易后果，凡据此入市者，我公司不承担任何责任。未经公司授权，不得随意转载、复制、传播本网站中所有研究分析报告、行情分析视频等全 部或部分材料、内容。对可能因互联网软硬件设备故障或失灵、或因不可抗力造成的全部或部分信息中断、延迟、遗漏、误导或造成资料传输 或储存上的错误、或遭第三人侵入系统篡改或伪造变造资料等，我们均不承担任何责任。 铅：跨市套利跟踪 2025/12/19 有色套利早报 研究中心有色团队 2025/12/19 铜：跨市套利跟踪 2025/12/19 国内价格 LME价格 比价 现货 92190 - - 三月 92660 11715 7.90 均衡比价 盈利 现货进口 - - 现货出口 - 锌：跨市套利跟踪 2025/12/19 国内价格 LME价格 比价 现货 23110 - - 三月 23045 3066 5.46 均衡比价 盈利 现货进口 - - 铝：跨市套利跟踪 2025/12/19 国内价格 LME价格 比价 现货 21740 - - 三月 22000 2894 7.58 均衡比价 盈利 现货进口 - - 镍：跨市套利跟踪 2025/12/19 国内价格 LME价格 比价 现货 11585 ...

Report Industry Investment Rating - Not provided in the content Core View of the Report - The report presents the daily arbitrage data of various futures varieties on December 18, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, showing the basis, inter - period and inter - variety spreads of different commodities [1][5][20][26][41][51] Summary by Directory 1. Power Coal - The report shows the basis data of power coal from December 11 to December 17, 2025. The basis on December 17 was - 83.4 yuan/ton, showing a continuous decline trend compared with previous days [1][2] 2. Energy Chemicals (1) Energy Commodities - It provides the basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from December 11 to December 17, 2025. For example, the basis of fuel oil on December 17 was - 19.33 yuan/ton [7] (2) Chemical Commodities - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, V, and PP from December 11 to December 17, 2025 are presented. For instance, the basis of rubber on December 17 was - 340 yuan/ton [9] - **Inter - period Spreads**: The inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - 1 month spread of rubber was - 45 yuan/ton [10] - **Inter - variety Spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from December 11 to December 17, 2025 are shown. On December 17, the LLDPE - PVC spread was 2110 yuan/ton [10] 3. Black Metals - **Basis**: The basis data of螺纹钢, iron ore, coke, and coking coal from December 11 to December 17, 2025 are provided. For example, the basis of螺纹钢 on December 17 was 206.0 yuan/ton [20] - **Inter - period Spreads**: The inter - period spreads (5 - 1 month, 9(10) - 1 month, 9(10) - 5 month) of螺纹钢, iron ore, coke, and coking coal are presented. The 5 - 1 month spread of螺纹钢 was - 13.0 yuan/ton [19] - **Inter - variety Spreads**: The inter - variety spreads of螺/矿, 螺/焦炭, 焦炭/焦煤, and 螺 - 热卷 from December 11 to December 17, 2025 are given. On December 17, the 螺/矿 ratio was 4.03 [19] 4. Non - ferrous Metals (1) Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from December 11 to December 17, 2025 are provided. For example, the basis of copper on December 17 was - 660 yuan/ton [28] (2) London Market - On December 17, 2025, the LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin in the London market are presented. For example, the LME spread of copper was (15.30) [33] 5. Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from December 11 to December 17, 2025 are shown. The basis of soybeans No.1 on December 17 was - 70 yuan/ton [41] - **Inter - period Spreads**: The inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of various agricultural products are provided, such as the 5 - 1 month spread of soybeans No.1 was 39 yuan/ton [41] - **Inter - variety Spreads**: The inter - variety spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc. on December 17, 2025 are given. The ratio of soybeans No.1 to corn was 1.85 [41] 6. Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from December 11 to December 17, 2025 are presented. The basis of CSI 300 on December 17 was 1.68 [52] - **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 shown. The next month - current month spread of CSI 300 was - 194 [52]

