20230321-银河期货-SP05合约_SP06合约全商品对冲报告_27页_696kb
报告摘要
银河期货SP05合约&SP06合约全商品对冲报告总结
核心内容概述
本报告由银河期货研究员潘盛杰发布，旨在提供SP05合约与SP06合约对冲其他商品合约的配比信息，以帮助投资者通过跨品种对冲策略降低风险、优化收益。报告中提供了不同商品的对冲比例及策略变动数据，适用于12月至次年4月的时间段，且波动率每季度刷新。对冲策略基于历史价格数据，通过多SP合约、空其他商品合约的方式，实现价差波动率最小化。
主要观点
- 对冲策略目标：通过合理配比，实现跨品种对冲，降低价差波动率。
- 波动率与风险关系：波动率与风险、收益率正相关，对冲策略在多数情况下能有效降低波动率。
- 时间范围：本报告适用于SP05与SP06合约的12月至次年4月期间，具体对冲比例需结合此时间段的历史数据。
- 策略验证：建议结合银河期货的商品估值、基差和月差报告，以及各商品基本面分析，进行综合决策，并参考跨品种对冲图验证策略安全性。
关键信息
一、对冲比例
| 商品合约 | 交易单位 | 1手纸浆对冲手数 | 1吨纸浆对冲吨数 |
|---|---|---|---|
| 贵金属 | |||
| AU06 | 1000 | 0.18 | 0.02千克 |
| AG06 | 15 | 0.84 | 1.24千克 |
| 有色金属 | |||
| CU05 | 5 | 0.21 | 0.10吨 |
| AL05 | 5 | 0.71 | 0.35吨 |
| ZN05 | 5 | 0.54 | 0.27吨 |
| PB05 | 5 | 0.69 | 0.34吨 |
| NI05 | 1 | 0.45 | 0.05吨 |
| SN05 | 1 | 0.32 | 0.03吨 |
| 黑色金属 | |||
| RB05 | 10 | 1.50 | 1.48吨 |
| I05 | 100 | 0.81 | 8.04吨 |
| HC05 | 10 | 1.52 | 1.50吨 |
| SS05 | 5 | 0.77 | 0.38吨 |
| SF05 | 5 | 1.65 | 0.79吨 |
| SM05 | 5 | 1.62 | 0.79吨 |
| 煤炭 | |||
| JM05 | 60 | 0.61 | 3.53吨 |
| J05 | 100 | 0.26 | 2.51吨 |
| 轻工 | |||
| FG05 | 20 | 1.79 | 3.45吨 |
| 石油 | |||
| SC05 | 1000 | 0.12 | 21.47桶 |
| FU05 | 10 | 2.26 | 2.24吨 |
| LU05 | 10 | 1.82 | 1.85吨 |
| BU06 | 10 | 1.84 | 1.80吨 |
| PG05 | 20 | 0.66 | 1.32吨 |
| 化工 | |||
| TA05 | 5 | 2.05 | 1.01吨 |
| V05 | 5 | 1.63 | 0.80吨 |
| RU05 | 10 | 0.39 | 0.38吨 |
| NR05 | 10 | 0.52 | 0.51吨 |
| L05 | 5 | 1.24 | 0.61吨 |
| PF05 | 5 | 1.45 | 0.71吨 |
| EG05 | 10 | 0.99 | 0.96吨 |
| MA05 | 10 | 2.27 | 2.18吨 |
| PP05 | 5 | 1.31 | 0.63吨 |
| EB05 | 5 | 1.19 | 0.58吨 |
| UR05 | 20 | 1.48 | 2.97吨 |
| SA05 | 20 | 1.41 | 2.78吨 |
| 谷物 | |||
| C05 | 10 | 2.41 | 2.46吨 |
| CS05 | 10 | 2.06 | 2.07吨 |
| 油脂油料 | |||
| A05 | 10 | 1.17 | 1.19吨 |
| B05 | 10 | 1.49 | 1.44吨 |
| M05 | 10 | 1.83 | 1.76吨 |
| Y05 | 10 | 0.78 | 0.77吨 |
| RM05 | 10 | 2.17 | 2.25吨 |
| OI05 | 10 | 0.66 | 0.66吨 |
| P05 | 10 | 0.84 | 0.86吨 |
| 软商品 | |||
| CF05 | 5 | 0.71 | 0.35吨 |
| SR05 | 10 | 0.97 | 0.95吨 |
| 农副产品 | |||
| JD05 | 10 | 1.45 | 1.33吨 |
| LH05 | 16 | 0.19 | 0.31吨 |
| AP05 | 10 | 0.70 | 0.70吨 |
对冲策略变动（单位：万元）
| 对冲合约 | 对冲组合(货值差) | 3月21日 | 3月20日 | 变动δ | 变动δ占比 |
|---|---|---|---|---|---|
| JM05 | 1.00SP05-0.61JM05 | -1.02 | -1.07 | +0.05 | +0.96% |
| UR05 | 1.00SP05-1.48UR05 | -1.72 | -1.77 | +0.04 | +0.78% |
| C05 | 1.00SP05-2.41C05 | -1.11 | -1.13 | +0.02 | +0.36% |
| CS05 | 1.00SP05-2.06CS05 | -0.67 | -0.67 | +0.00 | +0.04% |
| SA05 | 1.00SP05-1.41SA05 | -2.34 | -2.31 | -0.03 | -0.52% |
