Report Overview - The report is a weekly quantitative strategy report on stock index futures, Treasury bond futures, and commodity CTA strategies, covering market reviews, strategy performance tracking, and future strategy recommendations [4][56][71] 1. Stock Index Futures 1.1 Market Review - The market declined significantly last week. Electronics and power equipment contributed to the main decline in each index, while banks contributed to the main increase. The trading volume of each contract increased month - on - month, and the basis of each variety weakened significantly [4] 1.2 Basis Strategy - The basis weakened due to market sentiment. IH remained at a premium, IF at a shallow discount, and IC and IM at a deep discount. The current hedging demand in stock index futures is still mainly short - side. It is expected that the deep discount pattern of IC and IM will continue. It is recommended to pay attention to the opportunity to build a long - short spread arbitrage position when the discount narrows driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4] 1.3 Arbitrage Strategy - **Inter - period Arbitrage**: Last week, the performance of each strategy was differentiated. The annualized basis rate factor lost 0.6%, the long - short spread strategy gained 0.4%, and the momentum factor gained 0.8% (6 - times leverage). The annualized basis rate factor turned to a long - short spread signal [5] - **Inter - variety Arbitrage**: The market style shifted to large - cap stocks. The net value of the inter - variety time - series synthetic strategy lost 0.6% last week. The latest signal of the inter - variety strategy recommends holding an empty position in IC/IF and a 50% long - IM and short - IC position [5] 1.4 Timing Strategy - The daily timing strategy was generally profitable last week. The Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 gained 2.2%, lost 1.0%, gained 0.4%, and gained 2.0% respectively. The latest signal of the timing model is bullish on each index [6] 2. Treasury Bond Futures 2.1 This Week's Strategy Focus - **Basis and Inter - period**: The IRR of Treasury bond futures declined this week, and the inter - period spread fluctuated strongly. Since the continuous decline of IRR has realized the long - short spread profit to a certain extent, the subsequent long - short spread space is relatively limited, and it is expected to maintain a volatile operation [56] - **Interest Rate Timing and Hedging Signal**: The interest rate timing signal predicts a decline in interest rates, with strong bearish signals from the macro, production, inventory, and price factors. It is recommended to choose high - duration varieties for hedging [56] - **Futures Timing Strategy**: The multi - factor timing strategy signal is neutral. The main bullish factors are the basis factor and the high - frequency factor, while the main bearish factors are the spread factor and the volume - price factor [56] - **Futures Inter - variety Arbitrage Strategy**: The latest signal of the Treasury bond futures inter - variety arbitrage strategy TS - T is neutral, and the T - TL signal is also neutral [56] 3. Commodity CTA 3.1 Commodity Factor Performance - Most commodity varieties in the market declined last week, with only a few varieties such as gold, silver, and polysilicon rising. Among the commodity factors, the volume - price trend factors and value factors performed prominently, while the spot - futures basis factors and warehouse receipt factors declined by more than 0.5%. The overall commodity trend may still be highly volatile due to external macro - factor disturbances. Compared with short - cycle strategies, medium - and long - cycle trend - following CTA strategies may face certain risks [71] 3.2 Tracking Strategy Performance - Different strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.58, and a maximum drawdown of - 8.81% [71]

Group 1: Report Industry Investment Rating - No information provided Group 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, and lead on October 17, 2025 [1][4][5] Group 3: Summary by Relevant Catalogs Cross - market Arbitrage Tracking - **Copper**: On October 17, 2025, the domestic spot price was 85,180, the LME price was 10,617, and the ratio was 8.07; the domestic three - month price was 85,010, the LME price was 10,628, and the ratio was 8.03 [1] - **Zinc**: The domestic spot price was 21,920, the LME price was 3,093, and the ratio was 7.09; the domestic three - month price was 22,005, the LME price was 2,956, and the ratio was 5.79 [1] - **Aluminum**: The domestic spot price was 20,950, the LME price was 2,781, and the ratio was 7.53; the domestic three - month price was 20,995, the LME price was 2,763, and the ratio was 7.58 [1] - **Nickel**: The domestic spot price was 123,600, the LME price was 15,034, and the ratio was 8.22, with a spot import profit of - 1,568.23 [1] - **Lead**: The domestic spot price was 16,900, the LME price was 1,943, and the ratio was 8.72; the domestic three - month price was 17,135, the LME price was 1,988, and the ratio was 11.05 [3] Cross - period Arbitrage Tracking - **Copper**: On October 17, 2025, the spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot - month contract were - 580, - 640, - 