20220823-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
本报告由银河期货研究员潘盛杰发布，主要分析了RU01合约（天然橡胶）在对冲策略中的表现，涵盖多个商品品种的对冲比例与策略变动情况。报告旨在通过跨品种对冲策略，降低价差波动率，提高风险管理效果。
主要观点
-
对冲策略原理
跨品种对冲策略通过合理配比不同商品合约，可以有效降低整体波动率。在商品A与商品B都有历史价格数据的情况下，采用本报告推荐的配比，通常能够获得比单边头寸更低的波动率，有时甚至同时低于A和B的波动率。 -
对冲比例
报告提供了RU01合约与各类商品合约之间的对冲比例，用于计算对冲所需的对冲商品手数或吨数。该比例是基于历史数据得出，旨在实现最优对冲效果。 -
策略变动分析
报告提供了对冲组合在特定时间（8月22日与8月23日）的货值差变动情况，展示了对冲策略的动态调整。变动幅度和比例用于评估策略的稳定性与有效性。
关键信息
对冲比例表
| 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 |
| 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 | 5.31 | 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 |
对冲策略变动表
| 对冲合约 | 对冲组合(货值差) | 8月23日 | 8月22日 | 变动δ | 变动δ占1.00手RU01比例 |
|---|---|---|---|---|---|
| P01 | 1.00RU01-3.47P01 | -16.34 | -16.74 | 0.40 | 3.03% |
| J01 | 1.00RU01-1.14J01 | -16.53 | -16.82 | 0.29 | 2.26% |
| FG01 | 1.00RU01-7.35FG01 | -8.71 | -8.97 | 0.26 | 2.02% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | 0.23 | 1.77% |
| CF01 | 1.00RU01-2.57CF01 | -6.30 | -6.39 | 0.08 | 0.63% |
| Y01 | 1.00RU01-3.3Y01 | -19.26 | -19.30 | 0.04 | 0.32% |
| JM01 | 1.00RU01-2.86JM01 | -20.69 | -20.72 | 0.04 | 0.29% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | 0.02 | 0.15% |
| SN01 | 1.00RU01-1.57SN01 | -18.02 | -18.04 | 0.02 | 0.14% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| NI01 | 1.00RU01-1.5NI01 | -12.10 | -12.10 | -0.00 | -0.04% |
| SR01 | 1.00RU01-4.57SR01 | -12.41 | -12.40 | -0.01 | -0.07% |
| AG12 | 1.00RU01-2.95AG12 | 11.16 | 11.17 | -0.01 | -0.08% |
| PB01 | 1.00RU01-2.94PB01 | -9.24 | -9.22 | -0.02 | -0.15% |
| L01 | 1.00RU01-4.33L01 | -3.34 | -3.32 | -0.02 | -0.19% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 | -5.84 | -0.08 | -0.44% |
| AU12 | 1.00RU01-1.03AU12 | -27.14 | -27.03 | -0.11 | -0.49% |
| AP01 | 1.00RU01-1.82AP01 | -3.80 | -3.66 | -0.14 | -1.10% |
| SP01 | 1.00RU01-2.63SP01 | -4.44 | -4.29 | -0.15 | -1.14% |
| AL01 | 1.00RU01-2.41AL01 | -9.26 | -9.08 | -0.18 | -1.39% |
| EG01 | 1.00RU01-2.93EG01 | 0.83 | 1.02 | -0.19 | -1.47% |
| SF01 | 1.00RU01-6.61SF01 | -12.35 | -12.15 | -0.20 | -1.53% |
| SM01 | 1.00RU01-5.7SM01 | -7.40 | -7.00 | -0.40 | -3.09% |
| MA01 | 1.00RU01-8.39MA01 | -8.23 | -8.00 | -0.23 | -1.80% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | -0.02 | -0.15% |
| ZN01 | 1.00RU01-3ZN01 | -23.40 | -23.04 | -0.36 | -2.83% |
| CS01 | 1.00RU01-9.93CS01 | -17.73 | -17.34 | -0.38 | -2.97% |
| TA01 | 1.00RU01-5.81TA01 | -3.35 | -2.75 | -0.60 | -4.69% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | -0.23 | -1.77% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 | -5.84 | -0.08 | -0.44% |
| AU12 | 1.00RU01-1.03AU12 | -27.14 | -27.03 | -0.11 | -0.49% |
| AP01 | 1.00RU01-1.82AP01 | -3.80 | -3.66 | -0.14 | -1.10% |
| SP01 | 1.00RU01-2.63SP01 | -4.44 | -4.29 | -0.15 | -1.14% |
| AL01 | 1.00RU01-2.41AL01 | -9.26 | -9.08 | -0.18 | -1.39% |
| EG01 | 1.00RU01-2.93EG01 | 0.83 | 1.02 | -0.19 | -1.47% |
| SF01 | 1.00RU01-6.61SF01 | -12.35 | -12.15 | -0.20 | -1.53% |
| SM01 | 1.00RU01-5.7SM01 | -7.40 | -7.00 | -0.40 | -3.09% |
| MA01 | 1.00RU01-8.39MA01 | -8.23 | -8.00 | -0.23 | -1.80% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | -0.02 | -0.15% |
| ZN01 | 1.00RU01-3ZN01 | -23.40 | -23.04 | -0.36 | -2.83% |
| CS01 | 1.00RU01-9.93CS01 | -17.73 | -17.34 | -0.38 | -2.97% |
