, 2025, are presented. For example, on November 27, the basis of May - January was 16 yuan/ton, and the basis of September - January was 6 yuan/ton [2] 3.2 Energy Chemicals 3.2.1 Energy Commodities - The basis data of energy commodities such as fuel oil, INE crude oil, and the ratio of crude oil to asphalt from November 21 to November 27, 2025, are provided. For example, on November 27, the basis of fuel oil was - 10.13 yuan/ton, and the ratio of INE crude oil to asphalt was 0.1475 [7] 3.2.2 Chemical Commodities - **Inter - period spreads**: The inter - period spreads (May - January, September - January, September - May) of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the May - January inter - period spread of LLDPE was 56 yuan/ton [9] - **Inter - variety spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from November 21 to November 27, 2025, are presented. For example, on November 27, the LLDPE - PVC spread was 2214 yuan/ton [9] 3.3 Black Metals - **Inter - period spreads**: The inter - period spreads (May - January, September(10) - January, September(10) - May) of rebar, iron ore, coke, and coking coal are provided. For example, the May - January inter - period spread of rebar was 16 yuan/ton [19] - **Inter - variety spreads**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from November 21 to November 27, 2025, are presented. For example, on November 27, the rebar/iron ore ratio was 3.88 [19] - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from November 21 to November 27, 2025, are given. For example, on November 27, the basis of rebar was 127.0 yuan/ton [20] 3.4 Non - Ferrous Metals 3.4.1 Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from November 21 to November 27, 2025, are presented. For example, on November 27, the basis of copper was 30 yuan/ton [29] 3.4.2 London Market - On November 27, 2025, the LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) are provided. For example, the LME spread of copper was 16.56, and the Shanghai - London ratio was 7.95 [32] 3.5 Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from November 21 to November 27, 2025, are given. For example, on November 27, the basis of soybeans No.1 was - 86 yuan/ton [36] - **Inter - period spreads**: The inter - period spreads (May - January, September - January, September - May) of various agricultural products are presented. For example, the May - January inter - period spread of soybeans No.1 was 51 yuan/ton [36] - **Inter - variety spreads**: The inter - variety spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc. on November 27, 2025, are provided. For example, the ratio of soybeans No.1 to corn was 1.83 [36] 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from November 21 to November 27, 2025, are presented. For example, on November 27, the basis of CSI 300 was 22.80 [47] - **Inter - period spreads**: The inter - period spreads (next month - current month, next quarter - current quarter) of CSI 300, SSE 50, CSI 500, and CSI 1000 are provided. For example, the next month - current month spread of CSI 300 was - 152 [47]

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - The platinum and palladium futures are set to be listed on the Guangzhou Futures Exchange on November 27, 2025. The theoretical values of platinum and palladium on the listing day are lower than the benchmark prices, so the prices may initially decline to approach the forward parity structure. However, considering the high trading activity at the beginning of the domestic futures listing, the prices may first rise. In the long - term, the fundamentals of platinum and palladium are differentiated. Platinum has a stable and good fundamental situation and is expected to rise in the medium - to - long term, with a price range of 400 - 480 yuan/gram in the first half of next year. Palladium's demand is expected to remain weak, but its price center may rise slightly, with a price range of 350 - 420 yuan/gram in the first half of next year [2][41]. - Various investment strategies are proposed, including single - side strategies, spot - futures strategies, inter - period strategies, cross - variety strategies, and cross - market strategies [2][3]. 3. Summary by Relevant Catalogs 3.1 Platinum Futures Contract Key Element Analysis - **Contract Details**: Platinum futures will be listed on November 27, 2025. The first batch of listed contracts are PT2606, PT2608, and PT2610, with PT2606 expected to be the most active and the main contract. The listing price of each contract on the first day is 405 yuan/gram. The trading margin level on the listing day is 9% of the contract value, and the daily price limit range is 14% of the benchmark price. If the contract has trading volume, from the next trading day, the trading margin level is 9% of the contract value, and the daily price limit range is 7% of the previous trading day's settlement price. Otherwise, the margin and limit range of the listing day will continue to apply [8]. - **Delivery Product Standards**: The benchmark delivery product of platinum futures requires a purity of not less than 99.95%. The impurity element content is specified according to different forms and sources, with different requirements for domestic and imported platinum ingots, spongy