750, and - 800 respectively, while the theoretical spreads were 530, 959, 1396, and 1833 [4] - **Zinc**: The spreads were 20, 60, 85, and 120 respectively, and the theoretical spreads were 213, 331, 450, and 569 [4] - **Aluminum**: The spreads were 140, 140, 140, and 145 respectively, and the theoretical spreads were 215, 332, 448, and 564 [4] - **Lead**: The spreads were - 70, - 65, - 55, and - 15 respectively, and the theoretical spreads were 211, 318, 425, and 532 [4] - **Nickel**: The spreads were 410, 650, 890, and 1170 respectively [4] - **Tin**: The 5 - 1 spread was - 270, and the theoretical spread was 5,827 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were 495 and - 85 respectively, and the theoretical spreads were 592 and 978 [4] - **Zinc**: The spreads were 25 and 45 respectively, and the theoretical spreads were 195 and 323 [4] - **Lead**: The spreads were 300 and 230 respectively, and the theoretical spreads were 225 and 338 [5] Cross - variety Arbitrage Tracking - On October 17, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in the Shanghai market (three - continuous) were 3.86, 4.05, 4.96, 0.95, 1.23, and 0.78 respectively; in the London market (three - continuous), they were 3.58, 3.80, 5.39, 0.94, 1.42, and 0.66 respectively [5]

有色套利早报 研究中心有色团队 2025/10/16 铜：跨市套利跟踪 2025/10/16 国内价格 LME价格 比价 现货 85250 10745 7.86 三月 85850 10717 7.97 均衡比价 盈利 现货进口 - -1521.41 现货出口 - 锌：跨市套利跟踪 2025/10/16 国内价格 LME价格 比价 现货 22010 3076 7.16 三月 22040 2936 5.83 均衡比价 盈利 现货进口 - - 铝：跨市套利跟踪 2025/10/16 国内价格 LME价格 比价 现货 20920 2764 7.57 三月 20935 2757 7.59 均衡比价 盈利 现货进口 - - 镍：跨市套利跟踪 2025/10/16 国内价格 LME价格 比价 现货 123550 15044 8.21 均衡比价 盈利 现货进口 - -1281.18 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，但公司对信息来源的准确性和完整性不作任何保证，也不保证所依据 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The chemical sector performed poorly in September, with most products falling by around 4%. The overall decline indicates worsening supply - demand contradictions. After the National Day holiday, the sector remained in a downward trend, especially upstream raw material prices, mainly due to Trump's tariff threats. Oil price stability will be crucial in curbing the downward trend [2][10]. - The overall inventory of chemical products is high, with EB, urea, soda ash, propylene, and methanol having particularly high inventory levels. EB's inventory worsened, with the inventory percentile rising from 206% in August to 313% in September. Soda ash, urea, and bottle chips showed marginal inventory improvements. However, due to the high overall inventory, the impact on prices is limited. Only a decrease in supply can drive inventory back to normal levels [2][10]. - Most chemical products have low profit margins, with only coal - based chemicals maintaining relatively high profits due to falling coal prices. Profit repair usually lags behind inventory repair. In the current situation of tariff - related raw material price collapses, profit repair, especially for oil - based chemicals, may occur. If profit repair happens before inventory regression, it may exacerbate supply - demand contradictions [11]. 3. Summary by Relevant Catalogs 3.1 9 - Month Chemical Sector Market Trend Analysis - In September, except for glass, all other chemical products in the sector declined, with most falling by about 4%. After the National Day, the sector continued to decline, and upstream raw material prices dropped significantly due to tariff threats. Oil price stability is important for curbing the decline [2][10]. - High inventory levels are widespread, with some products' inventory worsening and others improving marginally. Only supply reduction can drive inventory back to normal [2][10]. - Most products have low profit margins, and coal - based chemicals have high profits due to coal price drops. Profit repair is slower than inventory repair, and early profit repair may worsen supply - demand issues [11]. 3.2 Chemical Monthly Spread Arbitrage Focus - **Urea**: The 2601 - 2605 reverse - spread strategy is recommended to stop - profit and exit. The strategy has performed well, with the 1 - 5 spread weakening to - 70 to - 80 yuan/ton. Factors such as potential demand release, export expectation changes, and valuation suggest it's time to consider exiting [20][21]. - **PX**: The 11 - 1 monthly positive - spread strategy is recommended to be maintained. Although PTA maintenance in September affected the near - month PX balance, the impact has been digested. With expected PTA load recovery and downstream inventory reduction, the positive - spread structure is likely to continue [24]. 3.3 Chemical Cross - Variety Arbitrage Focus - **Glass - Soda Ash**: The strategy of going long FG2601 and short SA2601 is recommended to continue. Reasons include potential real - estate policy support for glass, high soda ash supply, and weakening photovoltaic glass demand, which will negatively impact soda ash demand [27]. - **Short - Fiber - Bottle Chip**: The strategy of widening the PF - PR spread on dips is recommended to continue. The short - fiber supply has limited growth potential, while the bottle - chip supply may face pressure. Short - fiber is in a consumption season, and the tariff - related spread narrowing is expected to reverse [32].

