20251117-迈科期货-基差统计表_1页_738kb

Futures Basis Rate Statistics Summary

Overview

This report provides a statistical analysis of basis rates for various futures contracts, calculated using the formula: basis rate = (spot price - main contract price) / main contract price. The historical sample period is from 2015 to the current date.

Key Data Insights

• Commodity Categories: The data covers multiple sectors including metals, energy/chemicals, rubber, agriculture, and indices.
• Basis Rate Trends: Basis rates vary widely, with values ranging from negative to positive, indicating relationships between spot and futures prices. For example, metals like copper and aluminum show negative rates in recent periods, suggesting spot prices are below futures prices.

Data Source and Definitions

• Sources: Primary data from Wind Financial Terminal and Steel Association data terminals.
• Price Definitions: Spot prices for some metals are settlement prices, while others are closing prices.

Key Observations

• The basis rate analysis helps identify market dynamics but may require further context for investment decisions.