20220815-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
核心内容概述
本报告为银河期货发布的RU01合约全商品对冲分析，旨在通过跨品种对冲策略降低投资风险。报告中列出了多种商品与RU01合约的对冲比例和策略变动，提供了不同商品之间的价差货值变动数据，供投资者参考。报告强调，合理配比的跨品种对冲策略能够有效降低价差波动率，有时甚至低于单边头寸的波动率。同时，报告提醒投资者需结合其他报告进行综合决策，并通过历史数据验证策略的安全性。
主要观点
- 对冲策略的波动率优势：跨品种对冲策略的波动率通常低于单边头寸，有时甚至同时低于对冲商品的波动率。
- 价差变动分析：报告提供了1.00手RU01合约对冲其他商品的价差变动数据，帮助投资者了解策略的近期表现。
- 策略组合的多样性：涉及多个商品类别，包括贵金属、有色金属、黑色金属、煤炭、轻工、石油、化工、谷物、软商品和农副产品，展现了RU01合约与多种商品的对冲关系。
- 风险与收益：对冲比例与波动率之间存在正比关系，合理选择对冲比例有助于降低风险并提高收益。
关键信息
对冲比例表
| 合约 | 交易单位 | 1手橡胶对冲手数 | 1吨橡胶对冲吨数 |
|---|---|---|---|
| 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 |
| RB01 | 10 | 5.61 | 5.61吨 |
| I01 | 100 | 2.36 | 23.64吨 |
| HC01 | 10 | 5.56 | 5.56吨 |
| SS01 | 5 | 2.21 | 1.11吨 |
| SF01 | 5 | 6.61 | 3.30吨 |
| SM01 | 5 | 5.70 | 2.85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 | 5.81 | 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15日 | 8月12日 | 变动δ | 变动δ占1.00手RU01比例 |
|---|---|---|---|---|---|
| ZN01 | 1.00RU01-3ZN01 | -22.32 | -23.18 | 0.86 | 6.63% |
| SN01 | 1.00RU01-1.57SN01 | -17.70 | -18.45 | 0.75 | 5.88% |
| J01 | 1.00RU01-1.14J01 | -18.13 | -18.79 | 0.66 | 5.13% |
| RM01 | 1.00RU01-10.41RM01 | -16.63 | -17.24 | 0.62 | 4.80% |
| Y01 | 1.00RU01-3.3Y01 | -19.05 | -19.60 | 0.55 | 4.29% |
| AL01 | 1.00RU01-2.41AL01 | -8.65 | -9.15 | 0.50 | 3.88% |
| JM01 | 1.00RU01-2.86JM01 | -20.58 | -21.05 | 0.47 | 3.64% |
| OI01 | 1.00RU01-2.6OI01 | -16.56 | -17.01 | 0.46 | 3.55% |
| FG01 | 1.00RU01-7.35FG01 | -9.64 | -10.07 | 0.43 | 3.33% |
| M01 | 1.00RU01-7.9M01 | -16.29 | -16.71 | 0.42 | 3.25% |
| I01 | 1.00RU01-2.36I01 | -3.89 | -4.26 | 0.37 | 2.87% |
| P01 | 1.00RU01-3.47P01 | -16.59 | -16.96 | 0.37 | 2.86% |
| NI01 | 1.00RU01-1.5NI01 | -11.65 | -11.94 | 0.30 | 2.33% |
| V01 | 1.00RU01-6.28V01 | -6.91 | -7.21 | 0.29 | 2.28% |
| CU01 | 1.00RU01-0.57CU01 | -4.41 | -4.66 | 0.26 | 2.00% |
| LU01 | 1.00RU01-4.84LU01 | -9.53 | -9.78 | 0.26 | 1.99% |
| B01 | 1.00RU01-6.89B01 | -18.80 | -19.05 | 0.25 | 1.96% |
| PB01 | 1.00RU01-2.94PB01 | -9.23 | -9.48 | 0.24 | 1.90% |