有色套利早报 研究中心有色团队 2025/10/15 铜：跨市套利跟踪 2025/10/15 国内价格 LME价格 比价 现货 85925 - - 三月 84380 10527 8.18 均衡比价 盈利 现货进口 - - 现货出口 - 锌：跨市套利跟踪 2025/10/15 国内价格 LME价格 比价 现货 22210 - - 三月 22255 2978 5.73 均衡比价 盈利 现货进口 - - 铝：跨市套利跟踪 2025/10/15 国内价格 LME价格 比价 现货 20890 - - 三月 20875 2736 7.65 均衡比价 盈利 现货进口 - - 镍：跨市套利跟踪 2025/10/15 国内价格 LME价格 比价 现货 123150 - - 均衡比价 盈利 现货进口 - -1256.48 跨期套利跟踪 2025/10/15 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -590 -620 -710 -760 理论价差 527 952 1386 1820 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 15 50 80 100 理论价差 214 334 454 ...

Report Industry Investment Rating No relevant information provided. Core View of the Report - The port basis of methanol has strengthened rapidly due to factors such as the intensification of Sino - US trade conflicts and the potential impact on Iranian methanol vessel berthing. The support from the inland to the port has weakened as the coal - based methanol operating rate has rebounded and inland inventory has increased from a low level. Traditional downstream industries have seen varying degrees of decline in operating rates [3]. Summary by Directory I. Methanol Basis & Inter - period Structure - The report includes multiple figures related to methanol basis, such as the methanol Taicang basis and the basis of methanol in different regions relative to the main futures contract, as well as the price differences between different methanol futures contracts (MA2601 - MA2605, etc.) [7][9][21] II. Methanol Production Profit, MTO Profit, Import Profit - Figures show the import price difference between Taicang methanol and CFR China, price differences between CFR Southeast Asia - CFR China, FOB US Gulf - CFR China, FOB Rotterdam - CFR China, as well as the production profit of Inner Mongolia coal - based methanol and the MTO profit in East China [25][29][33] III. Methanol Operation, Inventory - Information on methanol port total inventory, MTO/P operating rate (including integrated), inland factory sample inventory, and China's methanol operating rate (including integrated) is presented [34][36][40] IV. Regional Price Differences - The report provides data on regional price differences, such as the price difference between northern Shandong and the northwest, between Taicang and Inner Mongolia, and between different regions like Guangdong and East China [38][45][48] V. Traditional Downstream Profits - Figures display the production gross margins of traditional downstream products, including Shandong formaldehyde, Jiangsu acetic acid, Shandong MTBE isomerization etherification, and Henan dimethyl ether [49][57] Strategy - Unilateral: Cautiously go long on hedging at low prices - Inter - period: Go long on the spread of MA2601 - MA2605 at low prices - Inter - variety: Narrow the spread of PP01 - 3MA01 at high prices [4]

铅：跨市套利跟踪 2025/10/14 国内价格 LME价格 比价 现货 16925 - - 三月 17110 2007 11.09 均衡比价 盈利 现货进口 - - 跨期套利跟踪 2025/10/14 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 120 120 80 90 理论价差 527 952 1386 1820 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 50 85 115 135 理论价差 214 334 454 574 铝 次月-现货月 三月-现货月四月-现货月 五月-现货月 价差 20 25 25 30 理论价差 215 332 448 564 铅 次月-现货月 三月-现货 月 四月-现货月 五月-现货月 价差 -5 10 5 25 理论价差 211 317 424 530 镍 次月-现货月 三月-现货月 四月-现货 月 五月-现货月 价差 260 430 700 880 锡 5-1 价差 80 理论价差 5841 期现套利跟踪 2025/10/14 铜 当月合约-现货 次月合约-现货 价差 -10 110 理论价差 98 585 锌 当月合约-现货 ...

