Research on Identification and Prevention of Exchange-Traded Premium Risks of Commodity Futures LOF Funds

Based on collected materials, I will systematically analyze the identification and prevention measures of exchange-traded premium risks of commodity futures LOF funds, as well as the implications for investor protection from the trading halt mechanism of SDIC Silver LOF.

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LOF funds (Listed Open-Ended Funds) have a unique

, which is the fundamental cause of premium risks:

Trading Market	Pricing Mechanism	Participants	Price Type
Primary Market	Based on fund net asset value, subscription/redemption via “basket of stocks”	Dominated by institutional investors	Net Asset Value per Share (IOPV)
Secondary Market	Determined by bid-ask trading, affected by supply-demand relations and market sentiment	Dominated by retail investors	Exchange-Traded Price

:
$$\text{Premium Rate} = \frac{\text{Trading Price} - \text{IOPV}}{\text{IOPV}} \times 100%$$

Taking SDIC Silver LOF as an example, the net asset value per share was RMB 2.0676 on January 9, 2026, and the secondary market closing price rose to as high as RMB 2.710 by January 12, with a

[1][2].

Identification Dimension	Specific Indicator	Risk Threshold Reference
Price Deviation	Premium Rate	Risk alerts are usually triggered when it exceeds 5%
Price Volatility	Intraday Price Fluctuation Range	Consecutive daily price limit-ups or limit-downs
Abnormal Trading Volume	Price surge with increased trading volume or price surge with decreased trading volume	Divergence between trading volume and price
Market Sentiment Indicator	Tightness of the Bid-Ask Order Book	Scant sell orders, accumulated buy orders

According to market analysis, the main reasons for high premiums in LOF funds include [3][4]:

1. Imbalanced Market Supply and Demand
   : Frenzy among investors for specific assets leads to a surge in buy demand in the secondary market
2. Product Scarcity
   : For example, SDIC Silver LOF has become a scarce tool for investors to participate in silver futures
3. Liquidity Constraints
   : Insufficient liquidity of small-scale products amplifies price fluctuations
4. Market Sentiment-Driven
   : Speculation by short-term speculative funds amplifies the premium margin

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┌─────────────────────────────────────────────────────────────┐
│                    Premium Risk Prevention System            │
├─────────────────────────────────────────────────────────────┤
│  【Pre-Event Identification】                                │
│    • Check net asset value information in fund announcements daily │
│    • Calculate real-time premium rate: Premium Rate=(Current Price - IOPV)/IOPV×100% │
│    • Monitor premium risk alert announcements issued by fund companies │
│    • Understand product scale and liquidity status          │
├─────────────────────────────────────────────────────────────┤
│  【Mid-Event Control】                                      │
│    • Exercise caution when the premium rate exceeds 5%      │
│    • Build positions in batches to avoid chasing gains and selling at losses │
│    • Set stop-loss levels to control maximum losses         │
│    • Avoid chasing high prices near the daily price limit-up │
├─────────────────────────────────────────────────────────────┤
│  【Post-Event Response】                                    │
│    • Sell or redeem in a timely manner when the premium converges │
│    • Use arbitrage mechanisms for risk hedging              │
│    • Pay close attention to the market on the first trading day after resumption of trading │
└─────────────────────────────────────────────────────────────┘

Arbitrage Type	Applicable Scenario	Operation Process	Risk Alert
Positive Arbitrage (Premium Arbitrage)	Secondary market price > Primary market IOPV	Buy basket of stocks → Subscribe for ETF → Sell in secondary market	Liquidity risk, impact cost
Reverse Arbitrage (Discount Arbitrage)	Secondary market price < Primary market IOPV	Buy in secondary market → Redeem to obtain stocks → Sell stocks	Unable to sell stocks due to daily price limit-down

: Arbitrage requires professional skills and low transaction costs, and is not recommended for retail investors to attempt casually.

1. IOPV Priority Principle
   : Take the fund’s net asset value per share (IOPV) as the core basis for investment decisions, rather than the secondary market trading price
2. Risk Tolerance Assessment
   : High premiums mean high risk exposure, which must match one’s own risk tolerance
3. Information Acquisition Channels
   : Obtain information through official channels such as fund companies’ official websites and exchange announcements
4. Clear Investment Objectives
   : Distinguish the risk differences between investment (long-term holding) and speculation (short-term trading)

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Trading Halt Type	Trigger Condition	Implementation Purpose	Effect Evaluation
Temporary Trading Halt	Excessive premium margin, large price fluctuations	Warn the market of risks, provide investors with a cooling-off period	Effectively curbs speculative sentiment in the short term
Extended Trading Halt	Premium does not effectively decline	Further curb speculation, create time for arbitrage	Conducive to price regression to IOPV in the long term

[1][2]:

• December 24, 2025: Temporary trading halt for one hour in the morning session; trading hit the daily price limit-up immediately after resumption
• January 13, 2026: Trading halted from market opening to 10:30
• January 19, 2026: Temporary trading halt from market opening to 10:30

