SP08_SP10合约全商品对冲报告-20230605-银河期货-28页
报告摘要
银河期货SP08~SP10合约全商品对冲报告总结
核心内容
本报告为银河期货发布的SP08~SP10合约全商品对冲报告，主要分析了不同商品与SP系列合约之间的对冲比例及策略变动，旨在为投资者提供跨品种套利的参考依据。报告指出，合理配比的跨品种对冲策略可以降低价差波动率，从而有效管理风险。报告覆盖了贵金属、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商品的对冲数据。
主要观点
- 对冲策略目标：通过合理配比，跨品种对冲策略能够实现价差波动率低于单边头寸，甚至同时低于两种对冲商品。
- 波动率与风险：波动率与风险及收益率成正比，因此对冲比例的优化有助于降低整体波动率。
- 时间周期划分：
- SP12~SP02对冲报告：8月至11月
- SP04~SP06对冲报告：12月至次年3月
- SP08~SP10对冲报告：4月至7月
- 对冲比例计算方式：以1手SP08、SP09或SP10合约为基础，对冲其他商品合约，具体比例根据交易单位和价差计算得出。
- 对冲策略变动：报告提供了对冲组合货值差变动数据，展示了各对冲策略在不同日期的变动情况及变动占SP合约比例，用于评估策略的稳定性与变动趋势。
关键信息
一、对冲比例（09系列主力合约）
| 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 | |||
| AU08 | 1000 | 0.20 | 20.00克 |
| AG08 | 15 | 0.91 | 1.37千克 |
| 有色金属 | |||
| CU09 | 5 | 0.21 | 0.10吨 |
| AL09 | 5 | 0.71 | 0.36吨 |
| ZN09 | 5 | 0.54 | 0.27吨 |
| PB09 | 5 | 0.70 | 0.35吨 |
| NI09 | 1 | 0.43 | 43.4千克 |
| SN09 | 1 | 0.32 | 31.9千克 |
| SI09 | 5 | 0.81 | 0.41吨 |
| 黑色金属 | |||
| RB10 | 10 | 1.50 | 1.50吨 |
| I09 | 100 | 0.78 | 7.84吨 |
| HC10 | 10 | 1.52 | 1.52吨 |
| SS09 | 5 | 0.77 | 0.38吨 |
| SF09 | 5 | 1.66 | 0.83吨 |
| SM09 | 5 | 1.64 | 0.82吨 |
| 煤炭 | |||
| JM09 | 60 | 0.60 | 3.61吨 |
| J09 | 100 | 0.26 | 2.56吨 |
| 轻工 | |||
| FG09 | 20 | 1.75 | 3.49吨 |
| 石油 | |||
| SC09 | 1000 | 0.12 | 11.73桶 |
| FU09 | 10 | 2.24 | 2.24吨 |
| LU09 | 10 | 1.79 | 1.79吨 |
| BU09 | 10 | 1.81 | 1.81吨 |
| PG09 | 20 | 0.67 | 1.34吨 |
| 化工 | |||
| TA09 | 5 | 2.04 | 1.02吨 |
| V09 | 5 | 1.63 | 0.82吨 |
| RU09 | 10 | 0.41 | 0.41吨 |
| NR09 | 10 | 0.52 | 0.52吨 |
| L09 | 5 | 1.25 | 0.62吨 |
| PF09 | 5 | 1.47 | 0.74吨 |
| EG09 | 10 | 1.01 | 1.01吨 |
| MA09 | 10 | 2.28 | 2.28吨 |
| PP09 | 5 | 1.30 | 0.65吨 |
| EB09 | 5 | 1.20 | 0.60吨 |
| UR09 | 20 | 1.48 | 2.96吨 |
| SA09 | 20 | 1.41 | 2.82吨 |
| 谷物 | |||
| C09 | 10 | 2.39 | 2.39吨 |
| CS09 | 10 | 2.05 | 2.05吨 |
| 油脂油料 | |||
| A09 | 10 | 1.18 | 1.18吨 |
| B09 | 10 | 1.46 | 1.46吨 |
| M09 | 10 | 1.83 | 1.83吨 |
| Y09 | 10 | 0.78 | 0.78吨 |
| RM09 | 10 | 2.12 | 2.12吨 |
| OI09 | 10 | 0.66 | 0.66吨 |
| P09 | 10 | 0.86 | 0.86吨 |
| 软商品 | |||
| CF09 | 5 | 0.72 | 0.36吨 |
| SR09 | 10 | 0.97 | 0.97吨 |
| 农副产品 | |||
| JD09 | 10 | 1.31 | 1.31吨 |
| LH09 | 16 | 0.19 | 0.31吨 |
| AP10 | 10 | 0.74 | 0.74吨 |
二、对冲策略变动（万元）
| 对冲合约 | 对冲组合（货值差） | 6月5日 | 6月2日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| NI09 | 1.00SP09-0.43NI09 | -1.48 | -1.55 | 0.06 | 1.25% |
| AL09 | 1.00SP09-0.71AL09 | -1.17 | -1.28 | 0.11 | 2.05% |
| AG08 | 1.00SP08-0.91AG08 | -2.36 | -2.44 | 0.09 | 1.63% |
| V09 | 1.00SP09-1.63V09 | 0.47 | 0.39 | 0.07 | 1.45% |
| UR09 | 1.00SP09-1.48UR09 | 0.04 | -0.02 | 0.07 | 1.30% |
