20221101-银河期货-SP12合约_SP01合约全商品对冲报告_27页_671kb
报告摘要
银河期货SP12合约&SP01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，主要分析了SP12合约与SP01合约作为对冲工具，对冲其他商品合约的策略与比例。报告旨在为投资者提供跨品种对冲的参考，帮助其降低波动率风险，实现更稳定的收益。
主要观点
- 跨品种对冲策略：通过将SP12或SP01合约与其它商品合约进行对冲，可以有效降低价差波动率，通常优于单边头寸。
- 波动率与风险收益：波动率与风险及收益率成正比，合理对冲比例可降低整体波动率，提高策略的安全性。
- 对冲比例：报告提供了不同商品合约与SP12或SP01合约的对冲比例，帮助投资者确定合适的对冲头寸。
- 策略变动：报告展示了对冲策略在不同时间段的变动情况，便于投资者跟踪和调整策略。
关键信息
一、对冲比例
| 商品合约 | 交易单位 | 1手纸浆对冲手数 | 1吨纸浆对冲吨数 |
|---|---|---|---|
| 贵金属 | |||
| AU12 | 1000 | 0.18 | 0.02千克 |
| AG12 | 15 | 0.83 | 1.24千克 |
| 有色金属 | |||
| CU01 | 5 | 0.21 | 0.10吨 |
| AL01 | 5 | 0.71 | 0.35吨 |
| ZN01 | 5 | 0.54 | 0.27吨 |
| PB01 | 5 | 0.68 | 0.34吨 |
| NI01 | 1 | 0.45 | 0.05吨 |
| SN01 | 1 | 0.32 | 0.03吨 |
| 黑色金属 | |||
| RB01 | 10 | 1.48 | 1.48吨 |
| I01 | 100 | 0.80 | 8.04吨 |
| HC01 | 10 | 1.50 | 1.50吨 |
| SS01 | 5 | 0.76 | 0.38吨 |
| SF01 | 5 | 1.58 | 0.79吨 |
| SM01 | 5 | 1.59 | 0.79吨 |
| 煤炭 | |||
| JM01 | 60 | 0.59 | 3.53吨 |
| J01 | 100 | 0.25 | 2.51吨 |
| 轻工 | |||
| FG01 | 20 | 1.73 | 3.45吨 |
| 石油 | |||
| SC01 | 1000 | 0.21 | 21.47桶 |
| FU01 | 10 | 2.24 | 2.24吨 |
| LU01 | 10 | 1.85 | 1.85吨 |
| BU12 | 10 | 1.80 | 1.80吨 |
| PG01 | 20 | 0.66 | 1.32吨 |
| 化工 | |||
| TA01 | 5 | 2.02 | 1.01吨 |
| V01 | 5 | 1.59 | 0.80吨 |
| RU01 | 10 | 0.38 | 0.38吨 |
| NR01 | 10 | 0.51 | 0.51吨 |
| L01 | 5 | 1.22 | 0.61吨 |
| PF01 | 5 | 1.42 | 0.71吨 |
| EG01 | 10 | 0.96 | 0.96吨 |
| MA01 | 10 | 2.18 | 2.18吨 |
| PP01 | 5 | 1.25 | 0.63吨 |
| EB01 | 5 | 1.16 | 0.58吨 |
| UR01 | 20 | 1.49 | 2.97吨 |
| SA01 | 20 | 1.39 | 2.78吨 |
| 谷物 | |||
| C01 | 10 | 2.46 | 2.46吨 |
| CS01 | 10 | 2.07 | 2.07吨 |
| 油脂油料 | |||
| A01 | 10 | 1.19 | 1.19吨 |
| B01 | 10 | 1.44 | 1.44吨 |
| M01 | 10 | 1.76 | 1.76吨 |
| Y01 | 10 | 0.77 | 0.77吨 |
| RM01 | 10 | 2.25 | 2.25吨 |
| OI01 | 10 | 0.66 | 0.66吨 |
| P01 | 10 | 0.86 | 0.86吨 |
| 软商品 | |||
| CF01 | 5 | 0.71 | 0.35吨 |
| SR01 | 10 | 0.95 | 0.95吨 |
| 农副产品 | |||
| JD01 | 10 | 1.33 | 1.33吨 |
| LH01 | 16 | 0.19 | 0.31吨 |
| AP01 | 10 | 0.70 | 0.70吨 |
二、对冲策略变动
| 对冲合约 | 对冲组合(货值差) | 11月2日 | 11月1日 | 变动δ | 变动δ占1.0手SP合约比例 |
|---|---|---|---|---|---|
| BU12 | 1.00SP12-1.8BU12 | 0.19 | 0.09 | 0.10 | 1.43% |
