Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on October 24, 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 - commodity spreads. 3. Summary by Directory 3.1 Power Coal - The basis data of power coal from October 17 to October 23, 2025, shows that the basis on October 23 was - 31.4 yuan/ton, gradually increasing from - 53.4 yuan/ton on October 17 [1][2] 3.2 Energy Chemicals - **Energy Commodities**: Basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from October 17 to October 23, 2025, are provided, along with the basis data of energy products [7] - **Chemical Commodities**: - Basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from October 17 to October 23, 2025, are presented [9] - Inter - period spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given, including 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads [10] - Inter - commodity spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from October 17 to October 23, 2025, are provided [10] 3.3 Black Metals - Basis data of rebar, iron ore, coke, and coking coal from October 17 to October 23, 2025, are shown [20] - **Inter - period Spreads**: Inter - period spreads of rebar, iron ore, coke, and coking coal are provided, including 5 - 1 month, 9(10) - 1 month, and 9(10) - 5 month spreads [19] - **Inter - commodity Spreads**: Inter - commodity spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from October 17 to October 23, 2025, are presented [19] 3.4 Non - ferrous Metals - **Domestic Market**: Domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from October 17 to October 23, 2025, are provided [29] - **London Market**: LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on October 23, 2025, are given [33] 3.5 Agricultural Products - Basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from October 17 to October 23, 2025, are shown [41] - **Inter - period Spreads**: Inter - period spreads of soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are provided, including 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads [40] - **Inter - commodity Spreads**: Inter - commodity spreads 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 October 17 to October 23, 2025, are presented [40] 3.6 Stock Index Futures - Basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from October 17 to October 23, 2025, are provided [53] - Inter - period spreads of CSI 300, SSE 50, CSI 500, and CSI 1000, including next - month - current - month and next - quarter - current - quarter spreads, are given [55]

1. Report Industry Investment Rating - No information provided 2. Core View - The report mainly presents the cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data of non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on October 23, 2025 [1][4][5] 3. Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On October 23, 2025, the domestic spot price was 84980, LME spot price was 10663, and the spot ratio was 8.01. The domestic March price was 85370, LME March price was 10669, and the March ratio was 7.96. The equilibrium ratio for spot import was 8.09 [1] - **Zinc**: The domestic spot price was 21910, LME spot price was 3350, and the spot ratio was 6.54. The domestic March price was 22040, LME March price was 3011, and the March ratio was 5.70. The equilibrium ratio for spot import was 8.49, with a profit of - 6539.20 [1] - **Aluminum**: The domestic spot price was 20980, LME spot price was 2800, and the spot ratio was 7.49. The domestic March price was 21050, LME March price was 2797, and the March ratio was 7.50. The equilibrium ratio for spot import was 8.37, with a profit of - 2452.65 [1] - **Nickel**: The domestic spot price was 123500, LME spot price was 14998, and the spot ratio was 8.23. The equilibrium ratio for spot import was 8.19, with a profit of - 1463.49 [1] - **Lead**: The domestic spot price was 16975, LME spot price was 1953, and the spot ratio was 8.70. The domestic March price was 17185, LME March price was 1993, and the March ratio was 11.03. The equilibrium ratio for spot import was 8.82, with a profit of - 232.67 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month were 40, - 10, - 40, - 80 respectively, while the theoretical spreads were 529, 956, 1392, 1828 respectively [4] - **Zinc**: The spreads were 15, 55, 70, 100 respectively, and the theoretical spreads were 213, 332, 451, 570 respectively [4] - **Aluminum**: The spreads were 30, 35, 35, 35 respectively, and the theoretical spreads were 216, 333, 450, 567 respectively [4] - **Lead**: The spreads were 15, 25, 35, 40 respectively, and the theoretical spreads were 211, 318, 424, 531 respectively [4] - **Nickel**: The spreads of次月 - spot month, March - spot