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].

Core Insights - The company employs a diversified trading strategy focusing on three main types: spot-futures arbitrage, inter-month futures arbitrage, and options spread arbitrage [2][3][4] Group 1: Trading Strategies - The initial trading strategy involved spot-futures arbitrage, which allowed the company to earn stable profits from price differences when market conditions were favorable [2] - Following the implementation of anti-involution policies, the company shifted its focus towards inter-month arbitrage due to increased volatility in the price differences of polysilicon futures [2][3] - The company actively engages in rolling operations to capture market fluctuations, enhancing trading volume significantly [2][3] Group 2: Options Strategy - The company favors options trading due to the sufficient depth of strike prices available, which supports the implementation of a "wheel strategy" [4][5] - The wheel strategy involves selling put options to optimize costs and generate revenue, allowing the company to acquire futures at a lower effective price [4] - The company emphasizes the importance of time value in options trading, focusing on selling options to capture this value while also employing various strategies to maximize profits or provide protection for existing positions [5]

Report Industry Investment Rating - Not provided Core Viewpoints - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for various non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on November 21, 2025 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot domestic price is 86425, LME price is 10740, with a ratio of 8.02; March domestic price is 86100, LME price is 10759, ratio 8.03. Spot import equilibrium ratio is 8.08, profit is - 503.28; spot export profit is 21.23 [1] - **Zinc**: Spot domestic price is 22420, LME price is 3125, ratio 7.17; March domestic price is 22405, LME price is 2990, ratio 5.77. Spot import equilibrium ratio is 8.51, profit is - 4165.28 [1] - **Aluminum**: Spot domestic price is 21570, LME price is 2781, ratio 7.75; March domestic price is 21555, LME price is 2812, ratio 7.68. Spot import equilibrium ratio is 8.35, profit is - 1645.40 [1] - **Nickel**: Spot domestic price is 119950, LME price is 14384, ratio 8.34. Spot import equilibrium ratio is 8.18, profit is - 1472.02 [1] - **Lead**: Spot domestic price is 17100, LME price is 1986, ratio 8.62; March domestic price is 17235, LME price is 2015, ratio 11.12. Spot import equilibrium ratio is 8.73, profit is - 212.45 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next month, March, April, May and the spot month are 50, 20, 40, 50 respectively, while the theoretical spreads are 532, 963, 1402, 1842 [4] - **Zinc**: The spreads are - 35, - 15, - 15, 15, theoretical spreads are 215, 336, 457, 578 [4] - **Aluminum**: The spreads are 5, 30, 40, 50, theoretical spreads are 219, 338, 458, 578 [4] - **Lead**: The spreads are - 10, 5, 15, 45, theoretical spreads are 211, 318, 425, 533 [4] - **Nickel**: The spreads are - 270, - 70, 290, 570 [4] - **Tin**: The 5 - 1 spread is - 160, theoretical spread is 6041 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot are - 315 and - 265 respectively [4] - **Zinc**: The spreads are 0 and - 35 [4] - **Lead**: The spreads are 130 and 120 [5] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, lead/zinc are 3.84, 3.99, 5.00, 0.96, 1.25, 0.77 in Shanghai (three - continuous) and 3.56, 3.82, 5.34, 0.93, 1.40, 0.67 in London (three - continuous) respectively [5]

跨期套利跟踪 2025/11/20 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 460 460 460 410 理论价差 530 959 1396 1833 锌 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 15 35 45 85 理论价差 215 336 457 578 铝 次月-现货月 三月-现货月四月-现货月 五月-现货月 价差 150 160 170 195 理论价差 218 337 456 575 铅 次月-现货月 三月-现货 月 四月-现货月 五月-现货月 价差 40 60 40 50 理论价差 211 318 425 532 镍 次月-现货月 三月-现货月 四月-现货 月 五月-现货月 价差 990 1140 1420 1690 锡 5-1 价差 -360 理论价差 6070 期现套利跟踪 2025/11/20 铜 当月合约-现货 次月合约-现货 价差 -430 30 理论价差 - - 锌 当月合约-现货 次月合约-现货 价差 20 35 理论价差 - - 有色套利早报 研究中心有色团队 2025/11/20 铜：跨市套利跟踪 2025/11/20 国内价格 ...