| OI05 | 1.00SP05-0.66OI05 | -0.10 | -0.05 | -0.05 | -0.96% |
| J05 | 1.00SP05-0.26J05 | -1.37 | -1.31 | -0.06 | -1.11% |
| NI05 | 1.00SP05-0.45NI05 | -2.10 | -2.03 | -0.07 | -1.27% |
| RB05 | 1.00SP05-1.5RB05 | -0.64 | -0.56 | -0.08 | -1.37% |
| AU06 | 1.00SP06-0.18AU06 | -2.26 | -2.18 | -0.08 | -1.39% |
| MA05 | 1.00SP05-2.27MA05 | -0.06 | +0.02 | -0.08 | -1.42% |
| HC05 | 1.00SP05-1.52HC05 | -0.91 | -0.82 | -0.09 | -1.52% |
| I05 | 1.00SP05-0.81I05 | -1.53 | -1.43 | -0.10 | -1.81% |
| SM05 | 1.00SP05-1.62SM05 | -0.36 | -0.25 | -0.10 | -1.87% |
| EG05 | 1.00SP05-0.99EG05 | +1.61 | +1.72 | -0.11 | -1.88% |
| SS05 | 1.00SP05-0.77SS05 | -0.30 | -0.19 | -0.11 | -1.98% |
| CF05 | 1.00SP05-0.71CF05 | +0.62 | +0.74 | -0.12 | -2.07% |
| A05 | 1.00SP05-1.17A05 | -0.77 | -0.65 | -0.12 | -2.22% |
| V05 | 1.00SP05-1.63V05 | +0.62 | +0.75 | -0.13 | -2.47% |
| Y05 | 1.00SP05-0.78Y05 | -0.72 | -0.59 | -0.13 | -2.28% |
| TA05 | 1.00SP05-2.05TA05 | -0.41 | -0.29 | -0.13 | -2.28% |
| RM05 | 1.00SP05-2.17RM05 | -0.71 | -0.58 | -0.13 | -2.31% |
| PG05 | 1.00SP05-0.66PG05 | -0.18 | -0.05 | -0.14 | -2.41% |
| AG06 | 1.00SP06-0.84AG06 | +5.07 | +5.21 | -0.14 | -2.42% |
| JD05 | 1.00SP05-1.45JD05 | -0.76 | -0.62 | -0.14 | -2.44% |
| NR05 | 1.00SP05-0.52NR05 | +0.68 | +0.82 | -0.14 | -2.53% |
| P05 | 1.00SP05-0.84P05 | -0.82 | -0.68 | -0.14 | -2.57% |
| SF05 | 1.00SP05-1.65SF05 | -0.83 | -0.69 | -0.15 | -2.62% |
| L05 | 1.00SP05-1.24L05 | +0.60 | +0.76 | -0.16 | -2.84% |
| EG05 | 1.00SP05-0.99EG05 | +1.61 | +1.72 | -0.11 | -1.88% |
| MA05 | 1.00SP05-2.27MA05 | -0.06 | +0.02 | -0.08 | -1.42% |
| PP05 | 1.00SP05-1.31PP05 | +0.68 | +0.83 | -0.15 | -2.67% |
| EB05 | 1.00SP05-1.19EB05 | +0.66 | +0.84 | -0.17 | -3.09% |
| SN05 | 1.00SP05-0.32SN05 | -0.23 | -0.05 | -0.18 | -3.17% |
| BU06 | 1.00SP06-1.84BU06 | -0.97 | -0.79 | -0.18 | -3.22% |
| FG05 | 1.00SP05-1.79FG05 | -0.02 | +0.16 | -0.18 | -3.22% |
| AL05 | 1.00SP05-0.71AL05 | -0.85 | -0.66 | -0.18 | -3.24% |
| FU05 | 1.00SP05-2.26FU05 | -0.32 | -0.11 | -0.21 | -3.68% |
| B05 | 1.00SP05-1.49B05 | -0.65 | -0.45 | -0.21 | -3.69% |
| M05 | 1.00SP05-1.83M05 | -1.05 | -0.84 | -0.21 | -3.72% |
| UR05 | 1.00SP05-1.48UR05 | -1.72 | -1.68 | -0.14 | -2.44% |
| SA05 | 1.00SP05-1.41SA05 | -2.34 | -2.31 | -0.03 | -0.52% |
| OI05 | 1.00SP05-0.66OI05 | -0.10 | -0.05 | -0.05 | -0.96% |
| J05 | 1.00SP05-0.26J05 | -1.37 | -1.31 | -0.06 | -1.11% |
| NI05 | 1.00SP05-0.45NI05 | -2.10 | -2.03 | -0.07 | -1.27% |
