SP08_SP10合约全商品对冲报告-20230529-银河期货-28页_718kb
报告摘要
银河期货SP08~SP10合约全商品对冲报告总结
核心内容概述
本报告由银河期货有限公司发布，旨在提供SP08~SP10合约与其它商品合约之间的对冲比例及策略变动数据，帮助投资者进行跨品种套利决策。报告涵盖多个商品类别，包括贵金属、有色金属、黑色金属、煤炭、轻工、石油、化工、谷物、油脂油料、软商品和农副产品，旨在通过合理配比降低价差波动率，提高套利策略的安全性。
主要观点
-
对冲策略原理：
- 跨品种对冲策略中，波动率与风险和收益率成正比。
- 合理的对冲比例可使价差波动率低于单边头寸，甚至同时低于两种对冲商品的波动率。
- 报告中对冲比例每季度刷新，以适应市场变化。
-
报告结构：
- 报告分为多个章节，涵盖不同商品类别。
- 每个章节包含对冲比例、对冲策略变动及对应图表。
-
对冲比例：
- 每种商品合约均提供1手SP08、SP09或SP10合约对冲其他合约的对冲比例。
- 比例包括交易单位、对冲手数及对冲吨数，便于投资者计算头寸。
-
策略变动：
- 报告展示了对冲策略在特定时间段内的货值差变动。
- 每个策略的变动值、变动占比等数据，反映策略调整情况。
关键信息
一、对冲比例表（09系列主力合约）
| 合约 | 交易单位 | 1手纸浆对冲手数 | 1吨纸浆对冲吨数 |
|---|---|---|---|
| 贵金属 | |||
| AU08 | 1000 | 0.20 | 20.00克 |
| AG08 | 15 | 0.91 | 1.37千克 |
| 有色金属 | |||
| CU09 | 5 | 0.21 | 0.10吨 |
| AL09 | 5 | 0.71 | 0.36吨 |
| ZN09 | 5 | 0.54 | 0.27吨 |
| PB09 | 5 | 0.70 | 0.35吨 |
| NI09 | 1 | 0.43 | 43.4千克 |
| SN09 | 1 | 0.32 | 31.9千克 |
| SI09 | 5 | 0.81 | 0.41吨 |
| 黑色金属 | |||
| RB10 | 10 | 1.50 | 1.50吨 |
| I09 | 100 | 0.78 | 7.84吨 |
| HC10 | 10 | 1.52 | 1.52吨 |
| SS09 | 5 | 0.77 | 0.38吨 |
| SF09 | 5 | 1.66 | 0.83吨 |
| SM09 | 5 | 1.64 | 0.82吨 |
| 煤炭 | |||
| JM09 | 60 | 0.60 | 3.61吨 |
| J09 | 100 | 0.26 | 2.56吨 |
| 轻工 | |||
| FG09 | 20 | 1.75 | 3.49吨 |
| 石油 | |||
| SC09 | 1000 | 0.12 | 11.73桶 |
| FU09 | 10 | 2.24 | 2.24吨 |
| LU09 | 10 | 1.79 | 1.79吨 |
| BU09 | 10 | 1.81 | 1.81吨 |
| PG09 | 20 | 0.67 | 1.34吨 |
| 化工 | |||
| TA09 | 5 | 2.04 | 1.02吨 |
| V09 | 5 | 1.63 | 0.82吨 |
| RU09 | 10 | 0.41 | 0.41吨 |
| NR09 | 10 | 0.52 | 0.52吨 |
| L09 | 5 | 1.25 | 0.62吨 |
| PF09 | 5 | 1.47 | 0.74吨 |
| EG09 | 10 | 1.01 | 1.01吨 |
| MA09 | 10 | 2.28 | 2.28吨 |
| PP09 | 5 | 1.30 | 0.65吨 |
| EB09 | 5 | 1.20 | 0.60吨 |
| UR09 | 20 | 1.48 | 2.96吨 |
| SA09 | 20 | 1.41 | 2.82吨 |
| 谷物 | |||
| C09 | 10 | 2.39 | 2.39吨 |
| CS09 | 10 | 2.05 | 2.05吨 |
| 油脂油料 | |||
| A09 | 10 | 1.18 | 1.18吨 |
| B09 | 10 | 1.46 | 1.46吨 |
| M09 | 10 | 1.83 | 1.83吨 |
| Y09 | 10 | 0.78 | 0.78吨 |
| RM09 | 10 | 2.12 | 2.12吨 |
| OI09 | 10 | 0.66 | 0.66吨 |
| P09 | 10 | 0.86 | 0.86吨 |
二、对冲策略变动（万元）
| 对冲合约 | 对冲组合(货值差) | 5月29日 | 5月26日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| RM09 | 1.00SP09-2.12RM09 | -1.01 | -1.15 | 0.14 | 2.74% |