Core Insights - The overall financial and economic data for October fell short of expectations, leading to increased expectations for policy adjustments. However, the central bank's reiteration of "cross-cycle adjustment" and continued downplaying of total financial indicators suggest that the likelihood of rate cuts or reserve requirement ratio reductions in the short term is low [1][3][4] Economic Data Summary - October economic data showed a contraction in both supply and demand, with fixed asset investment growth dropping by 5.1 percentage points compared to the previous month. Despite this, the weakness in indicators may be temporary, and there is a significant probability of recovery as policy effects materialize [2] - New RMB loans in October amounted to 220 billion, a year-on-year decrease of approximately 280 billion. The loan balance grew by 6.5% year-on-year, a slight decline of 0.1 percentage points from the previous month. The structure of loans weakened, with significant reductions in new medium- and long-term loans for households and enterprises [2] - The social financing scale in October was only 815 billion, a year-on-year decrease of 597 billion, indicating a slowdown in government bond issuance impacting overall financing [2] Monetary Policy Insights - The central bank's third-quarter monetary policy report maintained a loose tone, emphasizing the implementation of an appropriately loose monetary policy. The removal of phrases like "preventing fund turnover" indicates a more positive stance compared to the second quarter [3] - The central bank highlighted the importance of a "reasonable interest rate comparison," suggesting that if corporate financing rates fall below government bond yields, it indicates an unsustainable situation regarding risk pricing [3] Market Predictions - The published October financial and economic indicators not meeting expectations has led to heightened expectations for policy adjustments. However, the central bank's focus on structural changes rather than total financial indicators suggests limited probability for aggressive monetary policy adjustments [4] - The bond market is expected to remain volatile in the short term, influenced by factors such as government bond payments and tax periods. The sentiment in the bond market is still affected by new regulations on public bond fund redemptions [4]

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for various non - ferrous metals (copper, zinc, aluminum, nickel, lead, tin) on November 19, 2025, including domestic and LME prices, price ratios, spreads, and theoretical spreads [1][4][5]. 3. Summary by Directory Cross - Market Arbitrage Tracking - **Copper**: On November 19, 2025, the domestic spot price was 86000, the LME spot price was 10647, with a ratio of 8.12; the domestic three - month price was 85660, the LME three - month price was 10682, with a ratio of 8.04. There was no information on spot import and export profitability [1]. - **Zinc**: The domestic spot price was 22290, the LME spot price was 3100, with a ratio of 7.19; the domestic three - month price was 22345, the LME three - month price was 2971, with a ratio of 5.82. There was no information on spot import and export profitability [1]. - **Aluminum**: The domestic spot price was 21460, the LME spot price was 2752, with a ratio of 7.80; the domestic three - month price was 21480, the LME three - month price was 2788, with a ratio of 7.71. There was no information on spot import and export profitability [1]. - **Nickel**: The domestic spot price was 118800, the LME spot price was 14335, with a ratio of 8.29. The spot import profit was - 2326.46 [1]. - **Lead**: The domestic spot price was 17100, the LME spot price was 2002, with a ratio of 8.57; the domestic three - month price was 17245, the LME three - month price was 2030, with a ratio of 10.98. There was no information on spot import and export profitability [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 670, - 670, - 650, - 720 respectively, while the theoretical spreads were 534, 965, 1406, 1847 respectively [4]. - **Zinc**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 125, - 110, - 90, - 60 respectively, and the theoretical spreads were 215, 337, 458, 579 respectively [4]. - **Aluminum**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 120, - 105, - 90, - 80 respectively, and the theoretical spreads were 219, 339, 459, 579 respectively [4]. - **Lead**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 40, - 25, - 30, 35 respectively, and the theoretical spreads were 211, 319, 426, 533 respectively [4]. - **Nickel**: The spreads for次月 - spot month, three - month - spot month, four - month - spot month, and five - month - spot month were - 1650, - 1430, - 1190, - 900 respectively [4]. - **Tin**: The 5 - 1 spread was 130, and the theoretical spread was 5980 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads for the current - month contract - spot and the next - month contract - spot were 365 and - 305 respectively [4]. - **Zinc**: The spreads for the current - month contract - spot and the next - month contract - spot were 165 and 40 respectively [4][5]. - **Lead**: The spreads for the current - month contract - spot and the next - month contract - spot were 170 and 130 respectively [5]. Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.83, 3.99, 4.97, 0.96, 1.25, 0.77 respectively; for London (three - continuous) were 3.59, 3.86, 5.30, 0.93, 1.37, 0.68 respectively [5].