| SN09 | 1.00SP09-0.32SN09 | -1.48 | -1.55 | 0.06 | 1.25% |
| AU08 | 1.00SP08-0.2AU08 | -3.83 | -3.90 | 0.06 | 1.19% |
| SA09 | 1.00SP09-1.41SA09 | 0.38 | 0.34 | 0.04 | 0.87% |
| FG09 | 1.00SP09-1.75FG09 | -0.22 | -0.26 | 0.04 | 0.81% |
| MA09 | 1.00SP09-2.28MA09 | 0.43 | 0.41 | 0.02 | 0.44% |
| ZN09 | 1.00SP09-0.54ZN09 | 0.06 | 0.04 | 0.02 | 0.37% |
| CU09 | 1.00SP09-0.21CU09 | -1.60 | -1.61 | 0.01 | 0.16% |
| JM09 | 1.00SP09-0.6JM09 | 0.58 | 0.57 | 0.01 | 0.12% |
| L09 | 1.00SP09-1.25L09 | 0.30 | 0.30 | 0.01 | 0.10% |
| JD09 | 1.00SP09-1.31JD09 | -0.29 | -0.30 | 0.00 | 0.10% |
| PG09 | 1.00SP09-0.67PG09 | 0.19 | 0.20 | -0.01 | -0.11% |
| SS09 | 1.00SP09-0.77SS09 | -0.50 | -0.49 | -0.01 | -0.15% |
| EB09 | 1.00SP09-1.2EB09 | 0.66 | 0.67 | -0.01 | -0.21% |
| AP10 | 1.00SP10-0.74AP10 | -1.30 | -1.29 | -0.01 | -0.22% |
| PP09 | 1.00SP09-1.3PP09 | 0.59 | 0.62 | -0.03 | -0.30% |
| TA09 | 1.00SP09-2.04TA09 | -0.53 | -0.50 | -0.03 | -0.54% |
| EG09 | 1.00SP09-1.01EG09 | 1.01 | 1.04 | -0.03 | -0.30% |
| RU09 | 1.00SP09-0.41RU09 | 0.23 | 0.27 | -0.03 | -0.66% |
| PF09 | 1.00SP09-1.47PF09 | -0.07 | -0.03 | -0.03 | -0.37% |
| SM09 | 1.00SP09-1.64SM09 | -0.29 | -0.25 | -0.04 | -0.74% |
| LH09 | 1.00SP09-0.19LH09 | 0.24 | 0.28 | -0.04 | -0.31% |
| J09 | 1.00SP09-0.26J09 | 0.03 | 0.08 | -0.05 | -0.32% |
| CS09 | 1.00SP09-2.05CS09 | -0.88 | -0.83 | -0.05 | -0.34% |
| OI09 | 1.00SP09-0.66OI09 | 0.04 | 0.09 | -0.05 | -1.00% |
| BU09 | 1.00SP06-1.81BU09 | -1.51 | -1.46 | -0.05 | -1.01% |
| PB09 | 1.00SP09-0.7PB09 | -0.14 | -0.09 | -0.05 | -1.04% |
| NR09 | 1.00SP09-0.52NR09 | 0.09 | 0.14 | -0.06 | -1.15% |
| SF09 | 1.00SP09-1.66SF09 | -0.74 | -0.67 | -0.06 | -1.22% |
| SI09 | 1.00SP09-0.81SI09 | -0.74 | -0.67 | -0.06 | -1.22% |
| L09 | 1.00SP09-1.25L09 | 0.30 | 0.30 | -0.03 | -0.30% |
| EG09 | 1.00SP09-1.01EG09 | 1.01 | 1.04 | -0.03 | -0.30% |
| RU09 | 1.00SP09-0.41RU09 | 0.23 | 0.27 | -0.03 | -0.66% |
| PF09 | 1.00SP09-1.47PF09 | -0.07 | -0.03 | -0.03 | -0.37% |
| SM09 | 1.00SP09-1.64SM09 | -0.29 | -0.25 | -0.04 | -0.74% |
| SA09 | 1.00SP09-1.41SA09 | 0.38 | 0.34 | 0.04 | 0.87% |
| C09 | 1.00SP09-2.39C09 | -1.14 | -1.07 | -0.07 | -1.41% |
| CS09 | 1.00SP09-2.05CS09 | -0.88 | -0.83 | -0.05 | -0.34% |
| A09 | 1.00SP09-1.18A09 | -0.59 | -0.53 | -0.06 | -1.27% |
| B09 | 1.00SP09-1.46B09 | -0.62 | -0.43 | -0.19 | -3.68% |
| M09 | 1.00SP09-1.83M09 | -1.26 | -1.03 | -0.23 | -4.50% |
| Y09 | 1.00SP09-0.78Y09 | -0.35 | -0.26 | -0.09 | -1.75% |
| RM09 | 1.00SP09-2.12RM09 | -1.27 | -0.97 | -0.30 | -5.87% |
| OI09 | 1.00SP09-0.66OI09 | 0.04 | 0.09 | -0.05 | -1.00% |
