20230106-银河期货-RU05合约全商品对冲报告_27页_834kb
报告摘要
银河期货RU05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，旨在提供RU05合约与其他商品的跨品种对冲比例及策略变动信息。报告基于历史价格数据，通过分析不同商品之间的价差波动率，为投资者提供对冲策略的参考依据。报告覆盖了多个商品类别，包括贵金属、有色金属、黑色金属、煤炭、轻工、石油、化工、谷物、油脂油料、软商品和农副产品。
主要观点
- 跨品种对冲策略：跨品种对冲策略通过商品间的价差波动率来控制风险，其波动率通常低于单边头寸，尤其是在期现基差和月间差头寸中表现更为明显。
- 对冲比例：对冲比例基于历史价格数据，以1手RU05合约为基准，计算其对冲其他合约所需的数量。报告强调对冲比例每季度更新，以适应市场变化。
- 策略变动：报告提供了对冲组合的货值差变动情况，以1月6日和1月5日的变动作为参考，分析对冲策略的稳定性与调整幅度。
关键信息
对冲比例（1手RU05）
| 合约 | 交易单位 | 1手橡胶对冲手数 | 1吨橡胶对冲吨数 |
|---|---|---|---|
| AU06 | 1000 | 1.01 | 0.10千克 |
| AG06 | 15 | 3.29 | 4.94千克 |
| CU05 | 5 | 0.58 | 0.29吨 |
| AL05 | 5 | 2.09 | 1.05吨 |
| ZN05 | 5 | 3.09 | 1.55吨 |
| PB05 | 5 | 2.97 | 1.49吨 |
| NI05 | 1 | 1.52 | 0.15吨 |
| SN05 | 1 | 1.60 | 0.16吨 |
| FG05 | 20 | 7.53 | 15.06吨 |
| SP05 | 10 | 2.54 | 2.54吨 |
| SC05 | 1000 | 0.42 | 42.10桶 |
| FU05 | 10 | 7.16 | 7.16吨 |
| LU05 | 10 | 4.75 | 4.75吨 |
| BU06 | 10 | 4.80 | 4.80吨 |
| PG05 | 20 | 1.71 | 3.42吨 |
| TA05 | 5 | 5.86 | 2.93吨 |
| V05 | 5 | 6.42 | 3.21吨 |
| NR05 | 10 | 1.21 | 1.21吨 |
| L05 | 5 | 4.41 | 2.21吨 |
| PF05 | 5 | 4.41 | 2.20吨 |
| EG05 | 10 | 2.95 | 2.95吨 |
| MA05 | 10 | 8.57 | 8.57吨 |
| PP05 | 5 | 4.47 | 2.23吨 |
| EB05 | 5 | 4.43 | 2.22吨 |
| UR05 | 20 | 6.34 | 12.68吨 |
| SA05 | 20 | 6.81 | 13.62吨 |
| C05 | 10 | 12.22 | 12.22吨 |
| CS05 | 10 | 10.27 | 10.27吨 |
| A05 | 10 | 6.38 | 6.38吨 |
| B05 | 10 | 7.02 | 7.02吨 |
| M05 | 10 | 8.31 | 8.31吨 |
| Y05 | 10 | 3.38 | 3.38吨 |
| RM05 | 10 | 10.53 | 10.53吨 |
| OI05 | 10 | 2.65 | 2.65吨 |
| P05 | 10 | 3.52 | 3.52吨 |
| CF05 | 5 | 2.57 | 1.29吨 |
| SR05 | 10 | 4.70 | 4.70吨 |
| JD05 | 10 | 4.71 | 4.71吨 |
| LH05 | 16 | 0.68 | 1.08吨 |
| AP05 | 10 | 1.75 | 1.75吨 |
对冲策略变动（1月6日 vs 1月5日）
| 对冲合约 | 对冲组合(货值差) | 1月6日 | 1月5日 | 变动δ | 变动δ占1.00手RU05比例 |
|---|---|---|---|---|---|
| NI05 | 1.00RU05-1.52NI05 | -17.95 | -19.15 | 1.20 | 9.28% |
| AU06 | 1.00RU05-1.01AU06 | -28.52 | -28.69 | 0.18 | 1.36% |
| M05 | 1.00RU05-8.31M05 | -18.65 | -18.82 | 0.17 | 1.30% |
| RM05 | 1.00RU05-10.53RM05 | -20.16 | -20.24 | 0.07 | 0.53% |
| PG05 | 1.00RU05-1.71PG05 | -2.12 | -2.15 | 0.03 | 0.19% |
| NR05 | 1.00RU05-1.21NR05 | 1.04 | 1.02 | 0.02 | 0.14% |
| B05 | 1.00RU05-7.02B05 | -19.03 | -19.05 | 0.02 | 0.14% |
| SN05 | 1.00RU05-1.6SN05 | -20.35 | -20.36 | 0.02 | 0.13% |
| OI05 | 1.00RU05-2.65OI05 | -14.71 | -14.70 | -0.01 | -0.05% |
| PB05 | 1.00RU05-2.97PB05 | -10.42 | -10.38 | -0.04 | -0.12% |