| EG01 | 1.00RU01-2.93EG01 | 0.50 | 0.61 | -0.12 | -0.93% |
| UR01 | 1.00RU01-6.2UR01 | -15.70 | -15.95 | -0.26 | -1.99% |
| MA01 | 1.00RU01-8.39MA01 | -8.29 | -7.93 | -0.36 | -2.80% |
| PP01 | 1.00RU01-4.38PP01 | -4.11 | -4.02 | -0.09 | -0.66% |
| EB01 | 1.00RU01-4.33EB01 | -4.67 | -4.90 | -0.23 | -1.79% |
| CS01 | 1.00RU01-9.93CS01 | -17.90 | -18.12 | -0.22 | -1.73% |
| HC01 | 1.00RU01-5.56HC01 | -8.93 | -9.15 | -0.21 | -1.67% |
| RB01 | 1.00RU01-5.61RB01 | -9.04 | -9.22 | -0.17 | -1.34% |
| SC01 | 1.00RU01-0.42SC01 | -13.17 | -13.34 | -0.17 | -1.33% |
| SA01 | 1.00RU01-6.63SA01 | -18.33 | -18.49 | -0.16 | -1.22% |
| SP01 | 1.00RU01-2.63SP01 | -4.09 | -4.24 | -0.15 | -1.18% |
| FU01 | 1.00RU01-7FU01 | -10.72 | -10.84 | -0.12 | -0.93% |
| BU12 | 1.00RU01-4.79BU12 | -7.36 | -7.45 | -0.09 | -0.73% |
| CF01 | 1.00RU01-2.57CF01 | -7.06 | -5.92 | -1.14 | -8.91% |
| SR01 | 1.00RU01-4.57SR01 | -12.67 | -12.64 | -0.03 | -0.26% |
| TA01 | 1.00RU01-5.81TA01 | -3.61 | -3.33 | -0.28 | -2.18% |
| ZN01 | 1.00RU01-3ZN01 | -22.32 | -23.18 | 0.86 | 6.63% |
| AL01 | 1.00RU01-2.41AL01 | -8.65 | -9.15 | 0.50 | 3.88% |
| PB01 | 1.00RU01-2.94PB01 | -9.23 | -9.48 | 0.24 | 1.90% |
| EG01 | 1.00RU01-2.93EG01 | 0.50 | 0.61 | -0.12 | -0.93% |
| MA01 | 1.00RU01-8.39MA01 | -8.29 | -7.93 | -0.36 | -2.80% |
| PP01 | 1.00RU01-4.38PP01 | -4.11 | -4.02 | -0.09 | -0.66% |
| EB01 | 1.00RU01-4.33EB01 | -4.67 | -4.90 | -0.23 | -1.79% |
| CS01 | 1.00RU01-9.93CS01 | -17.90 | -18.12 | -0.22 | -1.73% |
| HC01 | 1.00RU01-5.56HC01 | -8.93 | -9.15 | -0.21 | -1.67% |
| RB01 | 1.00RU01-5.61RB01 | -9.04 | -9.22 | -0.17 | -1.34% |
| SC01 | 1.00RU01-0.42SC01 | -13.17 | -13.34 | -0.17 | -1.33% |
| SA01 | 1.00RU01-6.63SA01 | -18.33 | -18.49 | -0.16 | -1.22% |
| SP01 | 1.00RU01-2.63SP01 | -4.09 | -4.24 | -0.15 | -1.18% |
| FU01 | 1.00RU01-7FU01 | -10.72 | -10.84 | -0.12 | -0.93% |
| BU12 | 1.00RU01-4.79BU12 | -7.36 | -7.45 | -0.09 | -0.73% |
| NR01 | 1.00RU01-1.21NR01 | -23.10 | -22.98 | -0.12 | -0.93% |
| UR01 | 1.00RU01-6.2UR01 | -15.70 | -15.95 | -0.26 | -1.99% |
