20251203-永安期货-有色套利早报_1页_1mb

Summary of Color Metal Spread Arbitrage Morning Brief

Date: 2025/12/03
Focus: Analysis of cross-market, cross-period, spot-forward, and cross-commodity spread arbitrage opportunities for copper (Cu), zinc (Zn), aluminum (Al), nickel (Ni), and lead (Pb).

Key Findings:

• Copper (Cu): Cross-market arbitrage shows negative profit for spot positions (盈利: -1557.87), with a spot-import-loss ratio around 8.03. Cross-period arbitrage exhibits negative spreads (-290 to -360) implying no immediate arbitrage opportunity. Spot-forward analysis has mixed significant spreads (e.g., derived values).

• Zinc (Zn): Cross-market arbitrage reports negative profit for spot positions (盈利: -5428.02) and a lower ratio. Cross-period arbitrage shows positive spreads (190-250), suggesting potential opportunities. Spot-forward offers moderate spreads.

• Aluminum (Al): Cross-market arbitrage displays negative profit (盈利: -2077.67). Cross-period arbitrage has positive spreads (e.g., 95-150), indicating possible arbitrage. Spot-forward analysis has noticeable spreads relative to theoretical values.

• Nickel (Ni): Cross-market arbitrage indicates negative implied profit (e.g., spot-import ratio: 8.13, profit negative). Absolute data consistent with minor arbitrage viability; cross-period spreads positive.

• Lead (Pb): Cross-market arbitrage shows small positive profit for spot positions (+16.01) but close to equilibrium. Cross-period arbitrage assesses potential with positive spreads. Cross-commodity analysis finds ratios near historical norms.

Cross-Commodity Arbitrage: Includes short-term ratios for pairs like Cu/Zn, Cu/Al, etc. Overall ratios indicate relatively stable but market-dependent variances, with no major mispricings highlighted.

Conclusions: The analysis suggests opportunities exist in cross-period and cross-commodity arbitrage for some metals, particularly in zinc and lead for positive cross-market profits. Caution is advised due to negative earnings in copper, zinc, and aluminum for spot contracts. Market conditions record mixed theoretical vs. actual spreads, implying timing and execution risks. No substantial equilibrium deviations across all assets, based on 2025/12/03 data.