Analysis of the Sustainability, Risks of High-Premium Arbitrage in Silver LOF and Application Prospects of Commodity Futures LOF

Based on market data and analysis materials, I will systematically analyze the sustainability of high-premium arbitrage in Silver LOF, risk assessment, and application prospects of commodity futures LOF from multiple dimensions.

The core logic of LOF fund arbitrage is to utilize the price difference between the subscription net value in the primary market and the transaction price in the secondary market. The specific operation process is:

• Day T
  : Subscribe for fund shares at net value off-exchange
• Day T+1
  : Confirm shares
• Day T+2
  : Transfer shares to on-exchange and sell at market price

: Arbitrage profit = On-exchange market price - Off-exchange net value - Transaction fees

According to market materials, Guotai UBS Silver Futures LOF (161226) had a rare extreme premium in December 2025:

Time Node	Premium Rate Level	Market Phenomenon
Late November	6.75%	Premium begins to appear
December 18	39.09%	Premium rises rapidly
December 23	57.5%	Intraday limit up hits new high
December 24	68.3%	Peak premium rate
December 25	~45%	Consecutive limit downs, premium falls back
December 26	<30%	Premium further compressed [1-5]

:

• Single-account subscription limit: Increased from 100 yuan to 500 yuan
• New shares surged: From 10.97 million shares to 162.43 million shares in one week
• Estimated arbitrage-participating accounts: At least 400,000 accounts per day on average
• Actual arbitrage profit: Single account’s daily maximum about 300 yuan (500 yuan ×60% premium), narrowing to around 150 yuan as premium shrinks [4,5]

Guotai UBS Fund in December:

• Issued
  16 risk warning announcements
• Implemented multiple
  intraday suspensions
  (1 hour)
• Adjusted purchase restriction policy 4 times
  (from 100 yuan to 500 yuan)
• Suspended subscription of Class C shares [3,6]

Shenzhen Stock Exchange implemented

on the fund and prompted strict identification of abnormal trading behaviors [6].

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Judging from financial theory and historical experience,

, for the following reasons:

• When premiums appear, arbitrage funds flood in to subscribe and sell on-exchange
• Increased supply压低 on-exchange prices, forcing premiums to converge
• This is exactly the market stabilization function of the arbitrage mechanism [1,3]

• LOF arbitrage takes T+2 days to complete
• Silver prices may fluctuate sharply within two days
• Price declines may completely erase arbitrage space, even leading to losses [2,4]

• The daily 500 yuan limit per account severely restricts arbitrage scale
• Even