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core View The report presents the daily arbitrage data of various futures varieties on December 16, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - month spreads, and inter - commodity spreads. 3. Summary by Directory Power Coal - Basis data from December 9 to December 15, 2025 shows that the basis on December 15 was - 64.4 yuan/ton, gradually decreasing from - 32.4 yuan/ton on December 9 [2]. Energy Chemicals - **Energy Commodities**: Basis data for fuel oil, INE crude oil, and the ratio of crude oil to asphalt from December 9 to December 15, 2025 are provided. For example, the basis of INE crude oil on December 15 was 55.24 yuan/ton [7]. - **Chemical Commodities**: Inter - month spreads and inter - commodity spreads data for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are presented. For instance, the 5 - month minus 1 - month spread of LLDPE is 36 yuan/ton, and on December 15, the LLDPE - PVC spread was 2270 yuan/ton [9]. Black Metals - Basis data for rebar, iron ore, coke, and coking coal from December 9 to December 15, 2025 are given. For example, the basis of rebar on December 15 was 176.0 yuan/ton [20]. - Inter - month spreads and inter - commodity spreads data are also provided. For example, the 5 - month minus 1 - month spread of rebar is - 15.0 yuan/ton, and on December 15, the rebar/iron ore ratio was 407 [19]. Non - Ferrous Metals - **Domestic Market**: Domestic basis data for copper, aluminum, zinc, lead, nickel, and tin from December 9 to December 15, 2025 are shown. For example, the basis of copper on December 15 was - 180 yuan/ton [28]. - **London Market**: LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data for LME non - ferrous metals on December 15, 2025 are provided. For example, the LME spread of copper was (4.39), and the import loss was (1202.68) yuan/ton [33]. Agricultural Products - Basis data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from December 9 to December 15, 2025 are presented. For example, the basis of soybeans No.1 on December 15 was - 110 yuan/ton [42]. - Inter - month spreads data for multiple agricultural products are given. For example, the 5 - month minus 1 - month spread of soybeans No.1 is 38 yuan/ton. - Inter - commodity spreads data such as soybeans No.1/corn, soybean oil/soybean meal are provided. On December 15, the soybeans No.1/corn ratio was 1.85 [42]. Stock Index Futures - Basis data for CSI 300, SSE 50, CSI 500, and CSI 1000 from December 9 to December 15, 2025 are provided. For example, the basis of CSI 300 on December 15 was 6.46 [53]. - Inter - month spreads data for the next - month minus the current - month and the next - quarter minus the current - quarter of the above - mentioned stock indices are given. For example, the next - month minus the current - month spread of CSI 300 is - 160 [53].

有色套利早报 研究中心有色团队 2025/12/15 铜：跨市套利跟踪 2025/12/15 国内价格 LME价格 比价 现货 93630 11919 7.73 三月 94170 11898 7.89 均衡比价 盈利 现货进口 8.01 -1469.82 现货出口 1046.05 锌：跨市套利跟踪 2025/12/15 国内价格 LME价格 比价 现货 23690 3283 7.22 三月 23635 3192 5.36 均衡比价 盈利 现货进口 8.42 -3937.82 铝：跨市套利跟踪 2025/12/15 国内价格 LME价格 比价 现货 22050 2863 7.70 三月 22170 2896 7.67 均衡比价 盈利 现货进口 8.30 -1719.93 镍：跨市套利跟踪 2025/12/15 国内价格 LME价格 比价 现货 118200 14444 8.18 均衡比价 盈利 现货进口 8.11 -1091.76 铅：跨市套利跟踪 2025/12/15 | 国内价格 | | LME价格 | 比价 | | 均衡比价 | 盈利 | | --- | --- | --- | --- | --- | - ...

国泰君安期货·能源化工 甲醇周度报告 国泰君安期货研究所 黄天圆 投资咨询从业资格号： Z0018016 杨鈜汉 投资咨询从业资格号： Z0021541 日期：2025年12月14日 Guotai Junan Futures all rights reserved, please do not reprint 综述：震荡反弹 01 资料来源：隆众资讯，钢联，国泰君安期货研究 本周甲醇总结：震荡反弹 供应 • 本周(20251205-1211)中国甲醇产量为2039705吨，较上周增加16240吨，装置产能利用率为89.81%，环比涨0.81%。本周国内甲醇恢复涉及产能产出量多于 检修、减产涉及产能损失量，导致本周产能利用率上涨。下周，中国甲醇产量及产能利用率周数据预计：产量205.54万吨左右，产能利用率90.50%左右， 较本期上涨。下周计划检修及减产涉及产能少于计划恢复涉及产能，因此或将导致产能利用率上涨，产量增加。（隆众资讯） 需求 • 烯烃：联泓格润MTO装置投产负荷陆续提升，不过叠加前期停车检修装置，行业周均开工仍有降低。 • 传统下游：二甲醚下周，心连心装置存停车预期，其他装置暂无停开车预期，预计 ...