| TA01 | 1.00RU01-5.81TA01 | -3.61 | -3.33 | -0.28 | -2.18% |
| V01 | 1.00RU01-6.28V01 | -6.91 | -7.21 | -0.29 | -2.28% |
| ZN01 | 1.00RU01-3ZN01 | -22.32 | -23.18 | 0.86 | 6.63% |
| SN01 | 1.00RU01-1.57SN01 | -17.70 | -18.45 | 0.75 | 5.88% |
| J01 | 1.00RU01-1.14J01 | -18.13 | -18.79 | 0.66 | 5.13% |
| RM01 | 1.00RU01-10.41RM01 | -16.63 | -17.24 | 0.62 | 4.80% |
| Y01 | 1.00RU01-3.3Y01 | -19.05 | -19.60 | 0.55 | 4.29% |
| AL01 | 1.00RU01-2.41AL01 | -8.65 | -9.15 | 0.50 | 3.88% |
| PB01 | 1.00RU01-2.94PB01 | -9.23 | -9.48 | 0.24 | 1.90% |
| NI01 | 1.00RU01-1.5NI01 | -11.65 | -11.94 | 0.30 | 2.33% |
| SN01 | 1.00RU01-1.57SN01 | -17.70 | -18.45 | 0.75 | 5.88% |
| ZN01 | 1.00RU01-3ZN01 | -22.32 | -23.18 | 0.86 | 6.63% |
| AU12 | 1.00RU01-1.03AU12 | -27.66 | -27.40 | -0.26 | -1.99% |
| AG12 | 1.00RU01-2.95AG12 | 11.10 | 11.28 | -0.18 | -1.39% |
| CU01 | 1.00RU01-0.57CU01 | -4.41 | -4.66 | 0.26 | 2.00% |
| AL01 | 1.00RU01-2.41AL01 | -8.65 | -9.15 | 0.50 | 3.88% |
| ZN01 | 1.00RU01-3ZN01 | -22.32 | -23.18 | 0.86 | 6.63% |
| PB01 | 1.00RU01-2.94PB01 | -9.23 | -9.48 | 0.24 | 1.90% |
| NI01 | 1.00RU01-1.5NI01 | -11.65 | -11.94 | 0.30 | 2.33% |
| SN01 | 1.00RU01-1.57SN01 | -17.70 | -18.45 | 0.75 | 5.88% |
| RB01 | 1.00RU01-5.61RB01 | -9.04 | -9.22 | -0.17 | -1.34% |
| I01 | 1.00RU01-2.36I01 | -3.89 | -4.26 | 0.37 | 2.87% |
| HC01 | 1.00RU01-5.56HC01 | -8.93 | -9.15 | -0.21 | -1.67% |
| SS01 | 1.00RU01-2.21SS01 | -3.74 | -3.57 | -0.17 | -1.32% |
| SF01 | 1.00RU01-6.61SF01 | -13.37 | -13.19 | -0.18 | -1.41% |
| SM01 | 1.00RU01-5.7SM01 | -8.13 | -8.03 | -0.10 | -0.79% |
| EG01 | 1.00RU01-2.93EG01 | 0.50 | 0.61 | -0.12 | -0.91% |
| A01 | 1.00RU01-6.23A01 | -23.10 | -22.98 | -0.12 | -0.93% |
| C01 | 1.00RU01-11.93C01 | -19.59 | -19.88 | -0.29 | -2.26% |
| CS01 | 1.00RU01-9.93CS01 | -17.90 | -18.12 | -0.22 | -1.73% |
| JM01 | 1.00RU01-2.86JM01 | -20.58 | -21.05 | -0.47 | -3.64% |
| J01 | 1.00RU01-1.14J01 | -18.13 | -18.79 | -0.66 | -5.14% |
| FG01 | 1.00RU01-7.35FG01 | -9.64 | -10.07 | -0.43 | -3.33% |
| SP01 | 1.00RU01-2.63SP01 | -4.09 | -4.24 | -0.15 | -1.18% |
