20221108-银河期货-SP12合约_SP01合约全商品对冲报告_27页_673kb
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
本报告由银河期货研究员潘盛杰发布，主要分析了SP12合约与SP01合约在不同商品领域的对冲比例及策略变动情况。报告旨在为投资者提供基于跨品种对冲策略的参考，帮助其优化风险管理，降低波动率。
主要观点
- 跨品种对冲策略：通过将SP12或SP01合约与其他商品合约进行对冲，能够有效降低价差波动率，提升投资安全性。
- 波动率与风险：波动率与风险和收益率成正比，合理配比的对冲策略可以实现较低的波动率，从而减少风险。
- 策略有效性：在多数情况下，合理配比的跨品种对冲策略的波动率低于单边头寸，有时甚至同时低于两种对冲商品的波动率。
- 对冲比例：报告中列出了不同商品合约与SP合约的对冲比例，包括对冲手数、吨数及对冲组合的货值差。
- 策略变动：报告展示了不同商品合约在对冲策略上的变动情况，包括变动δ和变动占比，帮助投资者了解策略的动态调整。
关键信息
对冲比例（以1手SP01或SP12为例）
| 商品类别 | 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 | AU12 | 1000 | 0.18 | 0.02千克 |
| AG12 | 15 | 0.83 | 1.24千克 | |
| 有色金属 | 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 | |
| 黑色金属 | 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 | |
| 煤炭 | JM01 | 60 | 0.59 | 3.53吨 |
| J01 | 100 | 0.25 | 2.51吨 | |
| 轻工 | FG01 | 20 | 1.73 | 3.45吨 |
| 石油 | 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 | |
| 化工 | 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 | |
| 谷物 | C01 | 10 | 2.46 | 2.46吨 |
| CS01 | 10 | 2.07 | 2.07吨 | |
| 油脂油料 | 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 | |
| 软商品 | CF01 | 5 | 0.71 | 0.35吨 |
| SR01 | 10 | 0.95 | 0.95吨 | |
| 农副产品 | 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（11月7日至11月8日）
| 对冲合约 | 对冲组合 | 11月8日 | 11月7日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| LH01 | 1.00SP01-0.19LH01 | 0.00 | -0.24 | 0.24 | 3.53% |
| Y01 | 1.00SP01-0.77Y01 | -0.70 | -0.76 | 0.06 | 0.83% |
| SR01 | 1.00SP01-0.95SR01 | 1.36 | 1.33 | 0.04 | 0.55% |
| TA01 | 1.00SP01-2.02TA01 | 1.31 | 1.27 | 0.04 | 0.54% |
| JD01 | 1.00SP01-1.33JD01 | 0.95 | 0.92 | 0.03 | 0.51% |
| A01 | 1.00SP01-1.19A01 | 0.03 | 0.00 | 0.03 | 0.50% |
| EB01 | 1.00SP01-1.16EB01 | 2.19 | 2.16 | 0.03 | 0.45% |
| AG12 | 1.00SP12-0.83AG12 | 6.42 | 6.39 | 0.03 | 0.43% |
| L01 | 1.00SP01-1.22L01 | 1.92 | 1.90 | 0.03 | 0.39% |
| CF01 | 1.00SP01-0.71CF01 | 1.99 | 1.97 | 0.03 | 0.37% |
| SM01 | 1.00SP01-1.59SM01 | 0.88 | 0.86 | 0.02 | 0.36% |
| AU12 | 1.00SP12-0.18AU12 | -0.11 | -0.12 | 0.02 | 0.23% |
| V01 | 1.00SP01-1.59V01 | 1.98 | 1.96 | 0.02 | 0.22% |
| SF01 | 1.00SP01-1.58SF01 | 0.00 | -0.01 | 0.01 | 0.15% |