Report Summary 1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report The report is a daily report on futures variety arbitrage data of Baocheng Futures on December 12, 2025, presenting data on basis, inter - period spreads, and inter - variety spreads for multiple futures varieties across different sectors. 3. Summary by Directory 3.1 Power Coal - **Basis Data**: The basis of power coal on December 11, 2025, was - 48.4 yuan/ton, showing a downward trend compared to previous days. The inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 were all 0 [1][2]. 3.2 Energy and Chemicals - **Energy Commodity Basis**: For fuel oil and INE crude oil, the basis on December 11, 2025, was - 1.64 yuan/ton and - 2.37 yuan/ton respectively. The ratio of crude oil to asphalt was 0.1485 [7]. - **Chemical Commodity Basis**: On December 11, 2025, the basis of rubber was - 285 yuan/ton, methanol was 51 yuan/ton, PTA was - 14 yuan/ton, LLDPE was 466 yuan/ton, V was 84 yuan/ton, and PP was 148 yuan/ton [9]. - **Chemical Commodity Inter - period Spreads**: For the 5 - 1 inter - period, rubber was - 30 yuan/ton, methanol was 57 yuan/ton, etc.; for the 9 - 1 inter - period, rubber was - 10 yuan/ton, methanol was 54 yuan/ton, etc.; for the 9 - 5 inter - period, rubber was 20 yuan/ton, methanol was - 3 yuan/ton, etc. [10]. - **Chemical Commodity Inter - variety Spreads**: On December 11, 2025, LLDPE - PVC was 2267 yuan/ton, LLDPE - PP was 377 yuan/ton, etc. [10]. 3.3 Black Metals - **Black Metal Basis**: On December 11, 2025, the basis of rebar was 181.0 yuan/ton, iron ore was 33.0 yuan/ton, coke was 113.5 yuan/ton, and coking coal was 135.0 yuan/ton [20]. - **Black Metal Inter - period Spreads**: For the 5 - 1 inter - period, rebar was - 10.0 yuan/ton, iron ore was - 20.0 yuan/ton, etc.; for the 9(10) - 1 inter - period, rebar was 22.0 yuan/ton, iron ore was - 43.5 yuan/ton, etc.; for the 9(10) - 5 inter - period, rebar was 32.0 yuan/ton, iron ore was - 23.5 yuan/ton, etc. [19]. - **Black Metal Inter - variety Spreads**: On December 11, 2025, the ratio of rebar to iron ore was 4.05, the ratio of rebar to coke was 2.0289, etc. [19]. 3.4 Non - ferrous Metals - **Domestic Market Basis**: On December 11, 2025, the domestic basis of copper was 170 yuan/ton, aluminum was - 80 yuan/ton, zinc was 125 yuan/ton, lead was 5 yuan/ton, nickel was 3350 yuan/ton, and tin was - 600 yuan/ton [29]. - **London Market Data**: On December 11, 2025, the LME copper premium/discount was 24.76, aluminum was (26.68), etc.; the Shanghai - London ratio of copper was 7.93, aluminum was 7.65, etc.; the CIF price of copper was 94072.03, aluminum was 23768.13, etc.; the domestic spot price of copper was 92950.00, aluminum was 21910.00, etc.; the import profit/loss of copper was (1122.03), aluminum was (1858.13), etc. [34]. 3.5 Agricultural Products - **Agricultural Product Basis**: On December 11, 2025, the basis of soybeans No.1 was - 153 yuan/ton, soybeans No.2 was - 60.11 yuan/ton, soybean meal was 310 yuan/ton, soybean oil was 534 yuan/ton, and corn was 37 yuan/ton [42]. - **Agricultural Product Inter - period Spreads**: For soybeans No.1, the 5 - 1 inter - period was 11 yuan/ton, 9 - 1 was 14 yuan/ton, 9 - 5 was 38 yuan/ton; for other products, similar data are provided [42]. - **Agricultural Product Inter - variety Spreads**: On December 11, 2025, the ratio of soybeans No.1 to corn was 1.86, soybeans No.2 to corn was 1.69, etc. [41]. 3.6 Stock Index Futures - **Stock Index Futures Basis**: On December 11, 2025, the basis of CSI 300 was 12.58, SSE 50 was 7.23, CSI 500 was 8.49, and CSI 1000 was 7.40 [53]. - **Stock Index Futures Inter - period Spreads**: For the CSI 300, the next - month minus current - month was - 16.0, the next - quarter minus current - quarter was - 43.6; for other indices, similar data are provided [53].

