Since the globalization of the COMEX Aluminum contract in July 2019, which included the addition of warehouse facilities in Europe and Asia, COMEX Aluminum and LME Aluminum have been highly correlated. This correlation has given rise to arbitrage opportunities between the two markets.
Correlation of 99.96%
COMEX Aluminum and LME Aluminum have been 99.96% correlated on a settlement basis. This correlation exists between the LME 3m price and the COMEX active contract.
Source: Bloomberg
COMEX Active contract
The COMEX Aluminum active month, or lead month, is the anchor month for settlements and will be the third chronological month. However, on the 15 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.
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On and between these dates ... |
…the active/lead contract month is… |
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May 15 ’23-Jun 14 ‘23 |
Aug-23 |
|
Jun 15 ’23-Jul 14 ‘23 |
Sept-23 |
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Jul 17 ’23-Aug 14 ‘23 |
Oct-23 |
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Aug 15 ’23-Sep 14 ‘23 |
Nov-23 |
|
Sep 15 ’23-Oct 13 ‘23 |
Dec-23 |
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Oct 16 ’23-Nov 14 ‘23 |
Jan-24 |
|
Nov 15 ’23-Dec 14 ‘23 |
Feb-24 |
|
Dec 15 ’23-Jan 12 ‘24 |
Mar-24 |
|
Jan 16 ’24-Feb 14 ‘24 |
Apr-24 |
|
Feb 15 ’24-Mar 14 ‘24 |
May-24 |
|
Mar 15 ’24-Apr 12 ‘24 |
Jun-24 |
|
Apr 15 ’24-May 14 ‘24 |
Jul-24 |
|
May 15 ’24-Jun 14 ‘24 |
Aug-24 |
|
Jun 17 ’24-Jul 12 ‘24 |
Sep-24 |
|
Jul 15 ’24-Aug 14 ‘24 |
Oct-24 |
|
Aug 15 ’24-Sep 13 ‘24 |
Nov-24 |
|
Sep 16 ’24-Oct 14 ‘24 |
Dec-24 |
|
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 18 ’25-Mar 14 ‘25 |
May-25 |
Arbitrage opportunities
While the correlation between the two markets remains high, arbitrage opportunities do continue to present themselves. Historically, the differential between COMEX Aluminum and LME Aluminum has ranged between $40 COMEX premium and $30 COMEX discount, on a settlement basis, excluding outliers.
Source: Bloomberg
The average COMEX - LME differential from July 2019 through April 2023 has been approximately $14 COMEX premium.
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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.
