有色金屬專題報(bào)告國(guó)內(nèi)淡季特征明顯，關(guān)注買倫鋁賣滬鋁正套機(jī)會(huì)

1、目錄目錄報(bào)告摘要：....................................................................................................................................................1一、有色金屬整體表現(xiàn)....................................................

2、...........................................................................3二、跨市套利..........................................................................................................................................

3、....42.1內(nèi)外比值..................................................................................................................................................42.2進(jìn)口盈虧......................................................

4、............................................................................................5三、跨期套利.........................................................................................................................

5、.....................63.1期現(xiàn)價(jià)差..................................................................................................................................................63.2期限結(jié)構(gòu).....................................

6、.............................................................................................................73.3月間價(jià)差.......................................................................................................

7、.........................................10四、跨品種套利........................................................................................................................................12免責(zé)聲明............................

8、..........................................................................................................................182019年7月9日218中信期貨研究中信期貨研究|有色金屬套利專題報(bào)告有色金屬套利專題報(bào)告鉛收盤價(jià)比值二、跨市套利二、跨市套利報(bào)告中跨市套利主要針對(duì)LME市場(chǎng)和國(guó)內(nèi)市場(chǎng)，暫不考慮COMEX市場(chǎng)

9、間的套利行為。比值是跨市套利的核心，但僅在一定時(shí)間和空間內(nèi)具備相對(duì)的穩(wěn)定性，進(jìn)口盈虧對(duì)貿(mào)易商參考意義更大。上周市場(chǎng)表現(xiàn)：美元指數(shù)持續(xù)偏弱運(yùn)行，人民幣維持偏強(qiáng)格局，有色板塊的內(nèi)外比值維持偏低。上周還存在進(jìn)口盈利空間的銅也逐步關(guān)閉，上周各品種進(jìn)口盈利空間均為關(guān)閉狀態(tài)。本周重點(diǎn)關(guān)注：主推買倫鋁賣滬鋁的正向套利。短期國(guó)內(nèi)原料端氧化鋁成本支撐缺失，氧化鋁供給增加價(jià)格趨勢(shì)性下行。并且隨著靖西天貴新產(chǎn)能投產(chǎn)，氧化鋁供給繼續(xù)擴(kuò)大，電解鋁成本塌陷恐將延續(xù)

10、弱勢(shì)。結(jié)合下游鋁棒庫(kù)存擴(kuò)大，鋁錠庫(kù)存去化速度降低，消費(fèi)邊際轉(zhuǎn)弱，滬鋁重心預(yù)計(jì)延續(xù)震蕩下移的走勢(shì)。國(guó)外倫敦電解鋁去庫(kù)延續(xù)，疊加流動(dòng)性釋放預(yù)期，預(yù)計(jì)相對(duì)滬鋁，倫鋁仍相對(duì)較強(qiáng)。2.1內(nèi)外比值圖2:銅內(nèi)外比值圖3:鋁內(nèi)外比值8.28.187.97.87.77.67.57.49.08.58.07.57.06.56.05.55.0鋁套利參考比值上限鋁套利參考比值下限資料來(lái)源：圖4:鋅內(nèi)外比值圖5:鉛內(nèi)外比值資料來(lái)源：10.09.59.08.58.0

11、7.57.06.56.05.55.0鉛套利參考比值上限鉛套利參考比值下限2019年7月9日418主力合約滬倫比值鋁比值20180629201807292018082920180929201810292018112920181229201901292019022820190331201904302019053120190630201806292018072020180810201808312018092120181012201811022