| P09 | 1.00SP09-0.86P09 | -0.46 | -0.37 | -0.09 | -1.80% |
| RB10 | 1.00SP09-1.5RB10 | -0.36 | -0.27 | -0.10 | -1.86% |
| HC10 | 1.00SP09-1.52HC10 | -0.62 | -0.52 | -0.10 | -1.90% |
| IO9 | 1.00SP09-0.78IO9 | -0.83 | -0.68 | -0.15 | -2.97% |
| SC09 | 1.00SP09-0.12SC09 | -1.08 | -0.92 | -0.16 | -3.17% |
| LU09 | 1.00SP09-1.79LU09 | -1.90 | -1.73 | -0.17 | -3.31% |
| FU09 | 1.00SP09-2.24FU09 | -1.71 | -1.52 | -0.18 | -3.57% |
| PG09 | 1.00SP09-0.67PG09 | -0.89 | -0.69 | -0.20 | -3.84% |
| CF09 | 1.00SP09-0.72CF09 | -0.89 | -0.69 | -0.20 | -3.84% |
| TA09 | 1.00SP09-2.04TA09 | -0.53 | -0.50 | -0.03 | -0.54% |
| V09 | 1.00SP09-1.63V09 | 0.47 | 0.39 | 0.07 | 1.45% |
| EG09 | 1.00SP09-1.01EG09 | 1.01 | 1.04 | -0.03 | -0.30% |
| RU09 | 1.00SP09-0.41RU09 | 0.23 | 0.27 | -0.03 | -0.66% |
| PF09 | 1.00SP09-1.47PF09 | -0.07 | -0.03 | -0.03 | -0.37% |
| SM09 | 1.00SP09-1.64SM09 | -0.29 | -0.25 | -0.04 | -0.74% |
| LH09 | 1.00SP09-0.19LH09 | 0.24 | 0.28 | -0.04 | -0.31% |
| J09 | 1.00SP09-0.26J09 | 0.03 | 0.08 | -0.05 | -0.32% |
| CS09 | 1.00SP09-2.05CS09 | -0.88 | -0.83 | -0.05 | -0.34% |
| OI09 | 1.00SP09-0.66OI09 | 0.04 | 0.09 | -0.05 | -1.00% |
| BU09 | 1.00SP09-1.81BU09 | -1.51 | -1.46 | -0.05 | -1.01% |
| PB09 | 1.00SP09-0.7PB09 | -0.14 | -0.09 | -0.05 | -1.04% |
| NR09 | 1.00SP09-0.52NR09 | 0.09 | 0.14 | -0.06 | -1.15% |
| SF09 | 1.00SP09-1.66SF09 | -0.74 | -0.67 | -0.06 | -1.22% |
| SI09 | 1.00SP09-0.81SI09 | -0.74 | -0.67 | -0.06 | -1.22% |
| A09 | 1.00SP09-1.18A09 | -0.59 | -0.53 | -0.06 | -1.27% |
| SR09 | 1.00SP09-0.97SR09 | -1.47 | -1.40 | -0.07 | -1.41% |
| C09 | 1.00SP09-2.39C09 | -1.14 | -1.07 | -0.07 | -1.41% |
| Y09 | 1.00SP09-0.78Y09 | -0.35 | -0.26 | -0.09 | -1.75% |
| P09 | 1.00SP09-0.86P09 | -0.46 | -0.37 | -0.09 | -1.80% |
| RB10 | 1.00SP09-1.5RB10 | -0.36 | -0.27 | -0.10 | -1.86% |
| HC10 | 1.00SP09-1.52HC10 | -0.62 | -0.52 | -0.10 | -1.90% |
| IO9 | 1.00SP09-0.78IO9 | -0.83 | -0.68 | -0.15 | -2.97% |
| SC09 | 1.00SP09-0.12SC09 | -1.08 | -0.92 | -0.16 | -3.17% |
| LU09 | 1.00SP09-1.79LU09 | -1.90 | -1.73 | -0.17 | -3.31% |
| FU09 | 1.00SP09-2.24FU09 | -1.71 | -1.52 | -0.18 | -3.57% |
| B09 | 1.00SP09-1.46B09 | -0.62 | -0.43 | -0.19 | -3.68% |
| CF09 | 1.00SP09-0.72CF09 | -0.89 | -0.69 | -0.20 | -3.84% |
| M09 | 1.00SP09-1.83M09 | -1.26 | -1.03 | -0.23 | -4.50% |
| RM09 | 1.00SP09-2.12RM09 | -1.27 | -0.97 | -0.30 | -5.87% |
总结
本报告详细列出了SP08~SP10合约与其他商品合约之间的对冲比例及策略变动情况，为跨品种对冲提供了具体数据支持。通过对冲策略的合理配置，投资者可以有效降低价差波动率，提升风险管理能力。同时，报告提醒投资者注意策略的动态调整，并结合其他研究报告进行综合分析。
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