platinum, and powdered platinum [10]. - **Delivery Warehouse Settings and Regions**: Platinum futures have three types of delivery locations: warehouses, production - type factory warehouses, and trading - type factory warehouses. The first batch of factory warehouses and warehouses are all benchmark warehouses without any premium or discount. The maximum capacity of platinum in the Guangzhou Futures Exchange is 50.25 tons, with warehouses accounting for 79.6% and factory warehouses accounting for 20.4%. Factory warehouses are mainly concentrated in Jiangsu and Shanghai, and warehouses are concentrated in Shanghai [14][15]. - **Delivery Brand Settings**: Platinum futures implement a brand - based delivery system. There are 14 domestic registered brands and 26 overseas registered brands. Different brands can deliver different forms of platinum products [18]. 3.2 Palladium Futures Contract Key Element Analysis - **Contract Details**: Palladium futures will be listed on November 27, 2025. The first batch of listed contracts are PD2606, PD2608, and PD2610, with PD2606 expected to be the most active and the main contract. The listing price of each contract on the first day is 365 yuan/gram. The trading margin level on the listing day is 9% of the contract value, and the daily price limit range is 14% of the benchmark price. If the contract has trading volume, from the next trading day, the trading margin level is 9% of the contract value, and the daily price limit range is 7% of the previous trading day's settlement price. Otherwise, the margin and limit range of the listing day will continue to apply [21]. - **Delivery Product Standards**: The benchmark delivery product of palladium futures requires a purity of not less than 99.95%. The impurity element content is specified according to different forms and sources, with different requirements for domestic and imported palladium ingots, spongy palladium, and powdered palladium [24]. - **Delivery Warehouse Settings and Regions**: Palladium futures have three types of delivery locations: warehouses, production - type factory warehouses, and trading - type factory warehouses. The first batch of factory warehouses and warehouses are all benchmark warehouses without any premium or discount. The maximum capacity of palladium in the Guangzhou Futures Exchange is 42.705 tons, with warehouses accounting for 93.67% and factory warehouses accounting for 6.33%. Factory warehouses are mainly concentrated in Yunnan and Gansu, and warehouses are concentrated in Shanghai [27][28]. - **Delivery Brand Settings**: Palladium futures implement a brand - based delivery system. There are 13 domestic registered brands and 24 overseas registered brands. Different brands can deliver different forms of palladium products [29]. 3.3 Platinum and Palladium Futures Investment Outlook - **Single - side Strategy on the Listing Day**: The theoretical values of platinum and palladium on the listing day are lower than the benchmark prices. In the short - term, the prices may decline to approach the forward parity structure. However, considering the high trading activity at the beginning of the domestic futures listing, the prices may first rise. From a fundamental perspective, the prices may show a pattern of rising first and then falling. In the next 12 months, the prices of platinum and palladium are expected to fluctuate narrowly downward. In the medium - to - long term, platinum is expected to rise, with a price range of 400 - 480 yuan/gram in the first half of next year, while palladium's price center may rise slightly, with a price range of 350 - 420 yuan/gram in the first half of next year [2][39][41]. - **Spot - Futures Strategy Cost Calculation**: Taking the strategy of buying spot and selling the 2606 contract as an example, the cost of the platinum spot - futures strategy is about 7.5 yuan/gram, and the cost of the palladium spot - futures strategy is about 6.7 yuan/gram. If relevant opportunities arise, risk - free arbitrage strategies can be considered [43][44]. - **Inter - period Strategy**: Due to the regulation that the platinum and palladium delivery factories in the Guangzhou Futures Exchange will be uniformly cancelled in August each year, the price of the 2608 contract may be under pressure. Therefore, the inter - period strategy can consider buying the 2606 contract and selling the 2610 contract. When the price of PT2610 is about 5.1 yuan/gram higher than PT2606, and the price of PD2610 is about 4.6 yuan/gram higher than PD2606, there are risk - free positive arbitrage opportunities [48]. - **Cross - variety Strategy**: Based on the differentiated fundamentals of platinum and palladium, the cross - variety arbitrage strategy considers going long on platinum and short on palladium. If the platinum - to - palladium ratio approaches 1 after the contract listing, an arbitrage position can be considered, with a target ratio of 1.2 - 1.3 [53]. - **Cross - market Strategy**: There may be positive risk - free arbitrage opportunities in the cross - market part, which can be achieved by selling domestic futures and buying overseas spot forwards. The break - even points of this type of strategy are about 46.2 yuan/gram for platinum and about 42.9 yuan/gram for palladium [62].