| P09 | 1.00SP09-0.86P09 | -0.53 | -0.67 | 0.14 | 2.67% |
| J09 | 1.00SP09-0.26J09 | 0.21 | 0.08 | 0.12 | 2.40% |
| Y09 | 1.00SP09-0.78Y09 | -0.32 | -0.43 | 0.11 | 2.15% |
| B09 | 1.00SP09-1.46B09 | -0.47 | -0.58 | 0.10 | 2.01% |
| LH09 | 1.00SP09-0.19LH09 | 0.09 | -0.01 | 0.10 | 1.93% |
| AL09 | 1.00SP09-0.71AL09 | -1.10 | -1.20 | 0.10 | 1.96% |
| M09 | 1.00SP09-1.83M09 | -1.05 | -1.13 | 0.08 | 1.60% |
| FG09 | 1.00SP09-1.75FG09 | 0.10 | 0.02 | 0.08 | 1.53% |
| JM09 | 1.00SP09-0.6JM09 | 0.68 | 0.61 | 0.07 | 1.35% |
| A09 | 1.00SP09-1.18A09 | -0.44 | -0.51 | 0.06 | 1.25% |
| OI09 | 1.00SP09-0.66OI09 | 0.07 | 0.02 | 0.05 | 1.01% |
| V09 | 1.00SP09-1.63V09 | 0.52 | 0.47 | 0.05 | 0.95% |
| SS09 | 1.00SP09-0.77SS09 | -0.31 | -0.35 | 0.04 | 0.80% |
| NI09 | 1.00SP09-0.43NI09 | -1.53 | -1.57 | 0.04 | 0.79% |
| PB09 | 1.00SP09-0.7PB09 | -0.12 | -0.16 | 0.04 | 0.72% |
| AU08 | 1.00SP08-0.2AU08 | -3.73 | -3.76 | 0.03 | 0.53% |
| MA09 | 1.00SP09-2.28MA09 | 0.53 | 0.50 | 0.03 | 0.57% |
| NR09 | 1.00SP09-0.52NR09 | 0.22 | 0.19 | 0.03 | 0.55% |
| AP10 | 1.00SP09-0.74AP10 | -1.34 | -1.37 | 0.03 | 0.54% |
| CS09 | 1.00SP09-2.05CS09 | -0.77 | -0.80 | 0.03 | 0.54% |
| EG09 | 1.00SP09-1.01EG09 | 1.08 | 1.06 | 0.02 | 0.45% |
| RU09 | 1.00SP09-0.41RU09 | 0.33 | 0.31 | 0.02 | 0.34% |
| HC10 | 1.00SP09-1.52HC10 | -0.33 | -0.35 | 0.02 | 0.29% |
| RB10 | 1.00SP09-1.5RB10 | -0.11 | -0.11 | 0.00 | 0.10% |
| UR09 | 1.00SP09-1.48UR09 | 0.25 | 0.25 | 0.00 | 0.03% |
| SM09 | 1.00SP09-1.64SM09 | -0.26 | -0.27 | 0.00 | 0.02% |
| PF09 | 1.00SP09-1.47PF09 | 0.07 | 0.07 | 0.00 | 0.00% |
| ZN09 | 1.00SP09-0.54ZN09 | 0.04 | 0.04 | -0.01 | -0.10% |
| EB09 | 1.00SP09-1.2EB09 | 0.72 | 0.72 | -0.01 | -0.14% |
| PP09 | 1.00SP09-1.3PP09 | 0.64 | 0.65 | -0.01 | -0.16% |
| PG09 | 1.00SP09-0.67PG09 | -0.05 | -0.04 | -0.01 | -0.27% |
| SR09 | 1.00SP09-0.97SR09 | -1.53 | -1.52 | -0.02 | -0.22% |
| C09 | 1.00SP09-2.39C09 | -1.00 | -0.98 | -0.02 | -0.16% |
| L09 | 1.00SP09-1.25L09 | 0.37 | 0.40 | -0.02 | -0.43% |
| SF09 | 1.00SP09-1.66SF09 | -0.70 | -0.67 | -0.02 | -0.46% |