| SR05 | 1.00RU05-4.7SR05 | -13.85 | -13.78 | -0.06 | -0.19% |
| AL05 | 1.00RU05-2.09AL05 | -5.82 | -5.75 | -0.07 | -0.57% |
| JD05 | 1.00RU05-4.71JD05 | -7.67 | -7.59 | -0.09 | -0.67% |
| LH05 | 1.00RU05-0.68LH05 | -6.08 | -5.99 | -0.09 | -0.68% |
| AG06 | 1.00RU05-3.29AG06 | 10.87 | 10.97 | -0.10 | -0.78% |
| EG05 | 1.00RU05-2.95EG05 | 0.78 | 0.89 | -0.11 | -0.82% |
| PP05 | 1.00RU05-4.47PP05 | -4.29 | -4.17 | -0.12 | -0.89% |
| A05 | 1.00RU05-6.38A05 | -20.13 | -20.00 | -0.13 | -0.99% |
| MA05 | 1.00RU05-8.57MA05 | -9.66 | -9.53 | -0.13 | -1.02% |
| SM05 | 1.00RU05-5.84SM05 | -9.08 | -8.95 | -0.13 | -1.03% |
| Y05 | 1.00RU05-3.38Y05 | -16.64 | -16.51 | -0.14 | -1.05% |
| PF05 | 1.00RU05-4.41PF05 | -2.48 | -2.33 | -0.15 | -1.13% |
| AP05 | 1.00RU05-1.75AP05 | -1.86 | -1.70 | -0.16 | -1.23% |
| SF05 | 1.00RU05-6.76SF05 | -14.74 | -14.58 | -0.16 | -1.26% |
| ZN05 | 1.00RU05-3.09ZN05 | -22.81 | -22.61 | -0.21 | -1.61% |
| LU05 | 1.00RU05-4.75LU05 | -5.25 | -5.04 | -0.21 | -1.64% |
| BU06 | 1.00RU05-4.80BU06 | -5.19 | -4.97 | -0.22 | -1.72% |
| EG05 | 1.00RU05-2.95EG05 | -9.08 | -8.95 | -0.13 | -1.03% |
| TA05 | 1.00RU05-5.86TA05 | -2.71 | -2.50 | -0.20 | -1.57% |
| L05 | 1.00RU05-4.41L05 | -4.82 | -4.66 | -0.17 | -1.29% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| V05 | 1.00RU05-6.42V05 | -7.60 | -6.94 | -0.66 | -5.10% |
| NR05 | 1.00RU05-1.21NR05 | -4.29 | -4.17 | -0.12 | -0.89% |
| PF05 | 1.00RU05-4.41PF05 | -2.48 | -2.33 | -0.15 | -1.13% |
| EG05 | 1.00RU05-2.95EG05 | -9.08 | -8.95 | -0.13 | -1.03% |
| MA05 | 1.00RU05-8.57MA05 | -9.66 | -9.53 | -0.13 | -1.02% |
| PP05 | 1.00RU05-4.47PP05 | -4.29 | -4.17 | -0.12 | -0.89% |
| EB05 | 1.00RU05-4.43EB05 | -5.70 | -5.27 | -0.42 | -3.28% |
| FG05 | 1.00RU05-7.53FG05 | -12.59 | -12.13 | -0.46 | -3.58% |
| I05 | 1.00RU05-2.36I05 | -7.29 | -6.82 | -0.47 | -3.64% |
| RB05 | 1.00RU05-5.69RB05 | -10.49 | -9.86 | -0.63 | -4.87% |
| HC05 | 1.00RU05-5.69HC05 | -10.80 | -10.16 | -0.64 | -4.99% |
| SM05 | 1.00RU05-5.84SM05 | -9.08 | -8.95 | -0.13 | -1.03% |
| JM05 | 1.00RU05-2.89JM05 | -18.76 | -18.09 | -0.67 | -5.20% |
| J05 | 1.00RU05-1.14J05 | -17.74 | -16.79 | -0.95 | -7.37% |
| SA05 | 1.00RU05-6.81SA05 | -25.51 | -24.82 | -0.69 | -5.33% |
| UR05 | 1.00RU05-6.34UR05 | -19.70 | -18.87 | -0.83 | -6.40% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| SC05 | 1.00RU05-0.42SC05 | -9.48 | -9.20 | -0.28 | -2.17% |
