报告摘要 开年以来黄金的表现位列大类资产前列，近期波动加大。关于黄金定价，目前研究多基于基本面角度，比如供求关系、全球货币体系变化、主要经济体赤字率、实 际利率等，我们这里想要补充的一个视角是交易层面。我们从十个维度——黄金价格形态、期货持仓结构、库存及其衍生指标、交割前瞻、期现基差、黄金租赁成 本、期限结构、期权未平仓合约对比、隐含波动率、ETF持仓变动初步构建了一套实时监测金价位置的指标体系。 指标一 （价格形态）：COMEX黄金期货RSI。RSI是相对强弱指数，对金价变动相对最敏感的是日线级别的6日RSI。常用的判断标准是以20\80分别为超卖、超买 区间。在黄金基本面仍处"顺风"时，RSI在强势行情中可能回调幅度并不会很大，甚至可能长时间维持在50以上。3月28日COMEX黄金期货6日RSI突破80提示黄金 具有"超买风险"，此后"超买状态"维持4个交易日。COMEX黄金收盘价自4月2日的3190.3美元/盎司回调6.0%至8日的2998.3美元/盎司。与此同时，4月2-8日，6日 RSI自87.04快速回落至31.55。4月中下旬以来，随着金价的上扬，RSI（6日）再度接近80阈值（4月21日为82 ...

Core Viewpoint - The performance of gold has been strong since the beginning of the year, but recent volatility has increased. The article emphasizes the importance of trading perspectives in addition to fundamental factors such as supply-demand dynamics, global monetary system changes, and economic deficits. A comprehensive indicator system has been developed to monitor gold price positions across ten dimensions [1][8]. Group 1: Price Dynamics - The COMEX gold futures RSI indicates that the 6-day RSI is particularly sensitive to price changes. As of March 28, the RSI surpassed 80, signaling "overbought risk," leading to a 6% price correction from $3190.3 to $2998.3 per ounce between April 2 and April 8. The RSI then approached 80 again by April 21, suggesting high trading activity and potential for increased short-term volatility [2][11][14]. Group 2: Futures Positioning - The COT report shows that speculative long positions in gold futures have fluctuated, with the latest data indicating a drop to 44.30% as of April 15, still historically high but reflecting increased market divergence. This suggests a potential for profit-taking among long positions as prices rise, while also indicating a return to a more normalized range [3][16][20][23]. Group 3: Inventory Indicators - COMEX gold inventory has shown a significant increase, reaching a peak of 4507 million ounces in early April before declining to 4280 million ounces. This trend indicates a shift towards physical delivery and a new round of inventory depletion. Key derivative indicators suggest limited future inventory growth and a need for time to match consumption levels [4][25][27]. Group 4: Delivery Outlook - The number of registered COMEX gold warehouse receipts has risen sharply to a historical high of 2425.38 million receipts by April 7, reflecting strong market expectations for future delivery. However, by April 22, this number had decreased to 2130.67 million, indicating a potential decline in delivery demand expectations [5][30][32]. Group 5: Basis and Cost Indicators - The price difference between New York and London gold has narrowed significantly, indicating a return to normal trading conditions. As of April 22, the basis had dropped to $12.63 per ounce from a high of $54.91, suggesting limited arbitrage opportunities [6][35][36]. Group 6: Leasing Costs - Gold leasing rates have shown a significant decline, indicating improved liquidity in the physical market. The relationship between forward rates and gold prices has shifted, with current conditions suggesting a decrease in physical demand [7][38][41]. Group 7: Futures Structure - The COMEX futures curve remains in a contango structure, with prices for future contracts indicating a bullish sentiment, although the rate of increase has slowed. This suggests that while there is still optimism about future prices, the momentum is not accelerating [8][42]. Group 8: Options Market Sentiment - The distribution of open interest in gold options shows a divergence in market sentiment, with call options concentrated in the $3200-$3450 range. This indicates uncertainty about future price movements among market participants [9][44].