| 商品 | | 动力煤 | （元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/08/22 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/21 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/20 | -97.4 | 0.0 | 0.0 | 0.0 | | 2025/08/19 | -99.4 | 0.0 | 0.0 | 0.0 | | 2025/08/18 | -100.4 | 0.0 | 0.0 | 0.0 | 运筹帷幄 决胜千里 宝城期货品种套利数据日报（2025 年 8 月 25 日） 一、动力煤 投资咨询业务资格：证监许可【2011】1778 号 二、能源化工 www.bcqhgs.com 2 杭州市求是路8号公元大厦东南裙楼1-5层 www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙楼1-5层 运筹帷幄 决胜千里 2025/08/22 2025/08/21 2025/08/20 2025/08/19 2025 ...

有色套利早报 研究中心有色团队 2025/08/25 铜：跨市套利跟踪 2025/08/25 国内价格 LME价格 比价 现货 78825 9636 8.17 三月 78630 9715 8.10 均衡比价 盈利 现货进口 8.16 171.81 现货出口 -396.63 锌：跨市套利跟踪 2025/08/25 国内价格 LME价格 比价 现货 22190 2770 8.01 三月 22260 2773 6.03 均衡比价 盈利 现货进口 8.65 -1764.99 铝：跨市套利跟踪 2025/08/25 国内价格 LME价格 比价 现货 20710 2588 8.00 三月 20595 2586 7.99 均衡比价 盈利 现货进口 8.45 -1162.37 镍：跨市套利跟踪 2025/08/25 国内价格 LME价格 比价 现货 118400 14749 8.03 均衡比价 盈利 现货进口 8.24 -1806.58 铅：跨市套利跟踪 2025/08/25 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 ...

有色套利早报 研究中心有色团队 2025/08/22 铜：跨市套利跟踪 2025/08/22 国内价格 LME价格 比价 现货 78780 9618 8.19 三月 78490 9699 8.11 均衡比价 盈利 现货进口 8.17 5.76 现货出口 -338.37 锌：跨市套利跟踪 2025/08/22 国内价格 LME价格 比价 现货 22230 2768 8.03 三月 22225 2776 6.04 均衡比价 盈利 现货进口 8.66 -1755.13 铝：跨市套利跟踪 2025/08/22 国内价格 LME价格 比价 现货 20680 2575 8.03 三月 20550 2576 8.01 均衡比价 盈利 现货进口 8.47 -1135.10 镍：跨市套利跟踪 2025/08/22 国内价格 LME价格 比价 现货 118850 14798 8.03 均衡比价 盈利 现货进口 8.25 -1991.00 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 锌 当月合约-现货 次月合约-现货 价差 55 10 理 ...

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 from Baocheng Futures on August 19, 2025, presenting the basis, inter - period, and inter - variety data of multiple futures varieties including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1][5][21][27][40][51]. 3. Summary by Relevant Catalogs Power Coal - The basis data from August 12 to August 18, 2025, shows that the basis on August 18 was - 100.4 yuan/ton, compared to - 113.4 yuan/ton on August 12. The 5 - 1, 9 - 1, and 9 - 5 inter - period spreads were all 0.0 during this period [2]. Energy Chemicals - **Energy Commodities**: Basis data for fuel oil, INE crude oil, and the ratio of crude oil to asphalt from August 12 to August 18, 2025, are presented. For example, the basis of INE crude oil on August 18 was 163.63 yuan/ton [7]. - **Chemical Commodities**: - Basis data for rubber, methanol, PTA, LLDPE, V, and PP are provided from August 12 to August 18, 2025. For instance, the basis of rubber on August 18 was - 920 yuan/ton [9]. - Inter - period data for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given, such as the 5 - 1 inter - period spread of rubber being 85 yuan/ton. Inter - variety data for LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from August 12 to August 18, 2025, are also presented. For example, the LLDPE - PVC value on August 18 was 2269 yuan/ton [11]. Black Metals - Inter - period data for rebar, iron ore, coke, and coking coal are shown. For example, the 5 - 1 inter - period spread of rebar was 46.0 yuan/ton. Inter - variety data for rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from August 12 to August 18, 2025, are presented. For example, the rebar/iron ore ratio on August 18 was 4.09 [20]. - Basis data for rebar, iron ore, coke, and coking coal from August 12 to August 18, 2025, are provided. For example, the basis of rebar on August 18 was 145.0 yuan/ton [21]. Non - Ferrous Metals - **Domestic Market**: Basis data for copper, aluminum, zinc, lead, nickel, and tin from August 12 to August 18, 2025, are given. For example, the basis of copper on August 18 was 220 yuan/ton [28]. - **London Market**: LME premium/discount, Shanghai - London ratio, CIF, domestic spot price, and import profit/loss data for copper, aluminum, zinc, lead, nickel, and tin on August 18, 2025, are presented. For example, the LME premium/discount of copper was (96.75) [35]. Agricultural Products - Basis data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc., from August 12 to August 18, 2025, are provided. For example, the basis of soybeans No.1 on August 18 was - 4 yuan/ton [41]. - Inter - period data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc., are given. For example, the 5 - 1 inter - period spread of soybeans No.1 was 41 yuan/ton. Inter - variety data for soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc., from August 12 to August 18, 2025, are also presented. For example, the soybeans No.1/corn ratio on August 18 was 1.86 [41]. Stock Index Futures - Basis data for CSI 300, SSE 50, CSI 500, and CSI 1000 from August 12 to August 18, 2025, are provided. For example, the basis of CSI 300 on August 18 was 1.61 [52]. - Inter - period data for CSI 300, SSE 50, CSI 500, and CSI 1000, including the spread between the next - month and current - month contracts and the next - quarter and current - quarter contracts, are presented. For example, the next - month minus current - month spread of CSI 300 was - 39.8 [54].

