有色套利早报 研究中心有色团队 2025/11/27 铜：跨市套利跟踪 2025/11/27 国内价格 LME价格 比价 现货 86690 10873 7.97 三月 86600 10865 7.97 均衡比价 盈利 现货进口 8.03 -712.75 现货出口 293.03 锌：跨市套利跟踪 2025/11/27 国内价格 LME价格 比价 现货 22390 3171 7.06 三月 22365 3008 5.67 均衡比价 盈利 现货进口 8.45 -4415.71 铝：跨市套利跟踪 2025/11/27 国内价格 LME价格 比价 现货 21400 2784 7.68 三月 21505 2811 7.63 均衡比价 盈利 现货进口 8.31 -1733.11 镍：跨市套利跟踪 2025/11/27 国内价格 LME价格 比价 现货 120450 14652 8.22 均衡比价 盈利 现货进口 8.13 -1756.72 铅：跨市套利跟踪 2025/11/27 国内价格 LME价格 比价 现货 16950 1945 8.74 三月 17065 1986 11.26 均衡比价 盈利 现货进口 8.69 96 ...

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 ...

铅：跨市套利跟踪 2025/11/24 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。 国内价格 LME价格 比价 现货 17025 1973 8.66 三月 17170 1995 11.22 均衡比价 盈利 现货进口 8.72 -123.44 有色套利早报 研究中心有色团队 2025/11/24 铜：跨市套利跟踪 2025/11/24 国内价格 LME价格 比价 现货 85800 10677 8.07 三月 85680 10676 8.03 均衡比价 盈利 现货进口 8.07 -632.80 现货出口 75.49 锌：跨市套利跟踪 2025/11/24 国内价格 LME价格 比价 现货 22420 3122 7.18 三月 22400 2987 5.75 均衡比价 盈利 现货进口 8.49 -4097.68 铝：跨市套利跟踪 2 ...

