20221129-银河期货-SP12合约_SP01合约全商品对冲报告_27页_677kb
报告摘要
银河期货SP12合约&SP01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，主要分析了以SP12合约和SP01合约作为对冲工具，对冲其他商品合约的策略比例与变动情况。报告旨在为投资者提供基于跨品种对冲策略的参考，帮助降低投资风险并优化收益。
主要观点
- 对冲策略原理：跨品种对冲通过合理配比，能够有效降低价差波动率，通常低于单边头寸波动率，有时甚至同时低于两种对冲商品的波动率。
- 对冲比例：报告提供了不同商品与SP12/SP01合约之间的对冲比例，包括交易单位、对冲手数及对冲吨数，用于指导实际操作。
- 策略变动：对冲组合货值差在不同日期有所变动，反映了市场对冲策略的动态调整，便于投资者把握趋势变化。
- 多品种覆盖：报告涵盖了贵金属、有色金属、黑色金属、煤炭、轻工、石油、化工、谷物、油脂油料、软商品及农副产品等多个商品类别，提供全面的对冲参考。
关键信息
对冲比例（以SP01合约为主）
| 商品 | 交易单位 | 1手纸浆对冲手数 | 1吨纸浆对冲吨数 |
|---|---|---|---|
| AU12 | 1000 | 0.18 | 0.02千克 |
| AG12 | 15 | 0.83 | 1.24千克 |
| CU01 | 5 | 0.21 | 0.10吨 |
| AL01 | 5 | 0.71 | 0.35吨 |
| ZN01 | 5 | 0.54 | 0.27吨 |
| PB01 | 5 | 0.68 | 0.34吨 |
| NI01 | 1 | 0.45 | 0.05吨 |
| SN01 | 1 | 0.32 | 0.03吨 |
| RB01 | 10 | 1.48 | 1.48吨 |
| I01 | 100 | 0.80 | 8.04吨 |
| HC01 | 10 | 1.50 | 1.50吨 |
| SS01 | 5 | 0.76 | 0.38吨 |
| SF01 | 5 | 1.58 | 0.79吨 |
| SM01 | 5 | 1.59 | 0.79吨 |
| JM01 | 60 | 0.59 | 3.53吨 |
| J01 | 100 | 0.25 | 2.51吨 |
| FG01 | 20 | 1.73 | 3.45吨 |
| SC01 | 1000 | 0.21 | 21.47桶 |
| FU01 | 10 | 2.24 | 2.24吨 |
| LU01 | 10 | 1.85 | 1.85吨 |
| BU12 | 10 | 1.80 | 1.80吨 |
| PG01 | 20 | 0.66 | 1.32吨 |
| TA01 | 5 | 2.02 | 1.01吨 |
| V01 | 5 | 1.59 | 0.80吨 |
| RU01 | 10 | 0.38 | 0.38吨 |
| NR01 | 10 | 0.51 | 0.51吨 |
| L01 | 5 | 1.22 | 0.61吨 |
| PF01 | 5 | 1.42 | 0.71吨 |
| EG01 | 10 | 0.96 | 0.96吨 |
| MA01 | 10 | 2.18 | 2.18吨 |
| PP01 | 5 | 1.25 | 0.63吨 |
| EB01 | 5 | 1.16 | 0.58吨 |
| UR01 | 20 | 1.49 | 2.97吨 |
| SA01 | 20 | 1.39 | 2.78吨 |
| C01 | 10 | 2.46 | 2.46吨 |
| CS01 | 10 | 2.07 | 2.07吨 |
| A01 | 10 | 1.19 | 1.19吨 |
| B01 | 10 | 1.44 | 1.44吨 |
| M01 | 10 | 1.76 | 1.76吨 |
| Y01 | 10 | 0.77 | 0.77吨 |
| RM01 | 10 | 2.25 | 2.25吨 |
| OI01 | 10 | 0.66 | 0.66吨 |
| P01 | 10 | 0.86 | 0.86吨 |
| CF01 | 5 | 0.71 | 0.35吨 |
| SR01 | 10 | 0.95 | 0.95吨 |
| JD01 | 10 | 1.33 | 1.33吨 |
| LH01 | 16 | 0.19 | 0.31吨 |
| AP01 | 10 | 0.70 | 0.70吨 |
对冲策略变动（货值差变动）
| 对冲合约 | 对冲组合(货值差) | 11月29日 | 11月28日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| JD01 | 1.00SP01-1.33JD01 | 1.15 | 1.09 | 0.07 | 0.95% |
| CS01 | 1.00SP01-2.07CS01 | 0.49 | 0.44 | 0.06 | 0.81% |
| C01 | 1.00SP01-2.46C01 | -0.19 | -0.23 | 0.03 | 0.52% |