month, April - spot month, and May - spot month were 260, 440, 590, 790 respectively [4] - **Tin**: The 5 - 1 spread was - 620, and the theoretical spread was 5833 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month contract - spot and the next - month contract - spot were 445 and 485 respectively, and the theoretical spreads were 487 and 963 respectively [4] - **Zinc**: The spreads were 75 and 90 respectively, and the theoretical spreads were 176 and 304 respectively [4] - **Lead**: The spreads were 185 and 200 respectively, and the theoretical spreads were 186 and 299 respectively [5] Cross - Variety Arbitrage Tracking - On October 23, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.87, 4.06, 4.97, 0.96, 1.22, 0.78 respectively, and for London (three - continuous) were 3.53, 3.80, 5.34, 0.93, 1.41, 0.66 respectively [5]

Report Overview - The report is the Baocheng Futures Variety Arbitrage Data Daily Report for October 22, 2025, covering multiple commodities including thermal coal, energy chemicals, black metals, non-ferrous metals, agricultural products, and stock index futures [1] 1. Thermal Coal - **Base Price Data**: From October 15 - 21, 2025, the base price for thermal coal gradually increased from -70.40 yuan/ton to -39.40 yuan/ton [2] 2. Energy and Chemicals Energy Commodities - **Base Price and Ratio**: For fuel oil, INE crude oil, and crude oil/asphalt, base prices and ratios varied from October 15 - 21, 2025. For example, the base price of INE crude oil was 8.63 yuan/ton on October 15 and 5.43 yuan/ton on October 21 [7] Chemical Commodities - **Base Price**: From October 15 - 21, 2025, the base prices of rubber, methanol, PTA, LLDPE, V, and PP changed. For instance, the base price of rubber decreased from -445 yuan/ton on October 17 to -850 yuan/ton on October 21 [9] - **Inter - period Spread**: The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads for rubber, methanol, PTA, etc., were provided. For example, the 5 - month minus 1 - month spread for rubber was -5 yuan/ton [10] - **Inter - commodity Spread**: From October 15 - 21, 2025, the spreads such as LLDPE - PVC, LLDPE - PP, etc., changed. For example, the LLDPE - PVC spread was 2228 yuan/ton on October 15 and 2170 yuan/ton on October 21 [10] 3. Black Metals Base Price - From October 15 - 21, 2025, the base prices of rebar, iron ore, coke, and coking coal changed. For example, the base price of rebar decreased from 173.0 yuan/ton on October 17 to 163.0 yuan/ton on October 21 [20] Inter - period Spread - The 5 - month minus 1 - month, 9 - month (10) minus 1 - month, and 9 - month (10) minus 5 - month spreads for rebar, iron ore, etc., were provided. For example, the 5 - month minus 1 - month spread for rebar was 56 yuan/ton [19] Inter - commodity Spread - From October 15 - 21, 2025, the spreads such as rebar/iron ore, rebar/coke, etc., changed. For example, the rebar/iron ore ratio was 3.90 on October 15 and 3.97 on October 21 [19] 4. Non - ferrous Metals Domestic Market - From October 15 - 21, 2025, the base prices of copper, aluminum, zinc, etc., in the domestic market changed. For example, the base price of copper decreased from 400 yuan/ton on October 20 to 250 yuan/ton on October 21 [28] London Market - The data for the London market had an invalid link and was not available [34] 5. Agricultural Products Base Price - From October 15 - 21, 2025, the base prices of soybeans, soybean meal, soybean oil, etc., changed. For example, the base price of soybeans decreased from -39 yuan/ton on October 15 to -81 yuan/ton on October 21 [38] Inter - period Spread - The 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month spreads for soybeans, soybean meal, etc., were provided. For example, the 5 - month minus 1 - month spread for soybeans was 31 yuan/ton [37] Inter - commodity Spread - From October 15 - 21, 2025, the spreads such as soybean/corn, soybean oil/soybean meal, etc., changed. For example, the soybean/corn ratio was 1.90 on October 15 and 1.90 on October 21 [37] 6. Stock Index Futures Base Price - From October 15 - 21, 2025, the base prices of CSI 300, SSE 50, CSI 500, and CSI 1000 changed. For example, the base price of CSI 300 decreased from 31.42 on October 20 to 30.27 on October 21 [49] Inter - period Spread - The spreads of the next - month minus the current - month and the next - quarter minus the current - quarter for CSI 300, SSE 50, etc., were provided. For example, the next - month minus the current - month spread for CSI 300 was -36.6 [51]