| PP01 | 1.00SP01-1.25PP01 | 1.91 | 1.90 | 0.01 | 0.14% |
| PF01 | 1.00SP01-1.42PF01 | 1.76 | 1.76 | 0.01 | 0.10% |
| SC01 | 1.00SP01-0.21SC01 | -8.47 | -8.47 | 0.01 | 0.09% |
| SS01 | 1.00SP01-0.76SS01 | 0.54 | 0.54 | 0.01 | 0.09% |
| AP01 | 1.00SP01-0.7AP01 | 0.70 | 0.70 | 0.00 | 0.06% |
| MA01 | 1.00SP01-2.18MA01 | 0.98 | 0.98 | -0.00 | -0.01% |
| CU01 | 1.00SP01-0.21CU01 | -0.05 | -0.05 | -0.00 | -0.03% |
| CS01 | 1.00SP01-2.07CS01 | 0.35 | 0.35 | -0.00 | -0.03% |
| C01 | 1.00SP01-2.46C01 | -0.47 | -0.47 | -0.01 | -0.22% |
| PB01 | 1.00SP01-0.68PB01 | 1.44 | 1.45 | -0.01 | -0.14% |
| EG01 | 1.00SP01-0.96EG01 | 2.89 | 2.90 | -0.01 | -0.18% |
| B01 | 1.00SP01-1.44B01 | -0.59 | -0.57 | -0.01 | -0.22% |
| P01 | 1.00SP01-0.86P01 | -0.70 | -0.68 | -0.02 | -0.32% |
| LU01 | 1.00SP01-1.85LU01 | -2.46 | -2.44 | -0.03 | -0.40% |
| OI01 | 1.00SP01-0.66OI01 | -1.04 | -1.01 | -0.03 | -0.48% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.38 | 0.42 | -0.04 | -0.54% |
| HC01 | 1.00SP01-1.5HC01 | 1.15 | 1.19 | -0.04 | -0.54% |
| FG01 | 1.00SP01-1.73FG01 | 1.85 | 1.89 | -0.04 | -0.55% |
| SN01 | 1.00SP01-0.32SN01 | 1.40 | 1.45 | -0.05 | -0.72% |
| RB01 | 1.00SP01-1.48RB01 | 1.35 | 1.40 | -0.05 | -0.73% |
| IO1 | 1.00SP01-0.8I01 | 1.16 | 1.31 | -0.14 | -2.74% |
| SA01 | 1.00SP01-1.39SA01 | -0.23 | -0.05 | -0.18 | -2.73% |
| RM01 | 1.00SP01-2.25RM01 | -0.49 | -0.30 | -0.19 | -2.77% |
| TA01 | 1.00SP01-2.02TA01 | 1.31 | 1.27 | 0.04 | 0.54% |
| V01 | 1.00SP01-1.59V01 | 1.98 | 1.96 | 0.02 | 0.22% |
| RU01 | 1.00SP01-0.38RU01 | 1.84 | 1.95 | -0.11 | -1.68% |
| NR01 | 1.00SP01-0.51NR01 | 1.60 | 1.73 | -0.12 | -1.84% |
| L01 | 1.00SP01-1.22L01 | 1.92 | 1.90 | 0.03 | 0.39% |
| PF01 | 1.00SP01-1.42PF01 | 1.76 | 1.76 | 0.01 | 0.10% |
| EG01 | 1.00SP01-0.96EG01 | 2.89 | 2.90 | -0.01 | -0.18% |
| MA01 | 1.00SP01-2.18MA01 | 0.98 | 0.98 | -0.00 | -0.01% |
| PP01 | 1.00SP01-1.25PP01 | 1.91 | 1.90 | 0.01 | 0.14% |
| EB01 | 1.00SP01-1.16EB01 | 2.19 | 2.16 | 0.03 | 0.45% |
| UR01 | 1.00SP01-1.49UR01 | -0.52 | -0.39 | -0.12 | -1.83% |
| SA01 | 1.00SP01-1.39SA01 | -0.23 | -0.05 | -0.18 | -2.73% |