| LU05 | 1.00RU05-4.75LU05 | -4.81 | -4.51 | -0.30 | -2.33% |
| SP05 | 1.00RU05-2.54SP05 | -4.06 | -3.76 | -0.30 | -2.35% |
| CU05 | 1.00RU05-0.58CU05 | -5.97 | -5.59 | -0.38 | -2.92% |
| EB05 | 1.00RU05-4.43EB05 | -5.70 | -5.27 | -0.42 | -3.28% |
| FG05 | 1.00RU05-7.53FG05 | -12.59 | -12.13 | -0.46 | -3.58% |
| I05 | 1.00RU05-2.36I05 | -7.29 | -6.82 | -0.47 | -3.64% |
| RB05 | 1.00RU05-5.69RB05 | -10.49 | -9.86 | -0.63 | -4.87% |
| HC05 | 1.00RU05-5.69HC05 | -10.80 | -10.16 | -0.64 | -4.99% |
| SM05 | 1.00RU05-5.84SM05 | -9.08 | -8.95 | -0.13 | -1.03% |
| TA05 | 1.00RU05-5.86TA05 | -2.71 | -2.50 | -0.20 | -1.57% |
| V05 | 1.00RU05-6.42V05 | -7.60 | -6.94 | -0.66 | -5.10% |
| JM05 | 1.00RU05-2.89JM05 | -18.76 | -18.09 | -0.67 | -5.20% |
| SA05 | 1.00RU05-6.81SA05 | -25.51 | -24.82 | -0.69 | -5.33% |
| UR05 | 1.00RU05-6.34UR05 | -19.70 | -18.87 | -0.83 | -6.40% |
| J05 | 1.00RU05-1.14J05 | -17.74 | -16.79 | -0.95 | -7.37% |
| C05 | 1.00RU05-12.22C05 | -22.29 | -22.12 | -0.18 | -1.37% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| A05 | 1.00RU05-6.38A05 | -20.13 | -20.00 | -0.13 | -0.99% |
| B05 | 1.00RU05-7.02B05 | -19.03 | -19.05 | -0.02 | -0.14% |
| M05 | 1.00RU05-8.31M05 | -18.65 | -18.82 | 0.17 | 1.30% |
| Y05 | 1.00RU05-3.38Y05 | -16.64 | -16.51 | -0.14 | -1.05% |
| RM05 | 1.00RU05-10.53RM05 | -20.16 | -20.24 | 0.07 | 0.53% |
| OI05 | 1.00RU05-2.65OI05 | -14.71 | -14.70 | -0.01 | -0.05% |
| P05 | 1.00RU05-3.52P05 | -15.81 | -15.56 | -0.26 | -1.98% |
| SC05 | 1.00RU05-0.42SC05 | -9.48 | -9.20 | -0.28 | -2.17% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| LU05 | 1.00RU05-4.75LU05 | -4.81 | -4.51 | -0.30 | -2.33% |
| SP05 | 1.00RU05-2.54SP05 | -4.06 | -3.76 | -0.30 | -2.35% |
| TA05 | 1.00RU05-5.86TA05 | -2.71 | -2.50 | -0.20 | -1.57% |
| V05 | 1.00RU05-6.42V05 | -7.60 | -6.94 | -0.66 | -5.10% |
| NR05 | 1.00RU05-1.21NR05 | -4.29 | -4.17 | -0.12 | -0.89% |
| L05 | 1.00RU05-4.41L05 | -4.82 | -4.66 | -0.17 | -1.29% |
| PF05 | 1.00RU05-4.41PF05 | -2.48 | -2.33 | -0.15 | -1.13% |
| EG05 | 1.00RU05-2.95EG05 | -9.08 | -8.95 | -0.13 | -1.03% |
| MA05 | 1.00RU05-8.57MA05 | -9.66 | -9.53 | -0.13 | -1.02% |
| PP05 | 1.00RU05-4.47PP05 | -4.29 | -4.17 | -0.12 | -0.89% |
| EB05 | 1.00RU05-4.43EB05 | -5.70 | -5.27 | -0.42 | -3.28% |
| FG05 | 1.00RU05-7.53FG05 | -12.59 | -12.13 | -0.46 | -3.58% |
| I05 | 1.00RU05-2.36I05 | -7.29 | -6.82 | -0.47 | -3.64% |