| RB05 | 1.00SP05-1.5RB05 | -0.64 | -0.56 | -0.08 | -1.37% |
| AU06 | 1.00SP06-0.18AU06 | -2.26 | -2.18 | -0.08 | -1.39% |
| MA05 | 1.00SP05-2.27MA05 | -0.06 | +0.02 | -0.08 | -1.42% |
| HC05 | 1.00SP05-1.52HC05 | -0.91 | -0.82 | -0.09 | -1.52% |
| I05 | 1.00SP05-0.81I05 | -1.53 | -1.43 | -0.10 | -1.81% |
| SM05 | 1.00SP05-1.62SM05 | -0.36 | -0.25 | -0.10 | -1.87% |
| EG05 | 1.00SP05-0.99EG05 | +1.61 | +1.72 | -0.11 | -1.88% |
| SS05 | 1.00SP05-0.77SS05 | -0.30 | -0.19 | -0.11 | -1.98% |
| CF05 | 1.00SP05-0.71CF05 | +0.62 | +0.74 | -0.12 | -2.07% |
| A05 | 1.00SP05-1.17A05 | -0.77 | -0.65 | -0.12 | -2.22% |
| V05 | 1.00SP05-1.63V05 | +0.62 | +0.75 | -0.13 | -2.47% |
| Y05 | 1.00SP05-0.78Y05 | -0.72 | -0.59 | -0.13 | -2.28% |
| TA05 | 1.00SP05-2.05TA05 | -0.41 | -0.29 | -0.13 | -2.28% |
| RM05 | 1.00SP05-2.17RM05 | -0.71 | -0.58 | -0.13 | -2.31% |
| PG05 | 1.00SP05-0.66PG05 | -0.18 | -0.05 | -0.14 | -2.41% |
| AG06 | 1.00SP06-0.84AG06 | +5.07 | +5.21 | -0.14 | -2.42% |
| JD05 | 1.00SP05-1.45JD05 | -0.76 | -0.62 | -0.14 | -2.44% |
| NR05 | 1.00SP05-0.52NR05 | +0.68 | +0.82 | -0.14 | -2.53% |
| P05 | 1.00SP05-0.84P05 | -0.82 | -0.68 | -0.14 | -2.57% |
| SF05 | 1.00SP05-1.65SF05 | -0.83 | -0.69 | -0.15 | -2.62% |
| LH05 | 1.00SP05-0.19LH05 | +0.76 | +0.91 | -0.15 | -2.66% |
| PP05 | 1.00SP05-1.31PP05 | +0.68 | +0.83 | -0.15 | -2.67% |
| AP05 | 1.00SP05-0.70AP05 | -0.36 | -0.21 | -0.15 | -2.72% |
| ZN05 | 1.00SP05-0.54ZN05 | -0.42 | -0.27 | -0.15 | -2.72% |
| RU05 | 1.00SP05-0.39RU05 | +0.99 | +1.14 | -0.16 | -2.77% |
| SR05 | 1.00SP05-0.97SR05 | -0.36 | -0.21 | -0.16 | -2.84% |
| L05 | 1.00SP05-1.24L05 | +0.60 | +0.76 | -0.16 | -2.84% |
| PF05 | 1.00SP05-1.45PF05 | +0.33 | +0.49 | -0.16 | -2.93% |
| PB05 | 1.00SP05-0.69PB05 | +0.28 | +0.45 | -0.17 | -2.97% |
| EB05 | 1.00SP05-1.19EB05 | +0.66 | +0.84 | -0.17 | -3.09% |
| SN05 | 1.00SP05-0.32SN05 | -0.23 | -0.05 | -0.18 | -3.17% |
| BU06 | 1.00SP06-1.84BU06 | -0.97 | -0.79 | -0.18 | -3.22% |
| FG05 | 1.00SP05-1.79FG05 | -0.02 | +0.16 | -0.18 | -3.22% |
| AL05 | 1.00SP05-0.71AL05 | -0.85 | -0.66 | -0.18 | -3.24% |
| SC05 | 1.00SP05-0.12SC05 | -0.26 | +0.01 | -0.27 | -4.78% |
| LU05 | 1.00SP05-1.82LU05 | -1.04 | -0.76 | -0.28 | -4.98% |
结论
本报告提供了SP05与SP06合约与其他商品合约的对冲比例及策略变动数据，有助于投资者在特定时间段内优化对冲组合，降低风险。策略变动数据表明，部分商品的对冲比例有所调整，投资者需关注其变动趋势，结合基本面分析及市场动态进行综合判断。建议参考银河期货的相关估值与周期报告，以确保策略的安全性和有效性。
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