| RM01 | 1.00SP01-2.25RM01 | -0.49 | -0.30 | -0.19 | -2.77% |
| OI01 | 1.00SP01-0.66OI01 | -1.04 | -1.01 | -0.03 | -0.48% |
| P01 | 1.00SP01-0.86P01 | -0.70 | -0.68 | -0.02 | -0.32% |
| LU01 | 1.00SP01-1.85LU01 | -2.46 | -2.44 | -0.03 | -0.40% |
| OI01 | 1.00SP01-0.66OI01 | -1.04 | -1.01 | -0.03 | -0.48% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.38 | 0.42 | -0.04 | -0.54% |
| HC01 | 1.00SP01-1.5HC01 | 1.15 | 1.19 | -0.04 | -0.54% |
| FG01 | 1.00SP01-1.73FG01 | 1.85 | 1.89 | -0.04 | -0.55% |
| SC01 | 1.00SP01-0.21SC01 | -8.47 | -8.47 | 0.01 | 0.09% |
| CS01 | 1.00SP01-2.07CS01 | 0.35 | 0.35 | -0.00 | -0.03% |
| C01 | 1.00SP01-2.46C01 | -0.47 | -0.47 | -0.01 | -0.22% |
| PB01 | 1.00SP01-0.68PB01 | 1.44 | 1.45 | -0.01 | -0.14% |
| EG01 | 1.00SP01-0.96EG01 | 2.89 | 2.90 | -0.01 | -0.18% |
| B01 | 1.00SP01-1.44B01 | -0.59 | -0.57 | -0.01 | -0.22% |
| P01 | 1.00SP01-0.86P01 | -0.70 | -0.68 | -0.02 | -0.32% |
| LU01 | 1.00SP01-1.85LU01 | -2.46 | -2.44 | -0.03 | -0.40% |
| OI01 | 1.00SP01-0.66OI01 | -1.04 | -1.01 | -0.03 | -0.48% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.38 | 0.42 | -0.04 | -0.54% |
| HC01 | 1.00SP01-1.5HC01 | 1.15 | 1.19 | -0.04 | -0.54% |
| FG01 | 1.00SP01-1.73FG01 | 1.85 | 1.89 | -0.04 | -0.55% |
| SN01 | 1.00SP01-0.32SN01 | 1.40 | 1.45 | -0.05 | -0.72% |
| RB01 | 1.00SP01-1.48RB01 | 1.35 | 1.40 | -0.05 | -0.73% |
| PG01 | 1.00SP01-0.66PG01 | -0.18 | -0.13 | -0.05 | -0.76% |
| M01 | 1.00SP01-1.76M01 | -0.85 | -0.80 | -0.05 | -0.80% |
| BU12 | 1.00SP12-1.8BU12 | 0.00 | 0.05 | -0.05 | -0.81% |
| NI01 | 1.00SP01-0.45NI01 | -1.97 | -1.89 | -0.08 | -1.20% |
| FU01 | 1.00SP01-2.24FU01 | 0.08 | 0.17 | -0.09 | -1.26% |
| J01 | 1.00SP01-0.25J01 | -0.02 | 0.09 | -0.11 | -1.65% |
| RU01 | 1.00SP01-0.38RU01 | 1.84 | 1.95 | -0.11 | -1.68% |
| UR01 | 1.00SP01-1.49UR01 | -0.52 | -0.39 | -0.12 | -1.83% |
| SA01 | 1.00SP01-1.39SA01 | -0.23 | -0.05 | -0.18 | -2.73% |
| RM01 | 1.00SP01-2.25RM01 | -0.49 | -0.30 | -0.19 | -2.77% |
结论
本报告提供了详细的SP12与SP01合约对冲比例及策略变动数据，有助于投资者理解如何通过跨品种对冲来降低风险和波动率。建议结合其他商品报告及市场基本面分析，综合判断对冲策略的有效性与安全性。
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