铅：跨市套利跟踪 2025/11/26 国内价格 LME价格 比价 现货 16950 1950 8.72 三月 17045 1986 11.28 均衡比价 盈利 现货进口 8.70 34.58 有色套利早报 研究中心有色团队 2025/11/26 铜：跨市套利跟踪 2025/11/26 国内价格 LME价格 比价 现货 86620 10867 7.93 三月 86600 10857 7.99 均衡比价 盈利 现货进口 8.04 -787.48 现货出口 269.01 锌：跨市套利跟踪 2025/11/26 国内价格 LME价格 比价 现货 22400 3130 7.16 三月 22380 3009 5.67 均衡比价 盈利 现货进口 8.47 -4106.26 铝：跨市套利跟踪 2025/11/26 国内价格 LME价格 比价 现货 21440 2789 7.69 三月 21505 2820 7.63 均衡比价 盈利 现货进口 8.32 -1760.57 镍：跨市套利跟踪 2025/11/26 国内价格 LME价格 比价 现货 119500 14494 8.24 均衡比价 盈利 现货进口 8.14 -1774 ...

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the provided report. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on November 26, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, mainly showing the basis, inter - period, and inter - variety data of each variety. 3. Summary by Directory Power Coal - The basis data of power coal from November 19 to November 25, 2025, is presented, with the basis on November 25 being 21.6 yuan/ton, and it was 32.6 yuan/ton from November 19 to 24 [1][2]. Energy Chemicals - **Energy Commodities**: The basis, ratio, and other data of fuel oil, crude oil, and asphalt from November 19 to November 25, 2025, are shown. For example, the basis of INE crude oil on November 25 was 1.72 yuan/ton [7]. - **Chemical Commodities**: - Basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from November 19 to November 25, 2025, are provided. For instance, the basis of rubber on November 25 was - 275 yuan/ton [9]. - Inter - period data of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - month minus 1 - month inter - period of rubber was 80 yuan/ton [10]. - Inter - variety data of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from November 19 to November 25, 2025, are presented. For example, the LLDPE - PVC value on November 25 was 2288 yuan/ton [10]. Black Metals - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from November 19 to November 25, 2025, are shown. For example, the basis of rebar on November 25 was 164 yuan/ton [21]. - **Inter - period**: The inter - period data of rebar, iron ore, coke, and coking coal are provided. For example, the 5 - month minus 1 - month inter - period of rebar was 23 yuan/ton [20]. - **Inter - variety**: The inter - variety data of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot - rolled coil from November 19 to November 25, 2025, are presented. For example, the rebar/iron ore value on November 25 was 3.90 [20]. Non - Ferrous Metals - **Domestic Market**: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from November 19 to November 25, 2025, are shown. For example, the basis of copper on November 25 was 70 yuan/ton [29]. - **London Market**: The LME premium/discount, Shanghai - London ratio, CIF, domestic spot price, and import profit/loss data of LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) on November 25, 2025, are presented. For example, the LME premium/discount of copper was 9.52 [32]. Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from November 19 to November 25, 2025, are shown. For example, the basis of soybeans No.1 on November 25 was - 88 yuan/ton [38]. - **Inter - period**: The inter - period data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are provided. For example, the 5 - month minus 1 - month inter - period of soybeans No.1 was 52 yuan/ton [38]. - **Inter - variety**: The inter - variety data of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, and corn - corn starch from November 19 to November 25, 2025, are presented. For example, the soybeans No.1/corn value on November 25 was 1.85 [37]. Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from November 19 to November 25, 2025, are shown. For example, the basis of CSI 300 on November 25 was 17.40 [49]. - **Inter - period**: The inter - period data of the next - month minus current - month and next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are provided. For example, the next - month minus current - month inter - period of CSI 300 was - 152 [49].

有色套利早报 研究中心有色团队 2025/11/25 铜：跨市套利跟踪 2025/11/25 国内价格 LME价格 比价 现货 86240 10802 7.97 三月 86100 10777 8.00 均衡比价 盈利 现货进口 8.07 -1067.61 现货出口 507.43 锌：跨市套利跟踪 2025/11/25 国内价格 LME价格 比价 现货 22370 3148 7.11 三月 22410 3008 5.71 均衡比价 盈利 现货进口 8.49 -4351.18 铝：跨市套利跟踪 2025/11/25 国内价格 LME价格 比价 现货 21360 2773 7.70 三月 21410 2806 7.62 均衡比价 盈利 现货进口 8.34 -1774.32 镍：跨市套利跟踪 2025/11/25 国内价格 LME价格 比价 现货 119900 14370 8.34 均衡比价 盈利 现货进口 8.17 -1692.67 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 ...