Industry Investment Rating - No information provided Core View - The report presents cross - market, cross - term, spot - futures, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, lead, and tin on November 18, 2025 [1][4][5] Summary by Directory Cross - Market Arbitrage Tracking - **Copper**: On November 18, 2025, the domestic spot price was 86490, the LME spot price was 10779, and the ratio was 8.07; the domestic three - month price was 86450, the LME three - month price was 10812, and the ratio was 8.01. No profit data for spot import and export was provided [1] - **Zinc**: The domestic spot price was 22380, the LME spot price was 3126, and the ratio was 7.16; the domestic three - month price was 22490, the LME three - month price was 3022, and the ratio was 5.76. No profit data for spot import and export was provided [1] - **Aluminum**: The domestic spot price was 21620, the LME spot price was 2809, and the ratio was 7.70; the domestic three - month price was 21725, the LME three - month price was 2848, and the ratio was 7.64. No profit data for spot import and export was provided [1] - **Nickel**: The domestic spot price was 120300, the LME spot price was 14616, and the ratio was 8.23. The profit for spot import was - 2326.46 [1] - **Lead**: The domestic spot price was 17200, the LME spot price was 2037, and the ratio was 8.48; the domestic three - month price was 17355, the LME three - month price was 2054, and the ratio was 10.93. No profit data for spot import was provided [3] Cross - Term Arbitrage Tracking - **Copper**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot - month contract were - 370, - 370, - 410, and - 410 respectively, while the theoretical spreads were 536, 970, 1413, and 1856 [4] - **Zinc**: The spreads were 10, 35, 75, and 105, and the theoretical spreads were 215, 337, 458, and 579 [4] - **Aluminum**: The spreads were - 75, - 25, 0, and - 5, and the theoretical spreads were 220, 341, 461, and 582 [4] - **Lead**: The spreads were - 120, - 90, - 65, and - 75, and the theoretical spreads were 212, 320, 429, and 537 [4] - **Nickel**: The spreads were - 490, - 290, - 60, and 190 [4] - **Tin**: The 5 - 1 spread was - 630, and the theoretical spread was 6008 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were 360 and - 10 respectively [4] - **Zinc**: The spreads were 75 and 85 respectively [4][5] - **Lead**: The spreads were 245 and 125 respectively [5] Cross - Variety Arbitrage Tracking - On November 18, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.84, 3.98, 4.98, 0.97, 1.25, and 0.77 respectively; for LME (three - continuous), they were 3.60, 3.83, 5.29, 0.94, 1.38, and 0.68 respectively [5]