需求端：截至2025-12-09，复合肥产能利用率40.53%（+3.47%）；三聚氰胺产能利用率为61.66%（+0.86%）；尿素 企业预收订单天数7.35日（+0.70）。 尿素日报 | 2025-12-10 低价成交好转 市场分析 价格与基差：2025-12-09，尿素主力收盘1643元/吨（-3）；河南小颗粒出厂价报价：1680 元/吨（0）；山东地区小 颗粒报价：1690元/吨（+0）；江苏地区小颗粒报价：1680元/吨（-10）；小块无烟煤750元/吨（+0），山东基差：47 元/吨（+3）；河南基差：37元/吨（-7）；江苏基差：37元/吨（-7）；尿素生产利润160元/吨（+0），出口利润878元/ 吨（+19）。 供应端：截至2025-12-09，企业产能利用率81.82%（0.08%）。样本企业总库存量为129.05 万吨（-7.34），港口样本 库存量为10.50 万吨（+0.50）。 尿素现货价格松动，部分地区低价成交好转，持续性待观察。供应端四季度气头检修12月逐渐开始，前期煤头企 业检修逐步恢复，目前2025年新增产能全部投产，尿素供应量不减。需求端当前淡储采购进行中，复合肥东北 ...

Group 1: Report Industry Investment Rating - Not provided Group 2: Core Viewpoints of the Report - After achieving duration neutrality in cross - variety arbitrage, the market aims to earn term spread returns, but the net basis often has a greater impact on the portfolio value. The report tries to help investors solve this problem by finding the net basis rules of different portfolios [3] - The fluctuations of the duration - neutral cross - variety arbitrage portfolio mainly come from term spread and net basis fluctuations. The net basis fluctuation dominates the impact on the overall value. After subtracting the net basis, the portfolio value fluctuation fits the term spread better, indicating that the net basis is the main factor affecting the portfolio's tracking of the term spread [4] - The short - term fluctuations of the portfolio's net basis have weak regularity, but in the long run, it has certain characteristics. It has a fixed historical fluctuation range and mean - reversion characteristics. Curve trading can be considered when the net basis is at a historical high or low to avoid potential impacts [5] Group 3: Summary by Relevant Catalog 1. Cross - Variety Arbitrage's Duration Neutrality 1.1 Portfolio Value Fluctuations Mainly Come from Basis and Term Spread - Since May, the short - end of government bonds has been stable, and the long - end has adjusted significantly, with term spreads widening. Common arbitrage portfolios have significant duration gaps, so a portfolio without a duration gap is considered to track the term spread. When a×D(A)×A = b×D(B)×B, the portfolio's duration is 0 [10][12] - To keep the arbitrage portfolio duration - neutral, the position ratio of the varieties in the portfolio should be adjusted over time, but it is difficult to do so daily in practice [15] - To observe the impact of net basis fluctuations on portfolio value, a duration - neutral arbitrage portfolio is created near the main contract switching date and tracked until the next switch. The portfolio ratio remains unchanged during this period [20] - After achieving duration neutrality, the portfolio's value fluctuations mainly come from tracking term spreads and net basis fluctuations. The net basis causes portfolio value changes. From 2018 to now, except for 2020, the price fluctuations of most arbitrage portfolios in the main contracts within 3 months are usually within 1 yuan, and the net basis fluctuations are usually within 0.6 yuan. The net basis amplitude often reaches 100% - 200% of the portfolio price amplitude, and since the 2412 contract, this proportion has decreased but remains high [22][24] - The correlation between portfolio value and net basis is unstable. Due to net basis disturbances, the arbitrage portfolio often deviates from tracking term spreads, but after subtracting the net basis, the tracking effect is greatly improved [33][37][39] 1.2 What Are the Disturbing Factors of the Net Basis? - In the strategy of rotating every 3 months, the net basis is the main disturbing factor. In 2024, bond market interest rates were positively correlated with the net basis, but since 2025, the trend has diverged. Since May 2025, there has been a certain negative correlation [42] - The net basis of the portfolio is generally positively correlated with the funding rate, but the rule for the T - TL portfolio is unstable, possibly due to the stronger trading nature of the TL contract [42] - Trading activity is positively correlated with the portfolio's net basis in the general trend, and the rule is more obvious when measured by trading volume divided by open interest. The T - TL rule is relatively less obvious [53] - Similar to the net basis of a single variety, the portfolio's net basis has cyclical fluctuations and mean - reversion characteristics. Curve trading can be considered when the net basis reaches a historical high or low [53] 2. Cross - Variety Arbitrage Example - The 30Y - 7Y term spread has widened since early June. A cross - variety arbitrage portfolio was created on May 30 to track it. From May 30 to August 21, the term spread widened by 5.25bp, the futures portfolio value increased by about 0.03 yuan, and the net basis caused a loss of about 0.06 yuan, accounting for 63% of the loss. The net basis on May 30 was not at an extreme value, and interest rate increases during the period led to potential net basis declines and additional losses [62][64]