| SC01 | 1.00RU01-0.42SC01 | -13.17 | -13.34 | -0.17 | -1.33% |
| FU01 | 1.00RU01-7FU01 | -10.72 | -10.84 | -0.12 | -0.93% |
| LU01 | 1.00RU01-4.84LU01 | -9.53 | -9.78 | -0.26 | -2.00% |
| BU12 | 1.00RU01-4.79BU12 | -7.36 | -7.45 | -0.09 | -0.73% |
| PG01 | 1.00RU01-1.74PG01 | -4.41 | -4.10 | -0.31 | -2.45% |
| TA01 | 1.00RU01-5.81TA01 | -3.61 | -3.33 | -0.28 | -2.18% |
| V01 | 1.00RU01-6.28V01 | -6.91 | -7.21 | -0.29 | -2.28% |
| NR01 | 1.00RU01-1.21NR01 | -23.10 | -22.98 | -0.12 | -0.93% |
| L01 | 1.00RU01-4.33L01 | -3.93 | -3.87 | -0.06 | -0.44% |
| PF01 | 1.00RU01-4.34PF01 | -2.79 | -2.58 | -0.21 | -1.60% |
| AU12 | 1.00RU01-1.03AU12 | -27.66 | -27.40 | -0.26 | -1.99% |
| TA01 | 1.00RU01-5.81TA01 | -3.61 | -3.33 | -0.28 | -2.18% |
| V01 | 1.00RU01-6.28V01 | -6.91 | -7.21 | -0.29 | -2.28% |
| NR01 | 1.00RU01-1.21NR01 | -23.10 | -22.98 | -0.12 | -0.93% |
| L01 | 1.00RU01-4.33L01 | -3.93 | -3.87 | -0.06 | -0.44% |
| PF01 | 1.00RU01-4.34PF01 | -2.79 | -2.58 | -0.21 | -1.60% |
| EG01 | 1.00RU01-2.93EG01 | 0.50 | 0.61 | -0.12 | -0.91% |
| A01 | 1.00RU01-6.23A01 | -23.10 | -22.98 | -0.12 | -0.93% |
| B01 | 1.00RU01-6.89B01 | -18.80 | -19.05 | -0.25 | -1.96% |
| M01 | 1.00RU01-7.9M01 | -16.29 | -16.71 | -0.42 | -3.25% |
| Y01 | 1.00RU01-3.3Y01 | -19.05 | -19.60 | -0.55 | -4.29% |
| RM01 | 1.00RU01-10.41RM01 | -16.63 | -17.24 | -0.62 | -4.80% |
| OI01 | 1.00RU01-2.6OI01 | -16.56 | -17.01 | -0.46 | -3.55% |
| P01 | 1.00RU01-3.47P01 | -16.59 | -16.96 | -0.37 | -2.86% |
| CF01 | 1.00RU01-2.57CF01 | -7.06 | -5.92 | -1.14 | -8.91% |
| SR01 | 1.00RU01-4.57SR01 | -12.67 | -12.64 | -0.03 | -0.26% |
| JD01 | 1.00RU01-4.54JD01 | -5.82 | -5.30 | -0.53 | -4.12% |
| LH01 | 1.00RU01-0.68LH01 | -11.41 | -10.75 | -0.66 | -5.14% |
| AP01 | 1.00RU01-1.82AP01 | -3.53 | -2.70 | -0.84 | -6.51% |
| CF01 | 1.00RU01-2.57CF01 | -7.06 | -5.92 | -1.14 | -8.91% |
投资者注意事项
- 报告仅提供价差环比变动数据，不构成投资建议。
- 投资者应结合《银河期货商品估值和周期报告》、《银河期货商品基差和月差报告》以及各商品基本面报告进行综合分析。
- 跨品种对冲策略需根据市场变化进行调整，建议定期验证策略的安全性。
- 报告数据为历史数据，仅供参考，不保证其准确性或完整性。
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