Group 1: Report Information - The report is a weekly strategy report from the Dongzheng Derivatives Research Institute, covering stock index futures, treasury bond futures, and commodity CTA strategies [1][38][51] Group 2: Stock Index Futures Market Review - The market declined last week, with the electronics sector contributing the main decline in each index [3] - IH and IF trading volumes increased week-on-week, while IC and IM trading volumes decreased. The basis weakened [4] Strategy Recommendations - For the basis strategy, it is recommended to pay attention to the opportunity of calendar spread arbitrage when the discount narrows due to market sentiment. The rollover strategy recommends going long on the near - term contract and short on the far - term contract [4] - For the arbitrage strategy, in the calendar spread arbitrage, the annualized basis rate, cash - and - carry, and momentum factor strategies were profitable last week, with returns of 0.2%, 0.5%, and 0.2% respectively (6 - times leverage). The cross - variety arbitrage time - series synthesis strategy had a net profit of 0.1% last week, and the latest signal recommends 50% long IF and short IC, 100% long IM and short IC [5] - For the timing strategy, the daily timing strategy was generally profitable last week, with the Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 having returns of 0.4%, 0.6%, 1.1%, and - 0.7% respectively. The timing model's latest signal shows a significant increase in bullish sentiment [6] Group 3: Treasury Bond Futures Strategy Focus - For the basis and calendar spread, the IRR of treasury bond futures declined this week, and the calendar spread was volatile and strong. The space for cash - and - carry arbitrage is limited, and it is expected to move sideways [40] - For interest rate timing and hedging signals, the interest rate timing signal predicts a decline in interest rates, and it is recommended to choose high - duration varieties for hedging [40][41] - For the futures timing strategy, the multi - factor timing strategy signal is neutral, with the basis factor and high - frequency factor being mainly bullish, and the spread factor and volume - price factor being mainly bearish [40][44] - For the futures cross - variety arbitrage strategy, the latest signals of the treasury bond futures cross - variety arbitrage strategies TS - T and T - TL are neutral [40][47] Group 4: Commodity CTA Factor Performance - Last week, the performance of various commodity varieties in the market varied. Precious metal silver led the rise due to renewed risk - aversion sentiment, and lithium carbonate rose 7%, while coking coal, glass, and red dates led the decline. Most commodity factors had good increases, with the momentum trend and term structure factors with significant long - term logic having an average increase of over 1%, and the value factor rising nearly 2%. The position - related factor had a slight increase, the spot - futures basis factor had a slight decline, and the warehouse receipt factor was basically flat [52][54] Tracking Strategy Performance - Different tracking strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CW FT strategy has an annualized return of 9.4%, a Sharpe ratio of 1.61, and a maximum drawdown of - 8.81% [53]

Report Overview - The report is a non - ferrous metals arbitrage morning report released by the non - ferrous metals team of the research center on November 14, 2025, covering cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking for multiple non - ferrous metals [1] Cross - Market Arbitrage Tracking Copper - On November 14, 2025, the domestic spot price was 87,210, the three - month price was 87,580, the LME three - month price was 10,963, and the ratio was 7.96 [1] Zinc - On November 14, 2025, the domestic three - month price was 22,785, the LME three - month price was 3,089, and the ratio was 5.75 [1] Aluminum - On November 14, 2025, the domestic three - month price was 22,050, the LME three - month price was 2,902, and the ratio was 7.58 [1] Lead - On November 14, 2025, the domestic three - month price was 17,670, the LME three - month price was 2,089, and the ratio was 10.85 [1][3] Nickel - On November 14, 2025, the profit from spot import was - 2,084.11 [1] Cross - Period Arbitrage Tracking Copper - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 770, 800, 840, and 810 respectively, with theoretical spreads of 536, 970, 1413, and 1856 [4] Zinc - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 130, 175, 210, and 235 respectively, with theoretical spreads of 216, 338, 460, and 582 [4] Aluminum - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 200, 250, 250, and 265 respectively, with theoretical spreads of 220, 341, 462, and 583 [4] Lead - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 50, 70, 70, and 85 respectively, with theoretical spreads of 213, 322, 431, and 540 [4] Nickel - On November 14, 2025, the spreads between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were 630, 800, 1040, and 1220 [4] Tin - On November 14, 2025, the 5 - 1 spread was - 740, with a theoretical spread of 6161 [4] Spot - Futures Arbitrage Tracking Copper - On November 14, 2025, the spreads between the current - month and next - month contracts and the spot were - 380 and 390 respectively [4] Cross - Variety Arbitrage Tracking - On November 14, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous contracts) were 3.84, 3.97, 4.96, 0.97, 1.25, and 0.78 respectively [5]