Report Summary 1. Investment Rating There is no specific industry investment rating provided in the report. 2. Core View The bond market is expected to continue its oscillating trend. Considering the weak fundamental situation, a slightly bullish stance is recommended for unilateral trading, with the suggestion to lightly position long on T contracts on dips. In terms of arbitrage, it is advised to stay on the sidelines for the short - term after closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week. Attention should be paid to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts [5][6]. 3. Summary by Directory First Part: Weekly Core Points Analysis and Strategy Recommendation - **Market Analysis**: This week, the bond futures market showed some divergence. Some market participants pre - speculated on the central bank's treasury bond trading information for this month, leading to relatively stronger performance in the short - to - medium - term. Meanwhile, foreign media reports on real - estate incremental policies suppressed long - term sentiment, with the TL contract declining more in the second half of the week. The actual progress, specific intensity of real - estate policies, and the source of fiscal subsidy funds are unknown, making it difficult to drive a trend - upward in yields. Market expectations for interest - rate cuts are weak, and capital prices continue to constrain the downward movement of yields [5]. - **Strategy Recommendation** - **Unilateral Trading**: Adopt a slightly bullish approach and lightly position long on T contracts on dips [6]. - **Arbitrage**: After closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week, stay on the sidelines in the short - term. For inter - delivery - month arbitrage, also enter a wait - and - see mode as the liquidity of the current - quarter contracts will gradually decline next week. Pay attention to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts, as their valuations are relatively high, mostly above 1.7% [5]. Second Part: Relevant Data Tracking - **Economic Data** - **EPMI**: In November, China's Strategic Emerging Industries Purchasing Managers' Index (EPMI) was 52.7, down 7.0 percentage points from the previous month. Although the decline was significant, it remained in the expansion range. EPMI and the official manufacturing PMI usually have high synchronicity in trends, but they diverged last month, indicating significant differences in the prosperity of different domestic industries. With the slowdown in the expansion of emerging industries in November, the recovery momentum of this month's PMI may still be weak [10]. - **Capital Market** - **Funding Conditions**: This week, affected by tax payments and a still - high net financing scale of government bonds, the market funding situation tightened first and then eased. As of Friday's close, DR001 and DR007 were 1.3209% and 1.4408% respectively. The overnight and 7 - day non - bank funding spreads were 6.68bp and 5.44bp respectively. The one - year certificate of deposit issuance rate of joint - stock banks slightly rose to around 1.65%. Next week, the net financing scale of government bonds will continue to decline, but approaching the end of the month, the funding situation will face some temporary disturbances. With the central bank's consistent supportive attitude, the upward range of market funding prices is expected to be relatively limited [12][16][17]. - **Term Spread**: Since Wednesday this week, the 30Y - 7Y term spread has widened again. On one hand, after the spread approached 40bp, there was a lack of substantial positive drivers, and the momentum for further compression was insufficient. Some funds pre - speculated on the central bank's treasury bond trading information for November and preferred to go long on medium - term treasury bonds. On the other hand, foreign media reported on Thursday that the policy level was considering providing mortgage subsidies to new home buyers nationwide in the future, which was more bearish for the long - term. If the mortgage subsidy policy is finally implemented, it will help balance the cost of home purchases and the rent - to - sale ratio for residents, and the probability of the central bank cutting interest rates will decrease accordingly, which is negative for the bond market. However, the details of relevant policies are unknown, so the bond market is not expected to over - price in advance [18][19][25]. - **Arbitrage Indicators** - **Inter - delivery - month Arbitrage**: In the past two weeks, the indicators for potential inter - delivery - month arbitrage opportunities during the roll - over period of the T contract triggered two short - term long - trading signals, but the indicator became neutral starting on Thursday, presumably related to the significant increase in long positions in the next - quarter T contract on that day. As next week is the last week before the delivery month, it is recommended to enter a wait - and - see mode for inter - delivery - month arbitrage [5][26][29]. - **Cash - and - carry Arbitrage**: Calculated based on the ChinaBond valuation and futures settlement prices, the implied repo rates (IRR) of the current - quarter contracts of TS, TF, T, and TL are 1.3226%, 1.0132%, 1.4099%, and 1.2732% respectively. The IRR of the next - quarter contracts of TS, TF, T, and TL are 1.6583%, 1.7361%, 1.7706%, and 1.7469% respectively, with relatively high valuations [34]. - **Roll - over Progress**: This week, the roll - over of the main contracts accelerated significantly. As of Friday's close, the roll - over progress of the TS, TF, T, and TL contracts was 69.2%, 63.2%, 63.7%, and 64.8% respectively [35].

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].

Core Viewpoint - The interview highlights the trading strategies employed by a company in the polycrystalline silicon market, focusing on their successful use of various arbitrage and options strategies to enhance profitability. Group 1: Trading Strategies - The company utilizes three main trading strategies: spot-futures arbitrage, inter-month arbitrage, and options spread arbitrage [2]. - Initially, the company focused on spot-futures arbitrage, entering the market when reasonable price differences appeared, and increasing operations as price differences widened [2]. - In July, due to the "anti-involution" policy, the company shifted its strategy towards inter-month arbitrage, employing grid strategies to capture trading opportunities, resulting in a significant increase in trading volume [2]. Group 2: Options Strategies - The company employs a variety of options strategies, with a preference for vertical spreads and ratio spreads [2]. - The primary strategy involves a "bull spread," where the company buys near-month contracts and sells far-month contracts, allowing for profit locking even if price differences continue to widen [2]. - The company actively manages positions based on market conditions, using techniques such as pyramid averaging to gradually increase positions when price differences narrow [2]. Group 3: Unique Aspects of Options Trading - The company favors the options products offered by the exchange due to their sufficient strike price depth and wide coverage, which facilitates the implementation of the "wheel strategy" [3]. - The "wheel strategy" begins with selling put options, optimizing costs and generating income based on the demand in the spot market [3]. - The company emphasizes the role of options sellers, who focus on time value in addition to directional profits, and employs strategies to maximize returns or provide protection based on market volatility [4].