铅：跨市套利跟踪 2025/08/19 有色套利早报 研究中心有色团队 2025/08/19 铜：跨市套利跟踪 2025/08/19 国内价格 LME价格 比价 现货 79280 9660 8.22 三月 78910 9757 8.11 均衡比价 盈利 现货进口 8.18 96.04 现货出口 -446.22 锌：跨市套利跟踪 2025/08/19 国内价格 LME价格 比价 现货 22300 2781 8.02 三月 22360 2790 6.02 均衡比价 盈利 现货进口 8.67 -1806.11 铝：跨市套利跟踪 2025/08/19 国内价格 LME价格 比价 现货 20550 2596 7.91 三月 20570 2596 7.92 均衡比价 盈利 现货进口 8.47 -1443.86 镍：跨市套利跟踪 2025/08/19 国内价格 LME价格 比价 现货 119300 14860 8.03 均衡比价 盈利 现货进口 8.26 -1996.18 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 ...

PART. 1: Long and Short Product Classification - Long products include stock index futures such as the SSE 50 futures (IH.CFE), CSI 300 futures (IF.CFE), and CSI 500 futures (IC.CFE), driven by bullish market sentiment with a 750D Px_M Percentile high and positive annualized rolling returns [5][6] - Metal products like SHFE copper (CU.SHF) and SHFE aluminum (AL.SHF) are also classified as long due to tight supply and stable annualized rolling returns [5] - Short products include government bond futures, particularly the 30-year bond (TL.CFE), which has a negative annualized rolling return due to rising interest rate expectations [6] - Black commodities such as DCE coking coal (JM.DCE) are under pressure from high inventory levels, while agricultural products like DCE soybean meal (M.DCE) are short due to ample supply [6] PART. 2: Volume Change and Trading Opportunities - Significant volume increase observed in DCE iron ore (I.DCE) with a volume ratio of 2.01 and an annualized rolling return of 0.1102, indicating a long opportunity [10] - SHFE rebar (RB.SHF) has seen recent position increases, but may experience short-term consolidation [10] - Arbitrage opportunities include inter-month arbitrage in coking coal (J.DCE) with widening price spreads and cross-product arbitrage in copper-aluminum ratios at historical highs [11][12] PART. 3: Core Logic - Stock index futures are supported by economic recovery expectations, but there are risks from policy adjustments [13] - The black commodities sector, particularly iron ore, is driven by steel mill restocking, though environmental production limits may suppress demand [13] - Government bond futures are in a bearish trend due to diminishing expectations for monetary policy easing [13] PART. 4: Summary - Long positions to focus on include CSI 500 futures, copper, and crude oil [15] - Short positions to consider are government bond futures, coking coal, and glass [15]