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided report. 2. Core Viewpoints of the Report - The report presents a daily update on futures arbitrage data for various commodities on November 24, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1][5][21][27][39][52]. 3. Summary by Relevant Catalogs Power Coal - The report shows the basis and spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of power coal from November 17 to 21, 2025. The basis remained at 32.6 yuan/ton during this period, and all spreads were 0 [2]. Energy Chemicals Energy Commodities - The basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from November 17 to 21, 2025 are provided, along with price changes such as - 8.81, - 14.21, etc [7]. Chemical Commodities - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, V, and PP from November 17 to 21, 2025 are presented. For example, the basis of rubber on November 21 was - 490 yuan/ton [9]. - **Inter - period Spreads**: The 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For instance, the 5 - 1 month spread of rubber was 65 yuan/ton [10]. - **Inter - commodity Spreads**: The spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from November 17 to 21, 2025 are shown. On November 21, the LLDPE - PVC spread was 2330 yuan/ton [10]. Black Metals - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from November 17 to 21, 2025 are provided. For example, the basis of rebar on November 21 was 173.0 yuan/ton [21]. - **Inter - period Spreads**: The 5 - 1 month, 9(10) - 1 month, and 9(10) - 5 month spreads of rebar, iron ore, coke, and coking coal are presented. The 5 - 1 month spread of rebar was 42.0 yuan/ton [20]. - **Inter - commodity Spreads**: The ratios of rebar to iron ore, rebar to coke, coke to coking coal, and the spread of rebar - hot rolled coil from November 17 to 21, 2025 are given. On November 21, the rebar/iron ore ratio was 3.89 [20]. Non - ferrous Metals Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from November 17 to 21, 2025 are provided. For example, the basis of copper on November 21 was 20 yuan/ton [31]. London Market - On November 21, 2025, the LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) are presented. For example, the LME spread of copper was 1.06 [34]. Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from November 17 to 21, 2025 are provided. For example, the basis of soybeans No.1 on November 21 was - 89 yuan/ton [39]. - **Inter - period Spreads**: The 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads of various agricultural products are given, including soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc. For example, the 5 - 1 month spread of soybeans No.1 was 42 yuan/ton [39]. - **Inter - commodity Spreads**: The ratios and spreads such as soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc. on November 21, 2025 are presented. For example, the soybeans No.1/corn ratio was 1.88 [39]. Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from November 17 to 21, 2025 are provided. For example, the basis of CSI 300 on November 21 was 71.22 [52]. - **Inter - period Spreads**: The 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads of CSI 300, SSE 50, CSI 500, and CSI 1000 are presented. For example, the 5 - 1 month spread of CSI 300 was - 408 [50].

1. Report Industry Investment Rating - No information provided in the content. 2. Core Viewpoints of the Report - The stock index futures market showed a downward trend last week, with different industries contributing to the declines of various indices. The basis of different stock index futures contracts showed different trends, and the hedging demand on stock index futures remained mainly short - sided. For commodity factors, momentum, term structure, and value - based factors performed well, while other factors declined slightly. There are potential risks of factor return retracement in the short - term, but long - term performance is still optimistic. In the bond futures market, the IRR of bond futures declined, the basis strengthened, and the inter - period spread was volatile and weak [3][55]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market declined last week.有色、电子 contributed to the decline of the Shanghai 50 Index; 电子、电力设备 contributed to the decline of the CSI 300 and CSI 500; 医药生物、电力设备 contributed to the decline of the CSI 1000 [3]. - The trading volume of each variety increased month - on - month. The basis of IH and IF weakened, while that of IC and IM strengthened. IH remained at a premium, IF at a shallow discount, and IC and IM at a deep discount [4]. 3.1.2 Strategy Recommendations - **Basis Strategy**: It is recommended to pay attention to the opportunity of inter - period positive arbitrage when the discount converges driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - **Arbitrage Strategy**: - **Inter - period Arbitrage**: Last week, the net value of each strategy varied. The annualized basis rate, positive arbitrage, and momentum factor had returns of 0.5%, 0.1%, and - 0.1% respectively (6 - times leverage). The annualized basis rate factor turned to a positive arbitrage signal [5]. - **Inter - variety Arbitrage**: The net value of the inter - variety time - series synthetic strategy gained 0.5% last week. The latest signal recommends a 50% position to go long on IF and short on IC, and a 50% position to go long on IM and short on IC [6]. - **Timing Strategy**: The daily timing strategies generally made profits last week. The Shanghai 50, CSI 300, CSI 500, and CSI 1000 had returns of - 1.2%, 1.0%, 2.5%, and 0.2% respectively. The timing model's latest signal showed a significant increase in bullish sentiment and was bullish on all indices [7]. 