Report Industry Investment Rating - Not mentioned in the provided content Report's 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 October 22, 2025 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On October 22, 2025, the domestic spot price was 85720, the LME spot price was 10639, and the spot import equilibrium ratio was 8.09. The domestic three - month price was 85350, and the LME three - month price was 10670 [1] - **Zinc**: The domestic spot price was 21950, the LME spot price was 3278, and the spot import equilibrium ratio was 8.50 with a loss of 5922.81. The domestic three - month price was 22000, and the LME three - month price was 2979 [1] - **Aluminum**: The domestic spot price was 20970, the LME spot price was 2771, and the spot import equilibrium ratio was 8.37 with a loss of 2234.72. The domestic three - month price was 20975, and the LME three - month price was 2770 [1] - **Nickel**: The domestic spot price was 123950, the LME spot price was 15009, and the spot import equilibrium ratio was 8.19 with a loss of 1173.88 [1] - **Lead**: The domestic spot price was 16975, the LME spot price was 1947, and the spot import equilibrium ratio was 8.83 with a loss of 181.73. The domestic three - month price was 17155, and the LME three - month price was 1987 [3] Cross - Period Arbitrage Tracking - **Copper**: On October 22, 2025, the spreads between the next month, three - month, four - month, and five - month contracts and the spot month were 20, - 30, - 60, - 60 respectively, while the theoretical spreads were 529, 956, 1392, 1828 [4] - **Zinc**: The spreads were 115, 145, 180, 220, and the theoretical spreads were 212, 331, 449, 567 [4] - **Aluminum**: The spreads were 75, 85, 95, 95, and the theoretical spreads were 215, 332, 448, 565 [4] - **Lead**: The spreads were 95, 95, 100, 160, and the theoretical spreads were 210, 317, 423, 529 [4] - **Nickel**: The spreads were 670, 820, 950, 1230 [4] - **Tin**: The spread between the 5 - month and 1 - month contracts was - 150, and the theoretical spread was 5818 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot were - 325 and - 305 respectively, while the theoretical spreads were 398 and 874 [4] - **Zinc**: The spreads were - 95 and 20, and the theoretical spreads were 153 and 299 [4] - **Lead**: The spreads were 85 and 180, and the theoretical spreads were 175 and 289 [5] Cross - Variety Arbitrage Tracking - On October 22, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous) were 3.88, 4.07, 4.98, 0.95, 1.22, 0.78 respectively, and in London (three - continuous) were 3.54, 3.81, 5.32, 0.93, 1.40, 0.67 [5]

Report Overview - The report is a colored arbitrage morning report by the colored team of the research center on October 21, 2025, covering cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking for multiple metals including copper, zinc, aluminum, lead, nickel, and tin [1][2][4] Cross - Market Arbitrage Tracking Copper - The domestic spot price is 85,650, the LME spot price is 10,656; the domestic March price is 85,360, the LME March price is 10,680, with a ratio of 8.04. The spot import profit is - 888.92 [1] Zinc - The domestic spot price is 21,870, the LME spot price is 3,178, with a ratio of 6.88; the domestic March price is 21,880, the LME March price is 2,948, with a ratio of 5.80. The spot import profit is - 5,169.01 [1] Aluminum - The domestic spot price is 20,930, the LME spot price is 2,782, with a ratio of 7.52; the domestic March price is 20,920, the LME March price is 2,777, with a ratio of 7.54 [1] Lead - The domestic spot price is 16,900, the LME spot price is 1,935, with a ratio of 8.75; the domestic March price is 17,100, the LME March price is 1,977, with a ratio of 11.08 [3] Nickel - The domestic spot price is 123,550, the LME spot price is 14,935, with a ratio of 8.27. The spot import profit is - 1,445.62 [1] Cross - Period Arbitrage Tracking Copper - The spreads of次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 990, 970, 900, 890 respectively, while the theoretical spreads are 524, 946, 1377, 1808 [4] Zinc - The spreads of次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 35, 65, 90, 130 respectively, and the theoretical spreads are 212, 330, 448, 566 [4] Aluminum - The spreads of次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 25, 35, 40, 45 respectively, and the theoretical spreads are 215, 332, 448, 565 [4] Lead - The spreads of次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 15, 25, 60, 100 respectively, and the theoretical spreads are 210, 317, 423, 530 [4] Nickel - The spreads of次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are - 300, - 60, 180, 380 respectively [4] Tin - The 5 - 1 spread is - 460, and the theoretical spread is 5791 [4] Spot - Futures Arbitrage Tracking Copper - The spreads of the current - month contract - spot and the next - month contract - spot are - 1215 and - 225 respectively, and the theoretical spreads are 279 and 897 [4] Zinc - The spreads of the current - month contract - spot and the next - month contract - spot are - 55 and - 20 respectively, and the theoretical spreads are 169 and 296 [4] Lead - The spreads of the current - month contract - spot and the next - month contract - spot are 175 and 190 respectively, and the theoretical spreads are 192 and 305 [5] Cross - Variety Arbitrage Tracking - For copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, lead/zinc, the Shanghai (three - continuous) ratios are 3.90, 4.08, 4.99, 0.96, 1.22, 0.78 respectively, and the London (three - continuous) ratios are 3.60, 3.87, 5.37, 0.93, 1.39, 0.67 respectively [5]

