金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 上海东证期货有限公司 股指期货量化策略跟踪周报主要内容 ★股指期货行情简评： 市场上周下跌。分行业看，有色、电子贡献了上证50主要的跌幅；电子、电力设备贡献了沪深300和中证500主要的跌幅；医药生物、电力设备贡献 了中证1000主要的跌幅。 各品种成交环比上行，IH、IF基差走弱，IC、IM基差走强。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： IH、IF基差走弱，IC、IM基差走强，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头 ...

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]

有色套利早报 研究中心有色团队 2025/11/21 铜：跨市套利跟踪 2025/11/21 国内价格 LME价格 比价 现货 86425 10740 8.02 三月 86100 10759 8.03 均衡比价 盈利 现货进口 8.08 -503.28 现货出口 21.23 锌：跨市套利跟踪 2025/11/21 国内价格 LME价格 比价 现货 22420 3125 7.17 三月 22405 2990 5.77 均衡比价 盈利 现货进口 8.51 -4165.28 铝：跨市套利跟踪 2025/11/21 国内价格 LME价格 比价 现货 21570 2781 7.75 三月 21555 2812 7.68 均衡比价 盈利 现货进口 8.35 -1645.40 镍：跨市套利跟踪 2025/11/21 国内价格 LME价格 比价 现货 119950 14384 8.34 均衡比价 盈利 现货进口 8.18 -1472.02 铅：跨市套利跟踪 2025/11/21 国内价格 LME价格 比价 现货 17100 1986 8.62 三月 17235 2015 11.12 均衡比价 盈利 现货进口 8.73 -21 ...

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 ...

择机尝试跨期套利操作 已公布的10月金融、经济数据整体不及预期，政策加码预期升温。不过，央行重提"跨周期调节"，同时 继续淡化总量金融指标，意味着短期内降准、降息落地的可能性不大。综合分析，国债价格走势相对纠 结。 近期，债市整体处于震荡格局。截至11月18日收盘，TL主力合约周内涨0.40%，T主力合约涨0.10%， TF主力合约涨0.07%，TS主力合约跌0.04%。 指标走弱可能是阶段性的 税期走款高峰叠加政府债券净融资规模不低，本周市场资金面有所收敛。截至11月17日收盘，DR001、 DR007分别升至1.5119%和1.5236%，较11月15日分别上行13.9和5.63个基点。不过，考虑到当前央行对 流动性的呵护态度不变，重启国债买卖后对冲手段也更为丰富，预计阶段性影响过后，资金面将重回均 衡偏松状态。 央行三季度货币政策执行报告延续宽松基调，"实施好适度宽松的货币政策"以及删除"防范资金空转"等 表述，相较二季度报告更显积极。不过，央行一方面重提"跨周期调节"，另一方面继续淡化总量金融指 标，意味着短期内降准、降息落地的可能性不大。 央行三季度货币政策执行报告专栏4强调了"合理的利率比价关系" ...

有色套利早报 研究中心有色团队 2025/11/19 铜：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 86000 10647 8.12 三月 85660 10682 8.04 均衡比价 盈利 现货进口 - - 现货出口 - 锌：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 22290 3100 7.19 三月 22345 2971 5.82 均衡比价 盈利 现货进口 - - 铝：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 21460 2752 7.80 三月 21480 2788 7.71 均衡比价 盈利 现货进口 - - 镍：跨市套利跟踪 2025/11/19 国内价格 LME价格 比价 现货 118800 14335 8.29 均衡比价 盈利 现货进口 - -2326.46 铅：跨市套利跟踪 2025/11/19 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 ...

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 锌 当月合约-现货 次月合约-现货 价差 75 85 理论价差 - - 铅 当月合约-现货 次月合约-现货 价差 245 125 理论价差 - - 跨品种套利跟踪 2025/11/18 铜/锌 铜/铝 铜/铅 铝/锌 铝/铅 铅/锌 沪（三连） 3.84 3.98 4.98 0.97 1.25 0.77 伦（三连） 3.60 3.83 5.29 0.94 1.38 0.68 国内价格 LME价格 比价 现货 17200 2037 8.48 三月 17355 2054 10.93 均衡比价 盈利 现货进口 - - 跨期套利跟踪 2025/11/18 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 -370 -370 -410 -410 理论价差 536 970 1413 1856 锌 次月-现货月 三月-现货月 四月-现货月 五月-现 ...

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 市场上周震荡下跌。分行业看，电子贡献了各指数主要的跌幅。 IH、IF成交环比上行，IC、IM成交环比下行，基差有所走弱。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： 基差有所走弱，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头为主，预计IC、IM的深度贴水格局仍将维 持，建议市场情绪驱动贴水收敛时关注跨期正套的建仓机会。展期策略推荐多近空远。 ★股指期货套利策略跟踪： 跨期套利策略方面，上周各策略上涨，年化基差率、正套和动量因子分别盈利0.2%、0.5%、0.2%（6倍杠杆）。年化基差率因子转向正套信号。 跨品种套利时序合成策略净值上周盈利0. ...

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]