| TA01 | 1.00RU01-5.81TA01 | -3.35 | -2.75 | -0.60 | -4.69% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | -0.23 | -1.77% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 | -5.84 | -0.08 | -0.44% |
| AU12 | 1.00RU01-1.03AU12 | -27.14 | -27.03 | -0.11 | -0.49% |
| AP01 | 1.00RU01-1.82AP01 | -3.80 | -3.66 | -0.14 | -1.10% |
| SP01 | 1.00RU01-2.63SP01 | -4.44 | -4.29 | -0.15 | -1.14% |
| AL01 | 1.00RU01-2.41AL01 | -9.26 | -9.08 | -0.18 | -1.39% |
| EG01 | 1.00RU01-2.93EG01 | 0.83 | 1.02 | -0.19 | -1.47% |
| SF01 | 1.00RU01-6.61SF01 | -12.35 | -12.15 | -0.20 | -1.53% |
| SM01 | 1.00RU01-5.7SM01 | -7.40 | -7.00 | -0.40 | -3.09% |
| MA01 | 1.00RU01-8.39MA01 | -8.23 | -8.00 | -0.23 | -1.80% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | -0.02 | -0.15% |
| ZN01 | 1.00RU01-3ZN01 | -23.40 | -23.04 | -0.36 | -2.83% |
| CS01 | 1.00RU01-9.93CS01 | -17.73 | -17.34 | -0.38 | -2.97% |
| TA01 | 1.00RU01-5.81TA01 | -3.35 | -2.75 | -0.60 | -4.69% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | -0.23 | -1.77% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 | -5.84 | -0.08 | -0.44% |
| AU12 | 1.00RU01-1.03AU12 | -27.14 | -27.03 | -0.11 | -0.49% |
| AP01 | 1.00RU01-1.82AP01 | -3.80 | -3.66 | -0.14 | -1.10% |
| SP01 | 1.00RU01-2.63SP01 | -4.44 | -4.29 | -0.15 | -1.14% |
| AL01 | 1.00RU01-2.41AL01 | -9.26 | -9.08 | -0.18 | -1.39% |
| EG01 | 1.00RU01-2.93EG01 | 0.83 | 1.02 | -0.19 | -1.47% |
| SF01 | 1.00RU01-6.61SF01 | -12.35 | -12.15 | -0.20 | -1.53% |
| SM01 | 1.00RU01-5.7SM01 | -7.40 | -7.00 | -0.40 | -3.09% |
| MA01 | 1.00RU01-8.39MA01 | -8.23 | -8.00 | -0.23 | -1.80% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | -0.02 | -0.15% |
| ZN01 | 1.00RU01-3ZN01 | -23.40 | -23.04 | -0.36 | -2.83% |
| CS01 | 1.00RU01-9.93CS01 | -17.73 | -17.34 | -0.38 | -2.97% |
| TA01 | 1.00RU01-5.81TA01 | -3.35 | -2.75 | -0.60 | -4.69% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | -0.23 | -1.77% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 | -5.84 | -0.08 | -0.44% |
| AU12 | 1.00RU01-1.03AU12 | -27.14 | -27.03 | -0.11 | -0.49% |
| AP01 | 1.00RU01-1.82AP01 | -3.80 | -3.66 | -0.14 | -1.10% |
| SP01 | 1.00RU01-2.63SP01 | -4.44 | -4.29 | -0.15 | -1.14% |
| AL01 | 1.00RU01-2.41AL01 | -9.26 | -9.08 | -0.18 | -1.39% |
| EG01 | 1.00RU01-2.93EG01 | 0.83 | 1.02 | -0.19 | -1.47% |
| SF01 | 1.00RU01-6.61SF01 | -12.35 | -12.15 | -0.20 | -1.53% |
| SM01 | 1.00RU01-5.7SM01 | -7.40 | -7.00 | -0.40 | -3.09% |
| MA01 | 1.00RU01-8.39MA01 | -8.23 | -8.00 | -0.23 | -1.80% |
| PP01 | 1.00RU01-4.38PP01 | -3.72 | -3.72 | -0.00 | 0.00% |
| EB01 | 1.00RU01-4.33EB01 | -4.07 | -4.09 | -0.02 | -0.15% |
| ZN01 | 1.00RU01-3ZN01 | -23.40 | -23.04 | -0.36 | -2.83% |
| CS01 | 1.00RU01-9.93CS01 | -17.73 | -17.34 | -0.38 | -2.97% |
| TA01 | 1.00RU01-5.81TA01 | -3.35 | -2.75 | -0.60 | -4.69% |
| V01 | 1.00RU01-6.28V01 | -6.60 | -6.82 | -0.23 | -1.77% |
| NR01 | 1.00RU01-1.21NR01 | 0.40 | 0.43 | -0.03 | -0.23% |
| CU01 | 1.00RU01-0.57CU01 | -4.73 | -4.69 | -0.04 | -0.33% |
| SS01 | 1.00RU01-2.21SS01 | -3.26 | -3.22 | -0.04 | -0.34% |
| LH01 | 1.00RU01-0.68LH01 | -12.60 | -12.53 | -0.06 | -0.30% |
| OI01 | 1.00RU01-2.6OI01 | -15.85 | -15.78 | -0.08 | -0.39% |
| JD01 | 1.00RU01-4.54JD01 | -5.92 |
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