RU09合约全商品对冲报告-20230606-银河期货-28页
报告摘要
银河期货RU09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撰写，主要分析了RU09合约（天然橡胶）在4月至7月期间，与其他商品合约进行跨品种对冲的策略与比例。报告旨在为投资者提供对冲参考，帮助降低投资风险并提高收益稳定性。
主要观点
- 对冲策略原理：跨品种对冲通过合理配比商品A与商品B，可降低价差波动率，通常低于单边头寸波动率。波动率每季度更新，以确保策略的时效性和有效性。
- 对冲目标：通过跨品种对冲，实现对RU09合约的多空平衡，减少市场波动带来的风险。
- 适用时间：本报告适用于4月至7月期间的RU09合约对冲策略，与《RU01对冲报告》（8月至11月）、《RU05对冲报告》（12月至次年3月）形成季度对冲体系。
- 策略验证：投资者可结合《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》以及各商品基本面分析，进行综合决策，并通过历史对冲图验证策略的安全性。
关键信息
一、对冲比例
| 合约 | 交易单位 | 1手RU09对冲手数 | 1吨RU09对冲吨数 |
|---|---|---|---|
| AU08 | 1000 | 1.07 | 0.11千克 |
| AG08 | 15 | 3.37 | 5.05千克 |
| CU09 | 5 | 0.56 | 0.28吨 |
| AL09 | 5 | 2.03 | 1.01吨 |
| ZN09 | 5 | 3.12 | 1.56吨 |
| PB09 | 5 | 2.98 | 1.49吨 |
| NI09 | 1 | 1.49 | 0.15吨 |
| SN09 | 1 | 1.58 | 0.16吨 |
| SI09 | 5 | 3.46 | 1.73吨 |
| RB10 | 10 | 5.55 | 5.55吨 |
| I09 | 100 | 2.29 | 22.87吨 |
| HC10 | 10 | 5.55 | 5.55吨 |
| SS09 | 5 | 2.21 | 1.11吨 |
| SF09 | 5 | 6.53 | 3.27吨 |
| SM09 | 5 | 5.73 | 2.87吨 |
| JM09 | 60 | 2.86 | 17.18吨 |
| J09 | 100 | 1.12 | 11.19吨 |
| FG09 | 20 | 7.29 | 14.57吨 |
| SP09 | 10 | 2.45 | 2.45吨 |
| SC09 | 1000 | 0.42 | 41.72桶 |
| FU09 | 10 | 7.07 | 7.07吨 |
| LU09 | 10 | 4.60 | 4.60吨 |
| BU09 | 10 | 4.65 | 4.65吨 |
| PG09 | 20 | 1.68 | 3.35吨 |
| TA09 | 5 | 5.78 | 2.89吨 |
| V09 | 5 | 6.31 | 3.16吨 |
| NR09 | 10 | 1.20 | 1.20吨 |
| L09 | 5 | 4.30 | 2.15吨 |
| PF09 | 5 | 4.35 | 2.17吨 |
| EG09 | 10 | 2.94 | 2.94吨 |
| MA09 | 10 | 8.48 | 8.48吨 |
| PP09 | 5 | 4.41 | 2.21吨 |
| EB09 | 5 | 4.41 | 2.20吨 |
| C09 | 10 | 11.88 | 11.88吨 |
| CS09 | 10 | 10.10 | 10.10吨 |
| A09 | 10 | 6.27 | 6.27吨 |
| B09 | 10 | 7.14 | 7.14吨 |
| M09 | 10 | 8.08 | 8.08吨 |
| Y09 | 10 | 3.39 | 3.39吨 |
| RM09 | 10 | 10.28 | 10.28吨 |
| OI09 | 10 | 2.60 | 2.60吨 |
| P09 | 10 | 3.50 | 3.50吨 |
| CF09 | 5 | 2.53 | 1.27吨 |
| SR09 | 10 | 4.62 | 4.62吨 |
| JD09 | 10 | 4.27 | 4.27吨 |
| LH09 | 16 | 0.66 | 1.05吨 |
| AP10 | 10 | 1.78 | 1.78吨 |
二、对冲策略变动（6月5日至6月6日）
| 对冲合约 | 对冲组合(货值差) | 6月6日 | 6月5日 | 变动δ | 占1.00手RU09比例 |
|---|---|---|---|---|---|
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| UR09 | 1.00RU09-6.22UR09 | -9.10 | -9.38 | +0.28 | +2.35% |
| FG09 | 1.00RU09-7.29FG09 | -10.13 | -10.34 | +0.20 | +1.73% |
| SA09 | 1.00RU09-6.70SA09 | -10.35 | -10.54 | +0.19 | +1.61% |
| FU09 | 1.00RU09-7.07FU09 | -9.38 | -9.56 | +0.18 | +1.52% |
| C09 | 1.00RU09-11.88C09 | -18.99 | -19.14 | +0.15 | +1.23% |