| SI09 | 1.00SP09-0.81SI09 | -0.70 | -0.67 | -0.02 | -0.46% |
| CU09 | 1.00SP09-0.21CU09 | -1.47 | -1.44 | -0.03 | -0.53% |
| BU09 | 1.00SP06-1.81BU09 | -1.41 | -1.38 | -0.03 | -0.63% |
| AG08 | 1.00SP08-0.91AG08 | -2.20 | -2.15 | -0.05 | -0.95% |
| JD09 | 1.00SP09-1.31JD09 | -0.27 | -0.21 | -0.05 | -1.63% |
| LU09 | 1.00SP09-1.79LU09 | -1.79 | -1.72 | -0.06 | -1.24% |
| SC09 | 1.00SP09-0.12SC09 | -1.01 | -0.94 | -0.07 | -1.36% |
| FU09 | 1.00SP09-2.24FU09 | -1.57 | -1.47 | -0.10 | -1.89% |
| SN09 | 1.00SP09-0.32SN09 | -1.44 | -1.26 | -0.18 | -3.46% |
| SA09 | 1.00SP09-1.41SA09 | 0.43 | 0.62 | -0.19 | -3.75% |
| ZN09 | 1.00SP09-0.54ZN09 | 0.04 | 0.04 | -0.01 | -0.10% |
| EB09 | 1.00SP09-1.2EB09 | 0.72 | 0.72 | -0.01 | -0.14% |
| PP09 | 1.00SP09-1.3PP09 | 0.64 | 0.65 | -0.01 | -0.16% |
| PG09 | 1.00SP09-0.67PG09 | -0.05 | -0.04 | -0.01 | -0.27% |
| SR09 | 1.00SP09-0.97SR09 | -1.53 | -1.52 | -0.02 | -0.22% |
| C09 | 1.00SP09-2.39C09 | -1.00 | -0.98 | -0.02 | -0.16% |
| CS09 | 1.00SP09-2.05CS09 | -0.77 | -0.80 | -0.03 | -0.54% |
| EG09 | 1.00SP09-1.01EG09 | 1.08 | 1.06 | -0.02 | -0.45% |
| RU09 | 1.00SP09-0.41RU09 | 0.33 | 0.31 | -0.02 | -0.34% |
| NR09 | 1.00SP09-0.52NR09 | 0.22 | 0.19 | -0.03 | -0.55% |
| L09 | 1.00SP09-1.25L09 | 0.37 | 0.40 | -0.02 | -0.43% |
| PF09 | 1.00SP09-1.47PF09 | 0.07 | 0.07 | -0.01 | -0.14% |
| TA09 | 1.00SP09-2.04TA09 | -0.37 | -0.33 | -0.05 | -0.88% |
| V09 | 1.00SP09-1.63V09 | 0.52 | 0.47 | -0.05 | -0.88% |
| ZN09 | 1.00SP09-0.54ZN09 | 0.04 | 0.04 | -0.01 | -0.10% |
| EB09 | 1.00SP09-1.2EB09 | 0.72 | 0.72 | -0.01 | -0.14% |
| PP09 | 1.00SP09-1.3PP09 | 0.64 | 0.65 | -0.01 | -0.16% |
| PG09 | 1.00SP09-0.67PG09 | -0.05 | -0.04 | -0.01 | -0.27% |
| SR09 | 1.00SP09-0.97SR09 | -1.53 | -1.52 | -0.02 | -0.22% |
| C09 | 1.00SP09-2.39C09 | -1.00 | -0.98 | -0.02 | -0.16% |
| CS09 | 1.00SP09-2.05CS09 | -0.77 | -0.80 | -0.03 | -0.54% |
| EG09 | 1.00SP09-1.01EG09 | 1.08 | 1.06 | -0.02 | -0.45% |
| RU09 | 1.00SP09-0.41RU09 | 0.33 | 0.31 | -0.02 | -0.34% |
| NR09 | 1.00SP09-0.52NR09 | 0.22 | 0.19 | -0.03 | -0.55% |
