20221215-银河期货-SP05合约_SP06合约全商品对冲报告_27页_682kb
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，主要围绕SP05合约与SP06合约与其他商品合约之间的对冲比例及策略变动进行分析。报告提供了各商品合约与SP05/SP06合约的对冲比例、货值差变动及对冲策略调整信息，旨在帮助投资者在跨品种对冲策略中进行风险控制和收益优化。
主要观点
- 对冲策略与波动率：跨品种对冲策略可以有效降低价差波动率，通常低于单边头寸波动率，有助于风险对冲。
- 波动率与收益关系：波动率与风险和收益率成正比，因此选择合理的对冲比例是降低风险、提升收益的关键。
- 对冲周期划分：SP05与SP06合约分别适用于不同时间段的对冲策略，如：
- SP12&SP01：9月至11月
- SP05&SP06：12月至次年4月
- SP09&SP10：5月至8月
- 对冲比例计算：报告中提供了1手SP05或SP06合约对冲其他商品合约的具体比例，包括交易单位和对冲吨数，用于量化对冲头寸。
- 策略调整：对冲策略在不同日期有所调整，反映了市场波动和商品价格变化，投资者需关注变动δ和变动比例，以优化对冲组合。
关键信息汇总
对冲比例（05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 |
|---|---|---|---|
| AU06 | 1000 | 0.18 | 0.02千克 |
| AG06 | 15 | 0.84 | 1.24千克 |
| 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 |
| 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 |
| JM05 | 60 | 0.61 | 3.53吨 |
| J05 | 100 | 0.26 | 2.51吨 |
| FG05 | 20 | 1.79 | 3.45吨 |
| 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 |
| 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 |
| C05 | 10 | 2.41 | 2.46吨 |
| CS05 | 10 | 2.06 | 2.07吨 |
| 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 |
| CF05 | 5 | 0.71 | 0.35吨 |
| SR05 | 10 | 0.97 | 0.95吨 |
| 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（12月15日 vs 12月14日）
| 对冲合约 | 对冲组合(货值差) | 12月15日 | 12月14日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| NI05 | 1.00SP05-0.45NI05 | -2.82 | -2.93 | 0.11 | 1.63% |
| RM05 | 1.00SP05-2.17RM05 | 0.17 | 0.11 | 0.06 | 0.89% |
| M05 | 1.00SP05-1.83M05 | -0.10 | -0.13 | 0.03 | 0.50% |
| C05 | 1.00SP05-2.41C05 | -0.13 | -0.13 | 0.00 | 0.04% |
| UR05 | 1.00SP05-1.48UR05 | -0.96 | -0.96 | 0.00 | 0.04% |
| LH05 | 1.00SP05-0.19LH05 | 1.49 | 1.49 | 0.00 | 0.03% |
| B05 | 1.00SP05-1.49B05 | -0.03 | -0.02 | -0.02 | -0.25% |
| PB05 | 1.00SP05-0.69PB05 | 1.29 | 1.31 | -0.02 | -0.36% |
| A05 | 1.00SP05-1.17A05 | 0.44 | 0.47 | -0.03 | -0.45% |
| AG06 | 1.00SP06-0.84AG06 | 6.23 | 6.26 | -0.03 | -0.50% |
| I05 | 1.00SP05-0.81I05 | 0.11 | 0.15 | -0.04 | -0.54% |
| SA05 | 1.00SP05-1.41SA05 | -0.86 | -0.82 | -0.04 | -0.62% |
| BU06 | 1.00SP06-1.84BU06 | 0.28 | 0.32 | -0.04 | -0.64% |
| EG05 | 1.00SP05-0.99EG05 | 2.50 | 2.54 | -0.04 | -0.64% |
| PF05 | 1.00SP05-1.45PF05 | 1.69 | 1.73 | -0.04 | -0.67% |
| SR05 | 1.00SP05-0.97SR05 | 1.15 | 1.19 | -0.04 | -0.67% |
| AL05 | 1.00SP05-0.71AL05 | 0.01 | 0.06 | -0.05 | -0.70% |
| SC05 | 1.00SP05-0.12SC05 | 0.27 | 0.31 | -0.05 | -0.70% |
| CS05 | 1.00SP05-2.06CS05 | 0.37 | 0.42 | -0.05 | -0.72% |
| FU05 | 1.00SP05-2.26FU05 | 0.89 | 0.94 | -0.05 | -0.74% |
| TA05 | 1.00SP05-2.05TA05 | 1.34 | 1.39 | -0.05 | -0.75% |
| JD05 | 1.00SP05-1.45JD05 | 0.45 | 0.51 | -0.05 | -0.80% |