| SC09 | 1.00RU09-0.42SC09 | -10.06 | -10.11 | +0.06 | +0.47% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| EB09 | 1.00RU09-4.41EB09 | -4.40 | -4.42 | +0.03 | +0.23% |
| NR09 | 1.00RU09-1.20NR09 | +0.43 | +0.42 | +0.01 | +0.09% |
| MA09 | 1.00RU09-8.48MA09 | -5.49 | -5.50 | +0.01 | +0.07% |
| JD09 | 1.00RU09-4.27JD09 | -5.73 | -5.72 | -0.01 | -0.07% |
| AP10 | 1.00RU09-1.78AP10 | -3.39 | -3.38 | -0.01 | -0.09% |
| CS09 | 1.00RU09-10.10CS09 | -17.55 | -17.53 | -0.02 | -0.20% |
| LU09 | 1.00RU09-4.60LU09 | -6.08 | -6.05 | -0.03 | -0.25% |
| BU09 | 1.00RU09-4.65BU09 | -5.19 | -5.07 | -0.12 | -1.03% |
| PG09 | 1.00RU09-1.68PG09 | -0.55 | -0.40 | -0.15 | -1.25% |
| AG08 | 1.00RU09-3.37AG08 | +9.55 | +9.71 | -0.16 | -1.36% |
| RB10 | 1.00RU09-5.55RB10 | -8.37 | -8.21 | -0.16 | -1.37% |
| ZN09 | 1.00RU09-3.12ZN09 | -18.01 | -17.32 | -0.69 | -5.85% |
| PB09 | 1.00RU09-2.98PB09 | -10.62 | -10.45 | -0.17 | -1.42% |
| NI09 | 1.00RU09-1.49NI09 | -11.07 | -10.92 | -0.15 | -1.25% |
| SS09 | 1.00RU09-2.21SS09 | -4.44 | -4.23 | -0.22 | -1.63% |
| SM09 | 1.00RU09-5.73SM09 | -7.17 | -6.99 | -0.18 | -1.52% |
| I09 | 1.00RU09-2.29I09 | -5.71 | -5.39 | -0.32 | -2.68% |
| EG09 | 1.00RU09-2.94EG09 | -0.10 | +0.03 | -0.13 | -1.10% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| V09 | 1.00RU09-6.31V09 | -6.27 | -6.02 | -0.25 | -2.13% |
| PF09 | 1.00RU09-4.35PF09 | -3.41 | -3.38 | -0.03 | -0.27% |
| L09 | 1.00RU09-4.30L09 | -4.81 | -4.61 | -0.19 | -1.63% |
| MA09 | 1.00RU09-8.48MA09 | -5.49 | -5.50 | +0.01 | +0.07% |
| PP09 | 1.00RU09-4.41PP09 | -3.49 | -3.39 | -0.09 | -0.80% |
| EB09 | 1.00RU09-4.41EB09 | -4.40 | -4.42 | -0.03 | -0.22% |
| CF09 | 1.00RU09-2.53CF09 | -9.51 | -9.23 | -0.27 | -2.30% |
| SR09 | 1.00RU09-4.62SR09 | -19.51 | -19.33 | -0.18 | -1.50% |
| JD09 | 1.00RU09-4.27JD09 | -5.73 | -5.72 | -0.01 | -0.07% |
| LH09 | 1.00RU09-0.66LH09 | -5.13 | -4.66 | -0.47 | -3.97% |
| AP10 | 1.00RU09-1.78AP10 | -3.39 | -3.38 | -0.01 | -0.09% |
| CS09 | 1.00RU09-10.10CS09 | -17.55 | -17.53 | -0.02 | -0.20% |
| P09 | 1.00RU09-3.50P09 | -10.91 | -10.88 | -0.03 | -0.22% |
| FG09 | 1.00RU09-7.29FG09 | -10.13 | -10.34 | +0.20 | +1.73% |
| SP09 | 1.00RU09-2.45SP09 | -0.66 | -0.57 | -0.09 | -0.77% |
| SC09 | 1.00RU09-0.42SC09 | -10.06 | -10.11 | +0.06 | +0.47% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| V09 | 1.00RU09-6.31V09 | -6.27 | -6.02 | -0.25 | -2.13% |