Report Industry Investment Rating - Not provided Core Viewpoints - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on October 20, 2025 [1][4][5] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On October 20, 2025, the domestic spot price was 84775, the LME spot price was 10506, and the spot price ratio was 8.10; the domestic three - month price was 84350, the LME three - month price was 10523, and the three - month price ratio was 8.05 [1] - **Zinc**: The domestic spot price was 21860, the LME spot price was 3084, and the spot price ratio was 7.09; the domestic three - month price was 21870, the LME three - month price was 2948, and the three - month price ratio was 5.78 [1] - **Aluminum**: The domestic spot price was 20950, the LME spot price was 2791, and the spot price ratio was 7.50; the domestic three - month price was 20920, the LME three - month price was 2778, and the three - month price ratio was 7.55 [1] - **Nickel**: The domestic spot price was 123700, the LME spot price was 14983, and the spot price ratio was 8.26. The profit from spot import was - 1658.10 [1] - **Lead**: The domestic spot price was 16825, the LME spot price was 1930, and the spot price ratio was 8.76; the domestic three - month price was 17090, the LME three - month price was 1972, and the three - month price ratio was 11.10 [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 contract were - 660, - 700, - 800, and - 880 respectively, while the theoretical spreads were 527, 953, 1387, and 1821 [4] - **Zinc**: The spreads were - 110, - 70, - 35, and 10 respectively, and the theoretical spreads were 213, 331, 450, and 569 [4] - **Aluminum**: The spreads were - 65, - 55, - 50, and - 40 respectively, and the theoretical spreads were 216, 333, 450, and 567 [4] - **Lead**: The spreads were - 10, - 10, - 10, and 20 respectively, and the theoretical spreads were 211, 317, 424, and 530 [4] - **Nickel**: The spreads were 60, 240, 490, and 780 respectively [4] - **Tin**: The 5 - 1 spread was - 390, and the theoretical spread was 5818 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were 300 and - 360 respectively, and the theoretical spreads were 546 and 918 [4] - **Zinc**: The spreads were 80 and - 30 respectively, and the theoretical spreads were 191 and 307 [5] - **Lead**: The spreads were 275 and 265 respectively, and the theoretical spreads were 217 and 330 [5] Cross - Variety Arbitrage Tracking - On October 20, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (triple - continuous) were 3.86, 4.03, 4.94, 0.96, 1.22, and 0.78 respectively; for London (triple - continuous), they were 3.60, 3.82, 5.38, 0.94, 1.41, and 0.67 respectively [5]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core View of the Report The report presents the arbitrage data of various futures varieties on October 20, 2025, including the basis, inter - period spreads, and inter - variety spreads of different commodities in multiple sectors such as power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to provide reference for investors in futures trading. 3. Summary by Directory 3.1 Power Coal - Basis data from October 13 to October 17, 2025, shows that the basis was - 87.4, - 81.4, - 70.4, - 60.4, and - 53.4 yuan/ton respectively, with a continuous increase trend. The spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month were all 0 during this period [2]. 3.2 Energy Chemicals 3.2.1 Energy Commodities - For fuel oil, INE crude oil, and the ratio of crude oil to asphalt, data such as basis, ratio, and other indicators from October 13 to October 17, 2025, are provided. For example, the basis of INE crude oil was 7.78, 6.92, 8.63, 15.20, and 82.20 yuan/ton respectively [7]. 3.2.2 Chemical Commodities - **Basis**: From October 13 to October 17, 2025, the basis data of rubber, methanol, PTA, LLDPE, V, and PP are presented. For instance, the basis of rubber was - 690, - 595, - 645, - 600, and - 445 yuan/ton respectively [9]. - **Inter - period Spreads**: The inter - period spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 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 - 30 yuan/ton [11]. - **Inter - variety Spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from October 13 to October 17, 2025, are provided. For example, the LLDPE - PVC spread on October 17 was 2187 yuan/ton [11]. 