| SN05 | 1.00SP05-0.32SN05 | 0.48 | 0.53 | -0.05 | -0.81% |
| PG05 | 1.00SP05-0.66PG05 | 0.64 | 0.70 | -0.05 | -0.81% |
| ZN05 | 1.00SP05-0.54ZN05 | 0.08 | 0.14 | -0.06 | -0.96% |
| PP05 | 1.00SP05-1.31PP05 | 1.53 | 1.60 | -0.07 | -1.03% |
| MA05 | 1.00SP05-2.27MA05 | 0.82 | 0.89 | -0.07 | -1.04% |
| EB05 | 1.00SP05-1.19EB05 | 1.79 | 1.85 | -0.06 | -0.92% |
| UR05 | 1.00SP05-1.48UR05 | -0.96 | -0.96 | -0.05 | -1.03% |
| SA05 | 1.00SP05-1.41SA05 | -0.86 | -0.82 | -0.04 | -0.62% |
| BU06 | 1.00SP06-1.84BU06 | 0.28 | 0.32 | -0.04 | -0.64% |
| EG05 | 1.00SP05-0.99EG05 | 2.50 | 2.54 | -0.04 | -0.64% |
| PF05 | 1.00SP05-1.45PF05 | 1.69 | 1.73 | -0.04 | -0.67% |
| SR05 | 1.00SP05-0.97SR05 | 1.15 | 1.19 | -0.04 | -0.67% |
| AL05 | 1.00SP05-0.71AL05 | 0.01 | 0.06 | -0.05 | -0.70% |
| SC05 | 1.00SP05-0.12SC05 | 0.27 | 0.31 | -0.05 | -0.70% |
| CS05 | 1.00SP05-2.06CS05 | 0.37 | 0.42 | -0.05 | -0.72% |
| FU05 | 1.00SP05-2.26FU05 | 0.89 | 0.94 | -0.05 | -0.74% |
| TA05 | 1.00SP05-2.05TA05 | 1.34 | 1.39 | -0.05 | -0.75% |
| JD05 | 1.00SP05-1.45JD05 | 0.45 | 0.51 | -0.05 | -0.80% |
| SN05 | 1.00SP05-0.32SN05 | 0.48 | 0.53 | -0.05 | -0.81% |
| PG05 | 1.00SP05-0.66PG05 | 0.64 | 0.70 | -0.05 | -0.81% |
| Y05 | 1.00SP05-0.78Y05 | -0.16 | -0.11 | -0.05 | -0.82% |
| SS05 | 1.00SP05-0.77SS05 | 0.08 | 0.13 | -0.06 | -0.85% |
| CF05 | 1.00SP05-0.71CF05 | 1.70 | 1.76 | -0.06 | -0.86% |
| EB05 | 1.00SP05-1.19EB05 | 1.79 | 1.85 | -0.06 | -0.92% |
| ZN05 | 1.00SP05-0.54ZN05 | 0.08 | 0.14 | -0.06 | -0.96% |
| PP05 | 1.00SP05-1.31PP05 | 1.53 | 1.60 | -0.07 | -1.03% |
| MA05 | 1.00SP05-2.27MA05 | 0.82 | 0.89 | -0.07 | -1.04% |
| FG05 | 1.00SP05-1.79FG05 | 1.03 | 1.10 | -0.07 | -1.07% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | -0.09 | -1.27% |
| P05 | 1.00SP05-0.84P05 | 0.02 | 0.10 | -0.09 | -1.29% |
| HC05 | 1.00SP05-1.52HC05 | 0.48 | 0.57 | -0.09 | -1.38% |
| RU05 | 1.00SP05-0.39RU05 | 1.50 | 1.60 | -0.10 | -1.45% |
| OI05 | 1.00SP05-0.66OI05 | -0.18 | -0.08 | -0.10 | -1.55% |
| NR05 | 1.00SP05-0.52NR05 | 1.34 | 1.45 | -0.11 | -1.58% |
| AU06 | 1.00SP06-0.18AU06 | -0.56 | -0.45 | -0.11 | -1.63% |
| RB05 | 1.00SP05-1.50RB05 | 0.69 | 0.80 | -0.11 | -1.63% |
| LU05 | 1.00SP05-1.82LU05 | -0.20 | -0.08 | -0.12 | -1.79% |
| AP05 | 1.00SP05-0.70AP05 | 1.22 | 1.35 | -0.13 | -1.96% |
| SF05 | 1.00SP05-1.65SF05 | -0.37 | -0.23 | -0.14 | -2.09% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | -0.09 | -1.27% |
| P05 | 1.00SP05-0.84P05 | 0.02 | 0.10 | -0.09 | -1.29% |
| HC05 | 1.00SP05-1.52HC05 | 0.48 | 0.57 | -0.09 | -1.38% |
| RU05 | 1.00SP05-0.39RU05 | 1.50 | 1.60 | -0.10 | -1.45% |
| OI05 | 1.00SP05-0.66OI05 | -0.18 | -0.08 | -0.10 | -1.55% |
