Since the globalization of the CME Group Aluminum contract in July 2019, which included the addition of warehouse facilities in Europe and Asia, CME Group Aluminum and LME Aluminum have been highly correlated.  This correlation has given rise to arbitrage opportunities between the two markets.

Correlation of 99.86%

CME Group Aluminum and LME Aluminum have been 99.86% correlated on a settlement basis.  This correlation exists between the LME 3m price and the CME Group active contract.

Active contract

The aluminum active month, or lead month, is the anchor month for settlements and will be the third chronological month. However, on the fifteenth of the current calendar month, the lead month becomes the fourth chronological month and remains the fourth chronological month until expiry of the current calendar month.

On and between these dates … …the active/lead contract month is…
Oct 15 '24-Nov 14 '24 Jan-25
Nov 15 '24-Dec 13 '24 Feb-25
Dec 16 '24-Jan 14 '25 Mar-25
Jan 15 '25-Feb 14 '25 Apr-25
Feb 17 '25-Mar 14 '25 May-25
Mar 17 '25-Apr 14 '25 Jun-25
Apr 15 '25-May 14 '25 Jul-25
May 15 '25-Jun 13 '25 Aug-25
Jun 16 '25-Jul 14 '25 Sep-25
Jul 15 '25-Aug 14 '25 Oct-25
Aug 15 '25-Sep 12 '25 Nov-25
Sep 15 '25-Oct 14 '25 Dec-25
Oct 15 '25-Nov 14 '25 Jan-26
Nov 17 '25-Dec 12 '25 Feb-26
Dec 15 '25-Jan 14 '26 Mar-26
Jan 15 '26-Feb 13 '26 Apr-26
Feb 17 '26-Mar 13 '26 May-26
Mar 16 '26-Apr 14 '26 Jun-26
Apr 15 '26-May 14 '26 Jul-26

Arbitrage opportunities

While the correlation between the two markets remains high, arbitrage opportunities do continue to present themselves.  Historically, the differential between CME Group and LME aluminum has ranged between $40 premium and $30 discount, on a settlement basis, excluding outliers. In 2024, however, the differential dipped to as much as $80 discount, presenting even greater arbitrage opportunities.

The average CME Group-LME differential from July 2019 through December 2024 has been approximately $3.75 premium, on a settlement basis.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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