3.3 Black Metals - **Inter - period Spreads**: The inter - period spreads of 5 - month minus 1 - month, 9 - month (10) minus 1 - month, and 9 - month (10) minus 5 - month for rebar, iron ore, coke, and coking coal are presented. For example, the 5 - month minus 1 - month spread of rebar was 57.0 yuan/ton [20]. - **Inter - variety Spreads**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot - rolled coil from October 13 to October 17, 2025, are provided. For example, the rebar/iron ore ratio on October 17 was 3.95 [20]. 3.4 Non - ferrous Metals 3.4.1 Domestic Market - The basis data of copper, aluminum, zinc, lead, nickel, and tin from October 13 to October 17, 2025, are provided. For example, the basis of copper on October 17 was 350 yuan/ton [28]. 3.4.2 London Market - Data such as LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss for LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, and tin) on October 17, 2025, are presented. For example, the LME spread of copper was (16.83) [33]. 3.5 Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc., from October 13 to October 17, 2025, are provided. For example, the basis of soybeans No.1 on October 17 was - 48 yuan/ton [39]. - **Inter - period Spreads**: The inter - period spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month for various agricultural products are given. For example, the 5 - month minus 1 - month spread of soybeans No.1 was 32 yuan/ton [39]. - **Inter - variety Spreads**: The inter - variety spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc., from October 13 to October 17, 2025, are provided. For example, the soybean oil/soybean meal ratio on October 17 was 2.88 [39]. 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from October 13 to October 17, 2025, are provided. For example, the basis of CSI 300 on October 17 was 29.03 [50]. - **Inter - period Spreads**: The inter - period spreads of next - month minus current - month and next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are presented. For example, the next - month minus current - month spread of CSI 300 was - 42.5 [50].

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]

Report Summary 1. Report Industry Investment Rating No information is provided in the given content. 2. Core View of the Report The demand for propylene has weakened, and the cost side continues to drag down the propylene market. On the supply side, there is still significant pressure due to the resumption of production by some major manufacturers in Shandong and the restart of northern devices before the holiday, despite some PDH device shutdowns for maintenance. On the demand side, although downstream buyers start to purchase at low prices when propylene reaches a phased low, the enthusiasm for chasing high prices is low, and the demand follow - up has weakened. The cost side is under pressure as international oil prices decline due to weak demand and tariff disturbances, and the external propane price, though slightly rebounding, remains weak, which further drags down the propylene market. [1][2] 3. Summary According to the Directory I. Propylene Basis Structure - The closing price of the propylene main contract is 6079 yuan/ton (-5), the spot price of propylene in East China is 6215 yuan/ton (+0), and the spot price in North China is 6260 yuan/ton (-20). The basis in East China is 136 yuan/ton (+5), and the basis in North China is 181 yuan/ton (-15). [1] II. Propylene Production Profit and Capacity Utilization Rate - The propylene capacity utilization rate is 75% (-1%). The production profit and capacity utilization rate of different propylene production methods are also presented in the data, such as the PDH production method. [1] III. Propylene Import and Export Profit - The import profit is -393 yuan/ton (+30). [1] IV. Propylene Downstream Profit and Capacity Utilization Rate - PP powder capacity utilization rate is 40% (+2.29%), with a production profit of -85 yuan/ton (+20); epoxy propane capacity utilization rate is 72% (+5%), with a production profit of -344 yuan/ton (-115); and so on for other downstream products. [1] V. Propylene Inventory - The in - plant inventory is 43390 tons (-1520). [1] 4. Strategies - Unilateral: Cautiously short - hedge; - Inter - period: Sell the near - term contract and buy the far - term contract for PL01 - 02 when the spread is high; - Inter - commodity: None [3]