3.2 Bond Futures 3.2.1 Basis and Inter - period Spread - The IRR of bond futures declined this week, the basis strengthened, and the inter - period spread was volatile and weak. It is recommended to pay attention to the positive arbitrage opportunity caused by a slight widening of the inter - period spread [41]. 3.2.2 Unilateral Strategy - The bond futures market was volatile last week. The daily - frequency timing strategy signals were mainly bullish, with the main bullish factors including basis, intraday volume - price, and high - frequency capital flow, and the main bearish factors including inter - day technology and member positions [42]. 3.2.3 Interest Rate Timing Signal - The interest rate timing signal predicts an upward movement of interest rates, with a relatively high proportion of long positions in the production factor and inventory factor [43]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - Affected by external macro factors and domestic investment sentiment, the commodity market showed a weak and volatile trend last week. The top decliners were coking coal, glass, and soda ash, and gold and silver also declined by more than 2%. Lithium carbonate rose significantly. Momentum, term structure, and value - based factors performed well, while other factors declined slightly. There may be risks of factor return retracement in the short - term, but long - term performance is still optimistic [55]. 3.3.2 Tracking Strategy Performance - Different tracking strategies had different performance indicators such as annualized return, Sharpe ratio, and Calmar ratio. For example, the CW FT strategy had an annualized return of 9.4%, a Sharpe ratio of 1.61, and a Calmar ratio of 1.07, with a return of 0.20% last week and 4.42% year - to - date [56].

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 ...

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, spot - futures, and cross - variety arbitrage tracking data for various non - ferrous metals (copper, zinc, aluminum, nickel, lead, tin) on November 19, 2025, including domestic and LME prices, price ratios, spreads, and theoretical spreads [1][4][5]. 3. Summary by Directory Cross - Market Arbitrage Tracking - **Copper**: On November 19, 2025, the domestic spot price was 86000, the LME spot price was 10647, with a ratio of 8.12; the domestic three - month price was 85660, the LME three - month price was 10682, with a ratio of 8.04. There was no information on spot import and export profitability [1]. - **Zinc**: The domestic spot price was 22290, the LME spot price was 3100, with a ratio of 7.19; the domestic three - month price was 22345, the LME three - month price was 2971, with a ratio of 5.82. There was no information on spot import and export profitability [1]. - **Aluminum**: The domestic spot price was 21460, the LME spot price was 2752, with a ratio of 7.80; the domestic three - month price was 21480, the LME three - month price was 2788, with a ratio of 7.71. There was no information on spot import and export profitability [1]. - **Nickel**: The domestic spot price was 118800, the LME spot price was 14335, with a ratio of 8.29. The spot import profit was - 2326.46 [1]. - **Lead**: The domestic spot price was 17100, the LME spot price was 2002, with a ratio of 8.57; the domestic three - month price was 17245, the LME three - month price was 2030, with a ratio of 10.98. There was no information on spot import and export profitability [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 670, - 670, - 650, - 720 respectively, while the theoretical spreads were 534, 965, 1406, 1847 respectively [4]. - **Zinc**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 125, - 110, - 90, - 60 respectively, and the theoretical spreads were 215, 337, 458, 579 respectively [4]. - **Aluminum**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 120, - 105, - 90, - 80 respectively, and the theoretical spreads were 219, 339, 459, 579 respectively [4]. - **Lead**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 40, - 25, - 30, 35 respectively, and the theoretical spreads were 211, 319, 426, 533 respectively [4]. - **Nickel**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 1650, - 1430, - 1190, - 900 respectively [4]. - **Tin**: The 5 - 1 spread was 130, and the theoretical spread was 5980 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads for the current - month contract - spot and the next - month contract - spot were 365 and - 305 respectively [4]. - **Zinc**: The spreads for the current - month contract - spot and the next - month contract - spot were 165 and 40 respectively [4][5]. - **Lead**: The spreads for the current - month contract - spot and the next - month contract - spot were 170 and 130 respectively [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) were 3.83, 3.99, 4.97, 0.96, 1.25, 0.77 respectively; for London (three - continuous) were 3.59, 3.86, 5.30, 0.93, 1.37, 0.68 respectively [5].