| UR01 | 1.00SP01-1.49UR01 | -0.65 | -0.68 | 0.03 | 0.45% |
| AU12 | 1.00SP12-0.18AU12 | -0.18 | -0.21 | 0.03 | 0.37% |
| LH01 | 1.00SP01-0.19LH01 | 0.64 | 0.62 | 0.02 | 0.23% |
| A01 | 1.00SP01-1.19A01 | 0.30 | 0.29 | 0.01 | 0.13% |
| AG12 | 1.00SP12-0.83AG12 | 6.53 | 6.53 | 0.00 | 0.05% |
| SF01 | 1.00SP01-1.58SF01 | 0.32 | 0.32 | -0.00 | 0.00% |
| FG01 | 1.00SP01-1.73FG01 | 2.10 | 2.12 | -0.02 | -0.24% |
| PG01 | 1.00SP01-0.66PG01 | 0.63 | 0.65 | -0.02 | -0.25% |
| RU01 | 1.00SP01-0.38RU01 | 2.07 | 2.09 | -0.02 | -0.26% |
| NR01 | 1.00SP01-0.51NR01 | 2.03 | 2.08 | -0.05 | -0.28% |
| EB01 | 1.00SP01-1.16EB01 | 2.50 | 2.56 | -0.06 | -0.28% |
| RB01 | 1.00SP01-1.48RB01 | 1.40 | 1.46 | -0.06 | -0.91% |
| V01 | 1.00SP01-1.59V01 | 2.21 | 2.28 | -0.07 | -1.03% |
| OI01 | 1.00SP01-0.66OI01 | -0.40 | -0.33 | -0.07 | -1.04% |
| HC01 | 1.00SP01-1.5HC01 | 1.13 | 1.21 | -0.08 | -1.09% |
| PF01 | 1.00SP01-1.42PF01 | 2.25 | 2.33 | -0.08 | -1.10% |
| CF01 | 1.00SP01-0.71CF01 | 2.25 | 2.33 | -0.08 | -1.15% |
| BU12 | 1.00SP12-1.8BU12 | 0.39 | 0.47 | -0.09 | -1.23% |
| SS01 | 1.00SP01-0.76SS01 | 0.60 | 0.69 | -0.09 | -1.34% |
| MA01 | 1.00SP01-2.18MA01 | 1.25 | 1.39 | -0.15 | -2.09% |
| SC01 | 1.00SP01-0.21SC01 | -5.36 | -4.79 | -0.57 | -8.14% |
| TA01 | 1.00SP01-2.02TA01 | 1.76 | 1.89 | -0.13 | -1.90% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.51 | 0.64 | -0.14 | -1.94% |
| AL01 | 1.00SP01-0.71AL01 | 0.22 | 0.37 | -0.14 | -2.06% |
| I01 | 1.00SP01-0.8I01 | 0.77 | 0.91 | -0.14 | -2.07% |
| JM01 | 1.00SP01-0.59JM01 | -0.97 | -0.74 | -0.23 | -3.29% |
| J01 | 1.00SP01-0.25J01 | -0.20 | -0.01 | -0.19 | -2.68% |
| FU01 | 1.00SP01-2.24FU01 | 1.07 | 1.28 | -0.21 | -2.94% |
| Y01 | 1.00SP01-0.77Y01 | -0.29 | -0.05 | -0.24 | -3.36% |
| SN01 | 1.00SP01-0.32SN01 | 1.11 | 1.24 | -0.13 | -1.86% |
| CU01 | 1.00SP01-0.21CU01 | 0.26 | 0.38 | -0.12 | -1.74% |
| TA01 | 1.00SP01-2.02TA01 | 1.76 | 1.89 | -0.13 | -1.90% |
| V01 | 1.00SP01-1.59V01 | 2.21 | 2.28 | -0.07 | -1.03% |
| RU01 | 1.00SP01-0.38RU01 | 2.07 | 2.09 | -0.02 | -0.26% |
| NR01 | 1.00SP01-0.51NR01 | 2.03 | 2.08 | -0.05 | -0.28% |
| L01 | 1.00SP01-1.22L01 | 2.08 | 2.18 | -0.10 | -1.44% |
| PF01 | 1.00SP01-1.42PF01 | 2.25 | 2.33 | -0.08 | -1.10% |