| NR09 | 1.00RU09-1.20NR09 | +0.43 | +0.42 | +0.01 | +0.09% |
| L09 | 1.00RU09-4.30L09 | -4.81 | -4.61 | -0.19 | -1.63% |
| PF09 | 1.00RU09-4.35PF09 | -3.41 | -3.38 | -0.03 | -0.27% |
| EG09 | 1.00RU09-2.94EG09 | -0.10 | +0.03 | -0.13 | -1.10% |
| MA09 | 1.00RU09-8.48MA09 | -5.49 | -5.50 | +0.01 | +0.07% |
| PP09 | 1.00RU09-4.41PP09 | -3.49 | -3.39 | -0.09 | -0.80% |
| EB09 | 1.00RU09-4.41EB09 | -4.40 | -4.42 | -0.03 | -0.22% |
| UR09 | 1.00RU09-6.22UR09 | -10.35 | -10.54 | +0.19 | +1.61% |
| SA09 | 1.00RU09-6.70SA09 | -10.35 | -10.54 | +0.19 | +1.61% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| C09 | 1.00RU09-11.88C09 | -18.99 | -19.14 | +0.15 | +1.23% |
| CS09 | 1.00RU09-10.10CS09 | -17.55 | -17.53 | -0.02 | -0.20% |
| A09 | 1.00RU09-6.27A09 | -18.44 | -18.34 | -0.09 | -0.80% |
| B09 | 1.00RU09-7.14B09 | -16.18 | -16.02 | -0.16 | -1.35% |
| M09 | 1.00RU09-8.08M09 | -16.51 | -16.32 | -0.19 | -1.64% |
| Y09 | 1.00RU09-3.39Y09 | -12.06 | -11.88 | -0.18 | -1.51% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| OI09 | 1.00RU09-2.60OI09 | -8.26 | -8.10 | -0.17 | -1.42% |
| P09 | 1.00RU09-3.50P09 | -10.91 | -10.88 | -0.03 | -0.22% |
| FG09 | 1.00RU09-7.29FG09 | -10.13 | -10.34 | +0.20 | +1.73% |
| SP09 | 1.00RU09-2.45SP09 | -0.66 | -0.57 | -0.09 | -0.77% |
| SC09 | 1.00RU09-0.42SC09 | -10.06 | -10.11 | +0.06 | +0.47% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| V09 | 1.00RU09-6.31V09 | -6.27 | -6.02 | -0.25 | -2.13% |
| NR09 | 1.00RU09-1.20NR09 | +0.43 | +0.42 | +0.01 | +0.09% |
| L09 | 1.00RU09-4.30L09 | -4.81 | -4.61 | -0.19 | -1.63% |
| PF09 | 1.00RU09-4.35PF09 | -3.41 | -3.38 | -0.03 | -0.27% |
| EG09 | 1.00RU09-2.94EG09 | -0.10 | +0.03 | -0.13 | -1.10% |
| MA09 | 1.00RU09-8.48MA09 | -5.49 | -5.50 | +0.01 | +0.07% |
| PP09 | 1.00RU09-4.41PP09 | -3.49 | -3.39 | -0.09 | -0.80% |
| EB09 | 1.00RU09-4.41EB09 | -4.40 | -4.42 | -0.03 | -0.22% |
| UR09 | 1.00RU09-6.22UR09 | -10.35 | -10.54 | +0.19 | +1.61% |
| SA09 | 1.00RU09-6.70SA09 | -10.35 | -10.54 | +0.19 | +1.61% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| C09 | 1.00RU09-11.88C09 | -18.99 | -19.14 | +0.15 | +1.23% |
| CS09 | 1.00RU09-10.10CS09 | -17.55 | -17.53 | -0.02 | -0.20% |
| A09 | 1.00RU09-6.27A09 | -18.44 | -18.34 | -0.09 | -0.80% |
| B09 | 1.00RU09-7.14B09 | -16.18 | -16.02 | -0.16 | -1.35% |
| M09 | 1.00RU09-8.08M09 | -16.51 | -16.32 | -0.19 | -1.64% |