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 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, tin) on October 13, 2025, including prices, ratios, spreads, and profit data [1][4][5]. 3. Summary by Relevant Catalogs Cross - Market Arbitrage Tracking - **Copper**: On October 13, 2025, the domestic spot price was 86,550, the LME price was 10,706, and the ratio was 8.11. The profit from spot import was - 947.78 [1]. - **Zinc**: The domestic spot price was 22,310, the LME price was 3,104, and the ratio was 7.19. The profit from spot import was - 4,175.73 [1]. - **Aluminum**: The domestic spot price was 20,990, the LME price was 2,780, and the ratio was 7.55. The profit from spot import was - 2,342.57 [1]. - **Nickel**: The domestic spot price was 124,900, the LME price was 15,131, and the ratio was 8.25. The profit from spot import was - 1,256.48 [1]. - **Lead**: The domestic spot price was 16,925, the LME price was 1,988, and the ratio was 8.51. The profit from spot import was - 642.27 [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next month, three - month, four - month, and five - month contracts and the spot month were - 820, - 820, - 790, and - 850 respectively, while the theoretical spreads were 536, 969, 1412, and 1855 [4]. - **Zinc**: The spreads were - 10, 20, 50, and 65, and the theoretical spreads were 214, 335, 455, and 576 [4]. - **Aluminum**: The spreads were - 120, - 105, - 105, and - 130, and the theoretical spreads were 217, 334, 452, and 569 [4]. - **Lead**: The spreads were 40, 50, 65, and 35, and the theoretical spreads were 211, 317, 424, and 530 [4]. - **Nickel**: The spreads were - 2080, - 1890, - 1700, and - 1550 [4]. - **Tin**: The spread for 5 - 1 was - 150, and the theoretical spread was 5921 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot were 75 and - 745, and the theoretical spreads were 174 and 533 [4]. - **Zinc**: The spreads were - 30 and - 40, and the theoretical spreads were 81 and 211 [4]. - **Lead**: The spreads were 175 and 215, and the theoretical spreads were 117 and 230 [5]. Cross - Variety Arbitrage Tracking - On October 13, 2025, for the cross - variety ratios: copper/zinc (Shanghai: 3.85, London: 3.50), copper/aluminum (Shanghai: 4.09, London: 3.83), copper/lead (Shanghai: 5.01, London: 5.21), aluminum/zinc (Shanghai: 0.94, London: 0.92), aluminum/lead (Shanghai: 1.22, London: 1.36), lead/zinc (Shanghai: 0.77, London: 0.67) [5].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a daily report on futures variety arbitrage data of Baocheng Futures on October 10, 2025, presenting the basis, inter - period, and inter - variety data of various futures products including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. 3. Summary by Directory Power Coal - Basis data from September 25 to October 9, 2025, shows that the basis on October 9 was - 102.4 yuan/ton, the same as September 30 and 29, while on September 26 it was - 100.4 yuan/ton, and on September 25 it was - 95.4 yuan/ton. The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads were all 0.0 [2] Energy Chemicals - **Energy Commodities**: Basis data for fuel oil, INE crude oil, and the ratio of crude oil to asphalt from September 25 to October 9, 2025, are presented. For example, the basis of INE crude oil on October 9 was 13.42 yuan/ton [7] - **Chemical Commodities**: - Basis data from September 25 to October 9, 2025, for rubber, methanol, PTA, LLDPE, V, and PP are provided. For instance, the basis of rubber on October 9 was - 765 yuan/ton [9] - Inter - period spreads (5 - month minus 1 - month, 9 - month minus 1 - month, 9 - month minus 5 - month) for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - month minus 1 - month spread of rubber was - 35 yuan/ton [11] - Inter - variety spreads (LLDPE - PVC, LLDPE - PP, PP - PVC, PP - 3*methanol) from September 25 to October 9, 2025, are shown. For example, on October 9, LLDPE - PVC was 2318 yuan/ton [11] Black Metals - **Inter - period Spreads**: 5 - month minus 1 - month, 9 - month(10) minus 1 - month, and 9 - month(10) minus 5 - month spreads for rebar, iron ore, coke, and coking coal are provided. For example, the 5 - month minus 1 - month spread of rebar was 58.0 yuan/ton [20] - **Inter - variety Spreads**: Spreads such as rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from September 25 to October 9, 2025, are presented. For example, on October 9, rebar/iron ore was 3.92 [20] - **Basis Data**: Basis data from September 25 to October 9, 2025, for rebar, iron ore, coke, and coking coal are given. For example, the basis