| L09 | 1.00SP09-1.25L09 | 0.37 | 0.40 | -0.02 | -0.43% |
| PF09 | 1.00SP09-1.47PF09 | 0.07 | 0.07 | -0.01 | -0.14% |
| TA09 | 1.00SP09-2.04TA09 | -0.37 | -0.33 | -0.05 | -0.88% |
| V09 | 1.00SP09-1.63V09 | 0.52 | 0.47 | -0.05 | -0.88% |
| RU09 | 1.00SP09-0.41RU09 | 0.33 | 0.31 | -0.02 | -0.34% |
| NR09 | 1.00SP09-0.52NR09 | 0.22 | 0.19 | -0.03 | -0.55% |
| L09 | 1.00SP09-1.25L09 | 0.37 | 0.40 | -0.02 | -0.43% |
| PF09 | 1.00SP09-1.47PF09 | 0.07 | 0.07 | -0.01 | -0.14% |
| EG09 | 1.00SP09-1.01EG09 | 1.08 | 1.06 | -0.02 | -0.45% |
| MA09 | 1.00SP09-2.28MA09 | 0.53 | 0.50 | -0.03 | -0.57% |
| PP09 | 1.00SP09-1.3PP09 | 0.64 | 0.65 | -0.01 | -0.16% |
| EB09 | 1.00SP09-1.2EB09 | 0.72 | 0.72 | -0.01 | -0.14% |
| UR09 | 1.00SP09-1.48UR09 | 0.25 | 0.25 | -0.01 | -0.03% |
| SA09 | 1.00SP09-1.41SA09 | 0.43 | 0.62 | -0.19 | -3.75% |
| 谷物 | |||||
| C09 | 1.00SP09-2.39C09 | -1.00 | -0.98 | -0.02 | -0.16% |
| CS09 | 1.00SP09-2.05CS09 | -0.77 | -0.80 | -0.03 | -0.54% |
| 油脂油料 | |||||
| A09 | 1.00SP09-1.18A09 | -0.44 | -0.51 | 0.06 | 1.25% |
| B09 | 1.00SP09-1.46B09 | -0.32 | -0.43 | 0.10 | 2.01% |
| M09 | 1.00SP09-1.83M09 | -0.27 | -0.35 | 0.08 | 1.60% |
| Y09 | 1.00SP09-0.78Y09 | -0.32 | -0.43 | 0.11 | 2.15% |
| RM09 | 1.00SP09-2.12RM09 | -0.70 | -0.67 | 0.02 | 0.46% |
| OI09 | 1.00SP09-0.66OI09 | 0.07 | 0.02 | 0.05 | 1.01% |
| P09 | 1.00SP09-0.86P09 | -0.41 | -0.39 | -0.03 | -0.52% |
| 软商品 | |||||
| CF09 | 1.00SP09-0.72CF09 | -0.41 | -0.39 | -0.03 | -0.52% |
| SR09 | 1.00SP09-0.97SR09 | -1.53 | -1.52 | -0.02 | -0.22% |
| 农副产品 | |||||
| JD09 | 1.00SP09-1.31JD09 | -0.27 | -0.21 | -0.05 | -1.63% |
| LH09 | 1.00SP09-0.19LH09 | 0.09 | -0.01 | 0.10 | 1.93% |
| AP10 | 1.00SP10-0.74AP10 | -1.34 | -1.37 | 0.03 | 0.54% |
报告说明
- 报告中所有数据均来源于银河期货及交易所平台（如Win.d）。
- 投资者应结合《银河期货商品估值和周期报告》、《银河期货商品基差和月差报告》等资料进行综合分析。
- 本报告仅作为参考，不构成投资建议，且不承担因使用报告而导致的任何损失。
联系方式
- 银河期货有限公司
- 能化投资研究部
- 北京地址：北京市朝阳区建国门外大街8号北京IFC国际财源中心A座31/33层
- 上海地址：上海市虹口区东大名路501号白玉兰广场28层
- 网址：www.yhqh.com.cn
- 电话：400-886-7799
- 邮箱：panshengjie_qh@chinastock.com.cn
- 手机号：160-2162-2706
- 微博：朕小Raynor摇再数据
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