                    ┌──────────────────────┐
                    │   Regulator Protection Measures │
                    │  SZSE Key Account Monitoring │
                    └──────────┬───────────┘
                               │
              ┌────────────────┼────────────────┐
              ▼                ▼                ▼
    ┌─────────────────┐ ┌─────────────────┐ ┌─────────────────┐
    │   Fund Company Responsibilities │ │   Securities Broker Cooperation Mechanism │ │   Exchange Supervision │
    │  • Continuously issue risk │ │  • Investor Education Prompts │ │  • Abnormal Transaction Identification │
    │    alert announcements │ │  • Risk Notification │ │  • Self-Regulatory Management Measures │
    │  • Apply for intraday trading halts │ │  • Follow-Up on Restrictive Measures │ │  • Linked to Classification Evaluation │
    └─────────────────┘ └─────────────────┘ └─────────────────┘
                               │
                               ▼
                    ┌──────────────────────┐
                    │   Investor Self-Protection │
                    │  • Monitor IOPV Changes │
                    │  • Rational Investment Decisions │
                    │  • Avoid Abnormal Trading Behaviors │
                    └──────────────────────┘

Based on collected materials, the key monitoring measures implemented by the Shenzhen Stock Exchange (SZSE) for SDIC Silver LOF include [2]:

Monitoring Element	Specific Content
Monitoring Period	December 24, 2025 to January 8, 2026
Monitoring Targets	Investment accounts with abnormal trading behaviors
Types of Abnormal Behaviors	Stock price manipulation, false declarations, frequent large-scale order cancellations, intentional price pushing or suppression
Graded Regulatory Measures	Warning Letter → Key Monitored Account → Suspension of Account Trading → Restriction of Account Trading

[2]:

• The exchange sends letters to brokers to provide lists of key monitored accounts
• Brokers are required to take proactive preventive measures, and issue investor education prompts via SMS and phone calls
• Broker classification evaluation is linked to abnormal transaction management work

Implication Dimension	Specific Content	Significance for Investors
Risk Alert	Trading halts send clear risk signals to the market	Provides investors with time for calm reflection
Price Discovery	Arbitrageurs enter the market during extended trading halts	Promotes price regression to IOPV
Fair Trading	Curb price manipulation using capital advantages	Protects the interests of small and medium-sized investors
Educational Function	Multi-party risk alert mechanism	Enhances investors’ risk awareness

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□ Check fund IOPV after daily market close
□ Calculate and record changes in premium rate
□ Read risk alert announcements from fund companies
□ Evaluate personal risk tolerance
□ Develop a clear stop-loss strategy
□ Avoid following the trend to chase high-premium products

Warning Signal	Risk Level	Recommended Action
Premium rate exceeds 5%	Medium Risk	Monitor, exercise caution when chasing gains
Premium rate exceeds 10%	High Risk	Recommended to reduce positions or wait and see
Temporary trading halt occurs	Extreme Risk	Suspend buying, consider selling
Receive abnormal transaction prompts from brokers	Extreme Risk	Immediately stop abnormal behaviors

Based on the SDIC Silver LOF case, it is recommended to improve the investor protection mechanism from the following aspects:

1. Strengthen Information Disclosure
   : Increase the frequency of IOPV disclosure, update IOPV in real-time during the trading session
2. Optimize Trading Halt Rules
   : Establish a graded trading halt system, set halt durations based on premium rate gradients
3. Enhance Abnormal Transaction Monitoring
   : Expand monitoring scope, increase costs of violations
4. Deepen Investor Education
   : Popularize knowledge of LOF trading mechanisms and risks
5. Guide Rational Investment
   : Encourage long-term investment, curb speculative behaviors

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The trading halt mechanism of SDIC Silver LOF provides an important practical sample for investor protection in LOF funds. Through measures such as

and , combined with the exchange’s and brokers’ , a multi-level investor protection system has been formed.

For investors, the core of preventing exchange-traded premium risks of LOF funds lies in:

1. Anchor to IOPV
   : Take the fund’s net asset value per share (IOPV) as the core basis for investment decisions
2. Premium Rate Alert
   : Be highly vigilant when the premium rate exceeds 5%
3. Information Sensitivity
   : Closely monitor risk alert announcements from fund companies
4. Rational Investment
   : Avoid emotional trading, and guard against chasing gains and selling at losses

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[1] Yicai Global - SDIC Silver LOF: To Halt Trading from Market Opening to 10:30 on January 13 (https://www.yicai.com/news/102999654.html)
[2] Wall Street CN - Silver LOF Hits Price Limit-Up Again in Trading Session! Some Investors Receive “Abnormal Transaction” Alerts and Will Be Subject to Key Monitoring (https://wallstreetcn.com/articles/3761982)
[3] Sina Finance - Talking About ETF Premiums (https://finance.sina.com.cn/money/fund/jjzl/2024-11-29/doc-incxtqvp1874996.shtml)
[4] Western Securities - SZSE Investor Education | Investment Advancement: Exchange-Traded Fund Investment Strategies (Part 1) (http://www.west95582.com/edu/public/detail.jsp?classid=00010016000100010002&infoid=3421316)