of rebar on October 9 was 154.0 yuan/ton [21] Non - ferrous Metals - **Domestic Market**: Basis data from September 25 to October 9, 2025, for copper, aluminum, zinc, lead, nickel, and tin in the domestic market are provided. For example, the basis of copper on October 9 was - 750 yuan/ton [30] - **London Market**: On October 9, 2025, LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data for LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) are presented. For example, the LME spread of copper was (24.90) [34] Agricultural Products - **Basis Data**: Basis data from September 25 to October 9, 2025, for soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc., are provided. For example, the basis of soybeans No.1 on October 9 was - 15 yuan/ton [41] - **Inter - period Spreads**: 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc., are given. For example, the 5 - month minus 1 - month spread of soybeans No.1 was 29 yuan/ton [41] - **Inter - variety Spreads**: Spreads such as soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc., from September 25 to October 9, 2025, are shown. For example, on October 9, soybeans No.1/corn was 1.85 [41] Stock Index Futures - **Basis Data**: Basis data from September 25 to October 9, 2025, for CSI 300, SSE 50, CSI 500, and CSI 1000 are provided. For example, the basis of CSI 300 on October 9 was 20.28 [52] - **Inter - period Spreads**: The spreads of the next - month minus the current - month and the next - quarter minus the current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are given. For example, the next - month minus the current - month spread of CSI 300 was - 8.8 [52]

Report Overview - The report provides cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals on October 9, 2025 [1] Cross - Market Arbitrage Tracking Copper - Spot price in China is 83240, LME price is 10339, and the ratio is 8.06; March price in China is 83110, LME price is 10382, and the ratio is 8.00. The equilibrium ratio for spot import is 8.10, with a profit of - 295.06 [1] Zinc - Spot price in China is 21820, LME price is 2971, and the ratio is 7.34; March price in China is 21850, LME price is 2915, and the ratio is 5.81. The equilibrium ratio for spot import is 8.53, with a profit of - 3533.69 [1] Aluminum - Spot price in China is 20720, LME price is 2663, and the ratio is 7.78; March price in China is 20690, LME price is 2665, and the ratio is 7.79. The equilibrium ratio for spot import is 8.39, with a profit of - 1618.40 [1] Nickel - Spot price in China is 120150, LME price is 15012, and the ratio is 8.00. The equilibrium ratio for spot import is 8.18, with a profit of - 1281.13 [1] Lead - Spot price in China is 16775, LME price is 1949, and the ratio is 8.62; March price in China is 16985, LME price is 1991, and the ratio is 11.00. The equilibrium ratio for spot import is 8.83, with a profit of - 406.67 [3] Cross - Period Arbitrage Tracking Copper - The spreads of next - month, March, April, and May relative to the spot month are - 240, - 240, - 300, - 300 respectively, while the theoretical spreads are 519, 936, 1361, 1787 [4] Zinc - The spreads of next - month, March, April, and May relative to the spot month are 685, 710, 735, 785 respectively, and the theoretical spreads are 209, 323, 438, 553 [4] Aluminum - The spreads of next - month, March, April, and May relative to the spot month are - 30, - 20, - 10, - 10 respectively, and the theoretical spreads are 215, 330, 446, 561 [4] Lead - The spreads of next - month, March, April, and May relative to the spot month are 515, 560, 570, 530 respectively, and the theoretical spreads are 207, 310, 413, 517 [4] Nickel - The spreads of next - month, March, April, and May relative to the spot month are 590, 750, 960, 1260 respectively [4] Tin - The 5 - 1 spread is 300, and the theoretical spread is 5700 [4] Spot - Futures Arbitrage Tracking Copper - The spreads of the current - month and next - month contracts relative to the spot are 155 and - 85 respectively, and the theoretical spreads are 314 and 739 [4] Zinc - The spreads of the current - month and next - month contracts relative to the spot are - 680 and 5 respectively, and the theoretical spreads are 129 and 257 [4] Lead - The spreads of the current - month and next - month contracts relative to the spot are - 350 and 165 respectively, and the theoretical spreads are 77 and 190 [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 3.80, 4.02, 4.89, 0.95, 1.22, 0.78 respectively, and for LME (three - continuous) are 3.47, 3.83, 5.16, 0.91, 1.35, 0.67 respectively [5]