| Y09 | 1.00RU09-3.39Y09 | -12.06 | -11.88 | -0.18 | -1.51% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| OI09 | 1.00RU09-2.60OI09 | -8.26 | -8.10 | -0.17 | -1.42% |
| P09 | 1.00RU09-3.50P09 | -10.91 | -10.88 | -0.03 | -0.22% |
| FG09 | 1.00RU09-7.29FG09 | -10.13 | -10.34 | +0.20 | +1.73% |
| SP09 | 1.00RU09-2.45SP09 | -0.66 | -0.57 | -0.09 | -0.77% |
| SC09 | 1.00RU09-0.42SC09 | -10.06 | -10.11 | +0.06 | +0.47% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| V09 | 1.00RU09-6.31V09 | -6.27 | -6.02 | -0.25 | -2.13% |
| NR09 | 1.00RU09-1.20NR09 | +0.43 | +0.42 | +0.01 | +0.09% |
| L09 | 1.00RU09-4.30L09 | -4.81 | -4.61 | -0.19 | -1.63% |
| PF09 | 1.00RU09-4.35PF09 | -3.41 | -3.38 | -0.03 | -0.27% |
| EG09 | 1.00RU09-2.94EG09 | -0.10 | +0.03 | -0.13 | -1.10% |
| MA09 | 1.00RU09-8.48MA09 | -5.49 | -5.50 | +0.01 | +0.07% |
| PP09 | 1.00RU09-4.41PP09 | -3.49 | -3.39 | -0.09 | -0.80% |
| EB09 | 1.00RU09-4.41EB09 | -4.40 | -4.42 | -0.03 | -0.22% |
| UR09 | 1.00RU09-6.22UR09 | -10.35 | -10.54 | +0.19 | +1.61% |
| SA09 | 1.00RU09-6.70SA09 | -10.35 | -10.54 | +0.19 | +1.61% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| C09 | 1.00RU09-11.88C09 | -18.99 | -19.14 | +0.15 | +1.23% |
| CS09 | 1.00RU09-10.10CS09 | -17.55 | -17.53 | -0.02 | -0.20% |
| A09 | 1.00RU09-6.27A09 | -18.44 | -18.34 | -0.09 | -0.80% |
| B09 | 1.00RU09-7.14B09 | -16.18 | -16.02 | -0.16 | -1.35% |
| M09 | 1.00RU09-8.08M09 | -16.51 | -16.32 | -0.19 | -1.64% |
| Y09 | 1.00RU09-3.39Y09 | -12.06 | -11.88 | -0.18 | -1.51% |
| RM09 | 1.00RU09-10.28RM09 | -18.76 | -19.05 | +0.29 | +2.42% |
| OI09 | 1.00RU09-2.60OI09 | -8.26 | -8.10 | -0.17 | -1.42% |
| P09 | 1.00RU09-3.50P09 | -10.91 | -10.88 | -0.03 | -0.22% |
| FG09 | 1.00RU09-7.29FG09 | -10.13 | -10.34 | +0.20 | +1.73% |
| SP09 | 1.00RU09-2.45SP09 | -0.66 | -0.57 | -0.09 | -0.77% |
| SC09 | 1.00RU09-0.42SC09 | -10.06 | -10.11 | +0.06 | +0.47% |
| TA09 | 1.00RU09-5.78TA09 | -4.00 | -4.05 | +0.05 | +0.33% |
| V09 | 1.00RU09-6.31V09 | -6.27 | -6.02 | -0.25 | -2.13% |
| NR09 | 1.00RU09-1.20NR09 | +0.43 | +0.42 | +0.01 | +0.09% |
| L09 | 1.00RU09-4.30L09 | -4.81 | -4.61 | -0.19 | -1.63% |
| PF09 | 1.00RU09-4.35PF09 | -3.41 | -3.38 | -0.03 | -0.27% |
| EG09 | 1.00RU09-2.94EG09 | -0.10 | +0.03 | -0.13 | -1.10% |
| MA09 | 1.00RU09-8.48MA09 | -5.4 |
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