20220926-银河期货-RU01合约全商品对冲报告_27页_1mb
报告摘要
银河期货RU01合约全商品对冲报告总结
核心内容
本报告提供了基于RU01合约的跨品种对冲比例及策略变动数据，旨在帮助投资者通过多品种对冲降低风险并优化收益。报告涵盖了多个商品类别，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、软商品及农副产品，为不同商品间的对冲策略提供了详尽的参考。
主要观点
- 跨品种对冲策略：通过合理配比的跨品种套利，可以有效降低价差波动率，通常低于单边头寸，有时甚至同时低于对冲商品的波动率。
- 波动率与风险：波动率与风险成正比，而合理的对冲比例有助于控制风险。
- 对冲比例：报告提供了RU01合约对冲其他商品的具体比例，包括对冲手数和吨数，便于投资者根据自身需求进行配比调整。
- 策略变动：对冲策略在近期发生了变动，部分商品的货值差有所变化，投资者需关注策略的动态调整。
- 综合决策：建议投资者结合《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》以及各商品基本面报告进行综合判断。
关键信息
对冲比例
| 合约 | 交易单位 | 1手RU01对冲手数 | 1吨RU01对冲吨数 |
|---|---|---|---|
| AU12 | 1000 | 1.03 | 0.10千克 |
| AG12 | 15 | 2.95 | 4.42千克 |
| CU01 | 5 | 0.57 | 0.29吨 |
| AL01 | 5 | 2.41 | 1.20吨 |
| ZN01 | 5 | 3.00 | 1.50吨 |
| PB01 | 5 | 2.94 | 1.47吨 |
| NI01 | 1 | 1.50 | 0.15吨 |
| SN01 | 1 | 1.57 | 0.16吨 |
| RB01 | 10 | 5.61 | 5.61吨 |
| I01 | 100 | 2.36 | 23.64吨 |
| HC01 | 10 | 5.56 | 5.56吨 |
| SS01 | 5 | 2.21 | 1.11吨 |
| SF01 | 5 | 6.61 | 3.30吨 |
| SM01 | 5 | 5.70 | 2.85吨 |
| JM01 | 60 | 2.86 | 17.13吨 |
| J01 | 100 | 1.14 | 11.38吨 |
| FG01 | 20 | 7.35 | 14.70吨 |
| SP01 | 10 | 2.63 | 2.63吨 |
| SC01 | 1000 | 0.42 | 41.62桶 |
| FU01 | 10 | 7.00 | 7.00吨 |
| LU01 | 10 | 4.84 | 4.84吨 |
| BU12 | 10 | 4.79 | 4.79吨 |
| PG01 | 20 | 1.74 | 3.48吨 |
| TA01 | 5 | 5.81 | 2.90吨 |
| V01 | 5 | 6.28 | 3.14吨 |
| NR01 | 10 | 1.21 | 1.21吨 |
| L01 | 5 | 4.33 | 2.17吨 |
| PF01 | 5 | 4.34 | 2.17吨 |
| EG01 | 10 | 2.93 | 2.93吨 |
| MA01 | 10 | 8.39 | 8.39吨 |
| PP01 | 5 | 4.38 | 2.19吨 |
| EB01 | 5 | 4.33 | 2.17吨 |
| UR01 | 20 | 6.20 | 12.40吨 |
| SA01 | 20 | 6.63 | 13.27吨 |
| C01 | 10 | 11.93 | 11.93吨 |
| CS01 | 10 | 9.93 | 9.93吨 |
| A01 | 10 | 6.23 | 6.23吨 |
| B01 | 10 | 6.89 | 6.89吨 |
| M01 | 10 | 7.90 | 7.90吨 |
| Y01 | 10 | 3.30 | 3.30吨 |
| RM01 | 10 | 10.41 | 10.41吨 |
| OI01 | 10 | 2.60 | 2.60吨 |
| P01 | 10 | 3.47 | 3.47吨 |
| CF01 | 5 | 2.57 | 1.28吨 |
| SR01 | 10 | 4.57 | 4.57吨 |
| JD01 | 10 | 4.54 | 4.54吨 |
| LH01 | 16 | 0.68 | 1.09吨 |
| AP01 | 10 | 1.82 | 1.82吨 |
对冲策略变动
| 对冲合约 | 货值差变动（万元） | 9月26日 | 9月23日 | 变动δ | 变动δ占1.00手RU01比例 |
|---|---|---|---|---|---|
| P01 | -12.34 | -12.34 | -13.86 | 1.52 | 11.67% |
| FU01 | -5.42 | -5.42 | -6.71 | 1.29 | 9.89% |
| LU01 | -7.18 | -7.18 | -8.18 | 1.00 | 7.68% |
| SC01 | -11.77 | -11.77 | -12.77 | 1.00 | 7.68% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| SN01 | -13.49 | -13.49 | -14.37 | 0.89 | 6.82% |
| NI01 | -13.93 | -13.93 | -14.77 | 0.84 | 6.44% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| ZN01 | -21.58 | -21.58 | -22.30 | 0.72 | 5.55% |
| AL01 | -8.45 | -8.45 | -9.01 | 0.55 | 4.24% |
| TA01 | -2.39 | -2.39 | -2.93 | 0.55 | 4.21% |
| EB01 | -4.72 | -4.72 | -5.27 | 0.54 | 4.18% |
| CU01 | -3.68 | -3.68 | -4.20 | 0.53 | 4.04% |
| NR01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| L01 | -4.08 | -4.08 | -4.32 | 0.38 | 2.89% |
| PF01 | -2.03 | -2.03 | -2.40 | 0.36 | 2.76% |
| EG01 | 0.66 | 0.66 | 0.30 | 0.36 | 2.72% |
| MA01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| PP01 | -3.97 | -3.97 | -4.23 | 0.25 | 1.95% |
| UR01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| SA01 | -19.17 | -19.17 | -18.72 | 0.45 | 3.47% |
| C01 | -20.18 | -20.18 | -20.65 | 0.47 | 3.60% |
| CS01 | -17.03 | -17.03 | -17.43 | 0.41 | 3.13% |
| PG01 | -4.08 | -4.08 | -4.47 | 0.39 | 2.99% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
| P01 | -16.93 | -16.93 | -17.28 | 0.35 | 2.72% |
| OI01 | -13.76 | -13.76 | -14.49 | 0.73 | 5.63% |
| Y01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| A01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| B01 | -19.41 | -19.41 | -19.91 | 0.51 | 3.89% |
| M01 | -16.07 | -16.07 | -17.03 | 0.96 | 7.41% |
| RM01 | -18.78 | -18.78 | -19.03 | 0.25 | 1.95% |
重要提示
- 投资者应结合其他报告及基本面分析进行综合决策。
- 本报告仅供参考，不构成投资建议，不保证内容的准确性或完整性。
- 银河期货不承担因使用本报告而产生的任何责任。
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