| NR05 | 1.00SP05-0.52NR05 | 1.34 | 1.45 | -0.11 | -1.58% |
| AU06 | 1.00SP06-0.18AU06 | -0.56 | -0.45 | -0.11 | -1.63% |
| RB05 | 1.00SP05-1.50RB05 | 0.69 | 0.80 | -0.11 | -1.63% |
| LU05 | 1.00SP05-1.82LU05 | -0.20 | -0.08 | -0.12 | -1.79% |
| AP05 | 1.00SP05-0.70AP05 | 1.22 | 1.35 | -0.13 | -1.96% |
| SF05 | 1.00SP05-1.65SF05 | -0.37 | -0.23 | -0.14 | -2.09% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | -0.09 | -1.27% |
| P05 | 1.00SP05-0.84P05 | 0.02 | 0.10 | -0.09 | -1.29% |
| HC05 | 1.00SP05-1.52HC05 | 0.48 | 0.57 | -0.09 | -1.38% |
| RU05 | 1.00SP05-0.39RU05 | 1.50 | 1.60 | -0.10 | -1.45% |
| OI05 | 1.00SP05-0.66OI05 | -0.18 | -0.08 | -0.10 | -1.55% |
| NR05 | 1.00SP05-0.52NR05 | 1.34 | 1.45 | -0.11 | -1.58% |
| AU06 | 1.00SP06-0.18AU06 | -0.56 | -0.45 | -0.11 | -1.63% |
| RB05 | 1.00SP05-1.50RB05 | 0.69 | 0.80 | -0.11 | -1.63% |
| LU05 | 1.00SP05-1.82LU05 | -0.20 | -0.08 | -0.12 | -1.79% |
| AP05 | 1.00SP05-0.70AP05 | 1.22 | 1.35 | -0.13 | -1.96% |
| SF05 | 1.00SP05-1.65SF05 | -0.37 | -0.23 | -0.14 | -2.09% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | -0.09 | -1.27% |
| P05 | 1.00SP05-0.84P05 | 0.02 | 0.10 | -0.09 | -1.29% |
| HC05 | 1.00SP05-1.52HC05 | 0.48 | 0.57 | -0.09 | -1.38% |
| RU05 | 1.00SP05-0.39RU05 | 1.50 | 1.60 | -0.10 | -1.45% |
| OI05 | 1.00SP05-0.66OI05 | -0.18 | -0.08 | -0.10 | -1.55% |
| NR05 | 1.00SP05-0.52NR05 | 1.34 | 1.45 | -0.11 | -1.58% |
| AU06 | 1.00SP06-0.18AU06 | -0.56 | -0.45 | -0.11 | -1.63% |
| RB05 | 1.00SP05-1.50RB05 | 0.69 | 0.80 | -0.11 | -1.63% |
| LU05 | 1.00SP05-1.82LU05 | -0.20 | -0.08 | -0.12 | -1.79% |
| AP05 | 1.00SP05-0.70AP05 | 1.22 | 1.35 | -0.13 | -1.96% |
| SF05 | 1.00SP05-1.65SF05 | -0.37 | -0.23 | -0.14 | -2.09% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | -0.09 | -1.27% |
| P05 | 1.00SP05-0.84P05 | 0.02 | 0.10 | -0.09 | -1.29% |
| HC05 | 1.00SP05-1.52HC05 | 0.48 | 0.57 | -0.09 | -1.38% |
| RU05 | 1.00SP05-0.39RU05 | 1.50 | 1.60 | -0.10 | -1.45% |
| OI05 | 1.00SP05-0.66OI05 | -0.18 | -0.08 | -0.10 | -1.55% |
| NR05 | 1.00SP05-0.52NR05 | 1.34 | 1.45 | -0.11 | -1.58% |
| AU06 | 1.00SP06-0.18AU06 | -0.56 | -0.45 | -0.11 | -1.63% |
| RB05 | 1.00SP05-1.50RB05 | 0.69 | 0.80 | -0.11 | -1.63% |
| LU05 | 1.00SP05-1.82LU05 | -0.20 | -0.08 | -0.12 | -1.79% |
| AP05 | 1.00SP05-0.70AP05 | 1.22 | 1.35 | -0.13 | -1.96% |
| SF05 | 1.00SP05-1.65SF05 | -0.37 | -0.23 | -0.14 | -2.09% |
| SM05 | 1.00SP05-1.62SM05 | 0.50 | 0.58 | -0.08 | -1.19% |
| CU05 | 1.00SP05-0.21CU05 | -0.22 | -0.13 | -0.08 | -1.25% |
| V05 | 1.00SP05-1.63V05 | 1.52 | 1.61 | -0.08 | -1.25% |
| L05 | 1.00SP05-1.24L05 | 1.60 | 1.68 | - |
展开完整摘要
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