Additionally, I suggest sending Velvet from southern cities, like Bratislav (check for lowest Velvet prices, under 200 per item), to northern Swedish cities, like Dorpat, Narva and Vyborg (which usually are above 1500 per item). These are usually the places with the highest prices for Velvet (and quite low for furs). Keep in mind that this may vary per game, so be sure to check.
Also, to activate a caravan from a city where the merchant doesn't have the commodity you're trying to send, have one piece of the commodity with you at all times and sell it to the goods merchant a moment before asking to send a caravan. If the goods merchant has at least one item in inventory, you can send a caravan of up to 40 items. Do not forget to buy the item back before leaving the city. Protip: don't leave your item with the goods merchant while doing the 'assess prices' thing. He might sell it by the time you're done with the assessment.