| RB05 | 1.00RU05-5.69RB05 | -10.49 | -9.86 | -0.63 | -4.87% |
| HC05 | 1.00RU05-5.69HC05 | -10.80 | -10.16 | -0.64 | -4.99% |
| SM05 | 1.00RU05-5.84SM05 | -9.08 | -8.95 | -0.13 | -1.03% |
| TA05 | 1.00RU05-5.86TA05 | -2.71 | -2.50 | -0.20 | -1.57% |
| V05 | 1.00RU05-6.42V05 | -7.60 | -6.94 | -0.66 | -5.10% |
| JM05 | 1.00RU05-2.89JM05 | -18.76 | -18.09 | -0.67 | -5.20% |
| SA05 | 1.00RU05-6.81SA05 | -25.51 | -24.82 | -0.69 | -5.33% |
| UR05 | 1.00RU05-6.34UR05 | -19.70 | -18.87 | -0.83 | -6.40% |
| J05 | 1.00RU05-1.14J05 | -17.74 | -16.79 | -0.95 | -7.37% |
| C05 | 1.00RU05-12.22C05 | -22.29 | -22.12 | -0.18 | -1.37% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| A05 | 1.00RU05-6.38A05 | -20.13 | -20.00 | -0.13 | -0.99% |
| B05 | 1.00RU05-7.02B05 | -19.03 | -19.05 | -0.02 | -0.14% |
| M05 | 1.00RU05-8.31M05 | -18.65 | -18.82 | 0.17 | 1.30% |
| Y05 | 1.00RU05-3.38Y05 | -16.64 | -16.51 | -0.14 | -1.05% |
| RM05 | 1.00RU05-10.53RM05 | -20.16 | -20.24 | 0.07 | 0.53% |
| OI05 | 1.00RU05-2.65OI05 | -14.71 | -14.70 | -0.01 | -0.05% |
| P05 | 1.00RU05-3.52P05 | -15.81 | -15.56 | -0.26 | -1.98% |
| SC05 | 1.00RU05-0.42SC05 | -9.48 | -9.20 | -0.28 | -2.17% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| LU05 | 1.00RU05-4.75LU05 | -4.81 | -4.51 | -0.30 | -2.33% |
| SP05 | 1.00RU05-2.54SP05 | -4.06 | -3.76 | -0.30 | -2.35% |
| CU05 | 1.00RU05-0.58CU05 | -5.97 | -5.59 | -0.38 | -2.92% |
| EB05 | 1.00RU05-4.43EB05 | -5.70 | -5.27 | -0.42 | -3.28% |
| FG05 | 1.00RU05-7.53FG05 | -12.59 | -12.13 | -0.46 | -3.58% |
| I05 | 1.00RU05-2.36I05 | -7.29 | -6.82 | -0.47 | -3.64% |
| RB05 | 1.00RU05-5.69RB05 | -10.49 | -9.86 | -0.63 | -4.87% |
| HC05 | 1.00RU05-5.69HC05 | -10.80 | -10.16 | -0.64 | -4.99% |
| SM05 | 1.00RU05-5.84SM05 | -9.08 | -8.95 | -0.13 | -1.03% |
| TA05 | 1.00RU05-5.86TA05 | -2.71 | -2.50 | -0.20 | -1.57% |
| V05 | 1.00RU05-6.42V05 | -7.60 | -6.94 | -0.66 | -5.10% |
| JM05 | 1.00RU05-2.89JM05 | -18.76 | -18.09 | -0.67 | -5.20% |
| SA05 | 1.00RU05-6.81SA05 | -25.51 | -24.82 | -0.69 | -5.33% |
| UR05 | 1.00RU05-6.34UR05 | -19.70 | -18.87 | -0.83 | -6.40% |
| J05 | 1.00RU05-1.14J05 | -17.74 | -16.79 | -0.95 | -7.37% |
| C05 | 1.00RU05-12.22C05 | -22.29 | -22.12 | -0.18 | -1.37% |
| CS05 | 1.00RU05-10.27CS05 | -19.47 | -19.19 | -0.28 | -2.17% |
| A05 | 1.00RU05-6.38A05 | -20.13 | -20.00 | -0 |
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