Report Industry Investment Rating - Not provided 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 August 18, 2025 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On August 18, 2025, the domestic spot price was 79130, LME spot price was 9671, and the spot ratio was 8.19. The equilibrium ratio for spot import was 8.17, with a profit of 79.57. The domestic March price was 79050, LME March price was 9765, and the March ratio was 8.09 [1] - **Zinc**: The domestic spot price was 22450, LME spot price was 2830, and the spot ratio was 7.93. The equilibrium ratio for spot import was 8.66, with a profit of - 2054.98. The domestic March price was 22530, LME March price was 2836, and the March ratio was 5.92 [1] - **Aluminum**: The domestic spot price was 20710, LME spot price was 2621, and the spot ratio was 7.90. The equilibrium ratio for spot import was 8.47, with a profit of - 1487.44. The domestic March price was 20750, LME March price was 2620, and the March ratio was 7.91 [1] - **Nickel**: The domestic spot price was 119400, LME spot price was 14847, and the spot ratio was 8.04. The equilibrium ratio for spot import was 8.26, with a profit of - 1524.77 [1] - **Lead**: The domestic spot price was 16625, LME spot price was 1942, and the spot ratio was 8.60. The equilibrium ratio for spot import was 8.87, with a profit of - 519.03. The domestic March price was 16855, LME March price was 1986, and the March ratio was 11.33 [3] Cross - Period Arbitrage Tracking - **Copper**: On August 18, 2025, the spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 80, 70, 60, and 60 respectively, while the theoretical spreads were 497, 892, 1296, and 1700 [4] - **Zinc**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 25, 50, 65, and 55 respectively, and the theoretical spreads were 215, 337, 458, and 580 [4] - **Aluminum**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 55, 35, - 10, and - 50 respectively, and the theoretical spreads were 215, 330, 446, and 561 [4] - **Lead**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were 120, 125, 145, and 175 respectively, and the theoretical spreads were 209, 313, 418, and 523 [4] - **Nickel**: The spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, and 五月 - 现货月 were - 400, - 230, - 30, and 210 respectively [4] - **Tin**: The 5 - 1 spread was 1190, and the theoretical spread was 5541 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads for the current - month contract - spot and the next - month contract - spot were - 170 and - 90 respectively, and the theoretical spreads were 483 and 933 [4] - **Zinc**: The spreads for the current - month contract - spot and the next - month contract - spot were 30 and 55 respectively, and the theoretical spreads were 204 and 335 [4] - **Lead**: The spreads for the current - month contract - spot and the next - month contract - spot were 105 and 225 respectively, and the theoretical spreads were 199 and 310 [5] Cross - Variety Arbitrage Tracking - On August 18, 2025, the ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 3.51, 3.81, 4.69, 0.92, 1.23, and 0.75 respectively, and for London (three - continuous) were 3.50, 3.75, 4.93, 0.93, 1.32, and 0.71 respectively [5]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on August 18, 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 Power Coal - The basis data from August 11 to August 15, 2025, shows a trend of change, with values of - 115.4, - 113.4, - 108.4, - 106.4, and - 103.4 respectively. The spreads of 5 - 1, 9 - 1, and 9 - 5 are all 0.0 [1][2] Energy Chemicals - **Energy Commodities**: For fuel oil, INE crude oil, and the ratio of crude oil to asphalt, data such as basis, ratio, and spread are provided from August 11 to August 15, 2025 [6] - **Chemical Commodities** - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, V, and PP from August 11 to August 15, 2025, show different trends of change [8] - **Inter - period Spreads**: The inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are presented [9] - **Inter - commodity Spreads**: The inter - commodity spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from August 11 to August 15, 2025, are provided [9] Black Metals - **Inter - period Spreads**: The inter - period spreads of 5 - 1, 9(10) - 1, and 9(10) - 5 for rebar, iron ore, coke, and coking coal are given [18] - **Inter - commodity Spreads**: The inter - commodity spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from August 11 to August 15, 2025, are presented [18] - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from August 11 to August 15, 2025, are provided [19] Non - ferrous Metals - **Domestic Market**: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from August 11 to August 15, 2025, are presented [26] - **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 on August 15, 2025, are provided [32] Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc. from August 11 to August 15, 2025, are presented [37] - **Inter - period Spreads**: The inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc. are given [37] - **Inter - commodity Spreads**: The inter - commodity spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc. from August 11 to August 15, 2025, are presented [37] Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from August 11 to August 15, 2025, are presented [48] - **Inter - period Spreads**: The inter - period spreads of next - month - current - month and next - quarter - current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are given [50]