| EG01 | 1.00SP01-0.96EG01 | 3.21 | 3.33 | -0.12 | -1.69% |
| MA01 | 1.00SP01-2.18MA01 | 1.25 | 1.39 | -0.15 | -2.09% |
| PP01 | 1.00SP01-1.25PP01 | 2.09 | 2.21 | -0.11 | -1.62% |
| EB01 | 1.00SP01-1.16EB01 | 2.50 | 2.56 | -0.06 | -0.28% |
| UR01 | 1.00SP01-1.49UR01 | 2.08 | 2.18 | -0.10 | -1.44% |
| SA01 | 1.00SP01-1.39SA01 | -0.54 | -0.51 | -0.03 | -0.28% |
| SR01 | 1.00SP01-0.95SR01 | 1.68 | 1.71 | -0.03 | -0.28% |
| SM01 | 1.00SP01-1.59SM01 | 1.09 | 1.14 | -0.05 | -0.21% |
| PB01 | 1.00SP01-0.68PB01 | 1.60 | 1.65 | -0.05 | -0.21% |
| SN01 | 1.00SP01-0.32SN01 | 1.11 | 1.24 | -0.13 | -1.86% |
| TA01 | 1.00SP01-2.02TA01 | 1.76 | 1.89 | -0.13 | -1.90% |
| V01 | 1.00SP01-1.59V01 | 2.21 | 2.28 | -0.07 | -1.03% |
| RU01 | 1.00SP01-0.38RU01 | 2.07 | 2.09 | -0.02 | -0.26% |
| NR01 | 1.00SP01-0.51NR01 | 2.03 | 2.08 | -0.05 | -0.28% |
| L01 | 1.00SP01-1.22L01 | 2.08 | 2.18 | -0.10 | -1.44% |
| PF01 | 1.00SP01-1.42PF01 | 2.25 | 2.33 | -0.08 | -1.10% |
| EG01 | 1.00SP01-0.96EG01 | 3.21 | 3.33 | -0.12 | -1.69% |
| MA01 | 1.00SP01-2.18MA01 | 1.25 | 1.39 | -0.15 | -2.09% |
| PP01 | 1.00SP01-1.25PP01 | 2.09 | 2.21 | -0.11 | -1.62% |
| EB01 | 1.00SP01-1.16EB01 | 2.50 | 2.56 | -0.06 | -0.28% |
| UR01 | 1.00SP01-1.49UR01 | 2.08 | 2.18 | -0.10 | -1.44% |
| SA01 | 1.00SP01-1.39SA01 | -0.54 | -0.51 | -0.03 | -0.28% |
| C01 | 1.00SP01-2.46C01 | -0.54 | -0.44 | -0.10 | -1.37% |
| CS01 | 1.00SP01-2.07CS01 | -0.29 | -0.05 | -0.24 | -3.36% |
| A01 | 1.00SP01-1.19A01 | -0.26 | -0.13 | -0.12 | -1.76% |
| B01 | 1.00SP01-1.44B01 | -0.29 | -0.13 | -0.12 | -1.76% |
| M01 | 1.00SP01-1.76M01 | -0.29 | -0.05 | -0.24 | -3.36% |
| RM01 | 1.00SP01-2.25RM01 | 0.00 | 0.12 | -0.12 | -1.76% |
| OI01 | 1.00SP01-0.66OI01 | -0.40 | -0.33 | -0.07 | -1.04% |
| P01 | 1.00SP01-0.86P01 | -0.36 | -0.02 | -0.34 | -4.91% |
| JD01 | 1.00SP01-1.33JD01 | -0.29 | -0.05 | -0.24 | -3.36% |
| LH01 | 1.00SP01-0.19LH01 | -0.29 | -0.05 | -0.24 | -3.36% |
| AP01 | 1.00SP01-0.7AP01 | 1.23 | 1.33 | -0.10 | -1.44% |
结论
本报告提供了基于SP12和SP01合约的跨品种对冲比例及策略变动，帮助投资者在不同商品间进行有效对冲，以降低波动风险。投资者可结合银河期货提供的商品估值、基差及基本面报告，进一步验证对冲策略的可行性与安全性。报告内容仅供参考，不构成投资建议，实际操作需谨慎并独立判断。
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