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The port inventory pressure of pure benzene remains high, and attention should be paid to the subsequent shipments from South Korea. The short - term arrival pressure of pure benzene in China is large, leading to an accelerated accumulation of port inventory. The most critical period for overseas gasoline has passed, but the price difference between the US and South Korea in the pure benzene market still needs to be repaired. The downstream demand for pure benzene is weak, and the downstream operating rates are generally low during the off - season. For styrene, it maintains a low operating rate, and the port inventory continues to decline. The downstream demand shows a mixed performance, with EPS operating rate slightly rebounding during the off - season but still facing inventory pressure, ABS operating rate decreasing due to continuous inventory pressure, and PS operating rate continuing to rise at the end of the year as the inventory pressure is alleviated [3] Summary by Relevant Catalogs I. Pure Benzene and EB's Basis Structure, Inter - period Spread - The pure benzene main contract basis is - 190 yuan/ton (- 27), and the East China pure benzene spot - M2 spread is - 190 yuan/ton (- 20 yuan/ton). The EB main contract basis is 131 yuan/ton (- 38 yuan/ton) [1] II. Production Profits and Domestic - Foreign Spreads of Pure Benzene and Styrene - The production profit of non - integrated styrene units is - 15 yuan/ton (+ 36 yuan/ton), and it is expected to gradually compress. The CFR China processing fee for pure benzene is 115 dollars/ton (- 1 dollar/ton), and the FOB South Korea processing fee is 110 dollars/ton (- 1 dollar/ton), with the US - South Korea price difference being 179.9 dollars/ton (+ 0.0 dollars/ton) [1] III. Inventory and Operating Rates of Pure Benzene and Styrene - The pure benzene port inventory is 26.00 tons (+ 3.60 tons), and the styrene East China port inventory is 146,800 tons (- 13,800 tons), and the East China commercial inventory is 87,800 tons (- 8,600 tons), in the inventory rebuilding stage. The pure benzene downstream operating rates show a mixed performance: the caprolactam operating rate is 79.15% (- 7.53%), the phenol operating rate is 82.00% (+ 1.00%), the aniline operating rate is 77.23% (+ 0.04%), and the adipic acid operating rate is 60.00% (+ 0.60%). The styrene operating rate is 68.9% (+ 1.6%) [1] IV. Operating Rates and Production Profits of Styrene Downstream - Among the styrene downstream hard plastics: the EPS production profit is 18 yuan/ton (+ 26 yuan/ton), the PS production profit is - 182 yuan/ton (- 74 yuan/ton), and the ABS production profit is - 797 yuan/ton (- 71 yuan/ton). The EPS operating rate is 56.36% (+ 1.61%), the PS operating rate is 59.00% (+ 1.40%), and the ABS operating rate is 68.30% (- 2.90%) [2] V. Operating Rates and Production Profits of Pure Benzene Downstream - The production profit of caprolactam is - 470 yuan/ton (- 50), the production profit of phenol - acetone is - 977 yuan/ton (- 150), the production profit of aniline is 848 yuan/ton (+ 95), and the production profit of adipic acid is - 1233 yuan/ton (- 45) [1] Strategies - Unilateral: None - Basis and Inter - period: Go long on the inter - period spread of EB2601 - EB2602 when the price is low - Cross - variety: Expand the spread of EB2601 - BZ2603 when the price is low [4]

跨品种套利跟踪 2025/12/09 | 铜/锌 | 铜/铝 | 铜/铅 | 铝/锌 | 铝/铅 | 铅/锌 | 3.99 | 4.16 | 5.37 | 0.96 | 1.29 | 0.74 | 沪（三连） | 3.73 | 4.03 | 5.82 | 0.93 | 1.45 | 0.64 | 伦（三连） | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 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，也不保证所依据的信息和建议不会 | 发生任何变化。且全部分析及建议内容仅供参考，不构成对您的任何投资建议及入市依据，客户应当自主做出期货交易决策，独立承担期货交 | 易后果，凡据此入市者，我公司不承担任何责任。未经公司授权 ...