Core Viewpoint - The listing of pure benzene futures and options on July 8 provides enhanced risk management tools for the upstream and downstream of the industry chain, which is crucial given China's position as the largest producer and consumer of pure benzene globally [1][2]. Industry Overview - China accounts for 39% of global pure benzene production capacity and 43% of apparent consumption in 2024, with East China being the largest production and consumption area [1]. - The production capacity concentration in China is moderate, with the top three companies holding nearly 40% of the market share, where Sinopec alone accounts for 17.6% [2]. Pricing and Sales Mechanisms - Different scale refineries have varying sales methods for pure benzene, with large refineries primarily using contracts and pricing based on Sinopec's East China price [2]. - Trade enterprises often reference prices from sources like Argus and Platts for their pure benzene procurement, with imports mainly from South Korea and Southeast Asia [3]. Market Conditions and Outlook - The pure benzene market is currently experiencing a downturn due to insufficient downstream demand, but a supply-demand increase is expected in the second half of the year with over 1 million tons of new capacity planned [7]. - Inventory levels for pure benzene and styrene have risen to higher levels this year, with expectations of a de-inventory trend in August, followed by a potential accumulation in September and October [8]. Production and Operational Insights - The production processes for pure benzene are diverse, with catalytic reforming and ethylene cracking being the most significant methods [5]. - Maintenance cycles for pure benzene facilities typically occur every three years, with minor repairs having a limited impact on the market [6]. Futures Market Participation - Companies are increasingly engaging in futures trading for hedging purposes, with a notable number of enterprises participating in the pure benzene futures market [11]. - The introduction of pure benzene futures and options has enriched the risk management tools available to industry players, enhancing market liquidity [12].

Report Summary 1) Report Industry Investment Rating - No investment rating information is provided in the report. 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, lead, and tin on August 14, 2025. 3) Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot price is 79,510 (domestic) and 9,763 (LME) with a ratio of 8.11; March price is 79,380 (domestic) and 9,842 (LME) with a ratio of 8.05. Spot import equilibrium ratio is 8.16, and the profit is - 39.06. Spot export profit is 42.08 [1]. - **Zinc**: Spot price is 22,560 (domestic) and 2,840 (LME) with a ratio of 7.95; March price is 22,640 (domestic) and 2,841 (LME) with a ratio of 5.94. Spot import equilibrium ratio is 8.65, and the profit is - 1,994.05 [1]. - **Aluminum**: Spot price is 20,760 (domestic) and 2,624 (LME) with a ratio of 7.91; March price is 20,765 (domestic) and 2,629 (LME) with a ratio of 7.91. Spot import equilibrium ratio is 8.48, and the profit is - 1,492.93 [1]. - **Nickel**: Spot price is 121,750 (domestic) and 15,099 (LME) with a ratio of 8.06. Spot import equilibrium ratio is 8.25, and the profit is - 1,531.68 [1]. - **Lead**: Spot price is 16,725 (domestic) and 1,974 (LME) with a ratio of 8.48; March price is 16,940 (domestic) and 2,017 (LME) with a ratio of 11.21. Spot import equilibrium ratio is 8.85, and the profit is - 719.66 [3]. Cross - Period Arbitrage Tracking - **Copper**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 370, 370, 390, and 410 respectively, while the theoretical spreads are 497, 892, 1296, and 1700 [4]. - **Zinc**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 0, 40, 40, and 25 respectively, and the theoretical spreads are 216, 338, 460, and 582 [4]. - **Aluminum**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 35, 10, - 35, and - 70 respectively, and the theoretical spreads are 215, 331, 446, and 562 [4]. - **Lead**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are 30, 40, 60, and 85 respectively, and the theoretical spreads are 210, 315, 421, and 526 [4]. - **Nickel**: The spreads of next - month - spot, March - spot, April - spot, and May - spot are - 20, 110, 310, and 600 respectively [4]. - **Tin**: The 5 - 1 spread is 1250, and the theoretical spread is 5593 [4]. Spot - Futures Arbitrage Tracking - **Copper**: The spreads of current - month contract - spot and next - month contract - spot are - 430 and - 60 respectively, and the theoretical spreads are 23 and 517 [4]. - **Zinc**: The spreads of current - month contract - spot and next - month contract - spot are 40 and 40 respectively, and the theoretical spreads are 80 and 211 (also mentioned 78 and 207) [4][5]. - **Lead**: The spreads of current - month contract - spot and next - month contract - spot are 175 and 205 respectively, and the theoretical spreads are 105 and 217 [4]. Cross - Variety Arbitrage Tracking - For cross - variety ratios on August 14, 2025: Copper/Zinc (Shanghai "continuous three") is 3.51, Copper/Aluminum is 3.82, Copper/Lead is 4.69, Aluminum/Zinc is 0.92, Aluminum/Lead is 1.23, Lead/Zinc is 0.75; LME (continuous three) ratios are 3.47, 3.75, 4.93, 0.92, 1.32, and 0.70 respectively [5].