| RM01 | 1.00SP01-2.25RM01 | -0.10 | -0.19 | 0.08 | 1.20% |
| SA01 | 1.00SP01-1.39SA01 | 0.34 | 0.29 | 0.06 | 0.80% |
| C01 | 1.00SP01-2.46C01 | -0.21 | -0.25 | 0.05 | 0.69% |
| M01 | 1.00SP01-1.76M01 | -0.58 | -0.62 | 0.04 | 0.64% |
| AG12 | 1.00SP12-0.83AG12 | 6.52 | 6.51 | 0.02 | 0.25% |
| AP01 | 1.00SP01-0.7AP01 | 1.01 | 1.00 | 0.01 | 0.12% |
| LU01 | 1.00SP01-1.85LU01 | -2.06 | -2.07 | 0.01 | 0.12% |
| AU12 | 1.00SP12-0.18AU12 | 0.04 | 0.04 | 0.01 | 0.10% |
| AL01 | 1.00SP01-0.71AL01 | 0.53 | 0.52 | 0.01 | 0.08% |
| EB01 | 1.00SP01-1.16EB01 | 2.39 | 2.38 | 0.00 | 0.05% |
| SS01 | 1.00SP01-0.76SS01 | 0.64 | 0.64 | 0.00 | 0.04% |
| A01 | 1.00SP01-1.19A01 | 0.16 | 0.16 | 0.00 | 0.00% |
| FG01 | 1.00SP01-1.73FG01 | 2.13 | 2.13 | -0.00 | 0.00% |
| TA01 | 1.00SP01-2.02TA01 | 1.62 | 1.63 | -0.01 | -0.24% |
| PB01 | 1.00SP01-0.68PB01 | 1.63 | 1.64 | -0.01 | -0.25% |
| RB01 | 1.00SP01-1.48RB01 | 1.66 | 1.67 | -0.01 | -0.20% |
| JD01 | 1.00SP01-1.33JD01 | 1.04 | 1.06 | -0.02 | -0.24% |
| PF01 | 1.00SP01-1.42PF01 | 2.07 | 2.09 | -0.02 | -0.29% |
| RU01 | 1.00SP01-0.38RU01 | 2.16 | 2.18 | -0.02 | -0.29% |
| I01 | 1.00SP01-0.8I01 | 1.75 | 1.78 | -0.02 | -0.32% |
| SN01 | 1.00SP01-0.32SN01 | 1.84 | 1.87 | -0.03 | -0.45% |
| CS01 | 1.00SP01-2.07CS01 | 0.69 | 0.72 | -0.03 | -0.47% |
| HC01 | 1.00SP01-1.5HC01 | 1.45 | 1.49 | -0.03 | -0.49% |
| MA01 | 1.00SP01-2.18MA01 | 1.21 | 1.25 | -0.03 | -0.49% |
| CU01 | 1.00SP01-0.21CU01 | 0.36 | 0.40 | -0.04 | -0.55% |
| B01 | 1.00SP01-1.44B01 | -0.37 | -0.34 | -0.04 | -0.56% |
| UR01 | 1.00SP01-1.49UR01 | -0.10 | -0.05 | -0.04 | -0.59% |
| PP01 | 1.00SP01-1.25PP01 | 2.06 | 2.10 | -0.04 | -0.61% |
| L01 | 1.00SP01-1.22L01 | 2.08 | 2.13 | -0.05 | -0.68% |
| V01 | 1.00SP01-1.59V01 | 2.20 | 2.26 | -0.06 | -0.88% |
| SR01 | 1.00SP01-0.95SR01 | 1.53 | 1.59 | -0.06 | -0.89% |
| J01 | 1.00SP01-0.25J01 | 0.58 | 0.65 | -0.06 | -0.93% |
| EG01 | 1.00SP01-0.96EG01 | 3.10 | 3.17 | -0.07 | -0.97% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.78 | 0.85 | -0.07 | -1.02% |
| NR01 | 1.00SP01-0.51NR01 | 2.06 | 2.14 | -0.08 | -1.10% |
| OI01 | 1.00SP01-0.66OI01 | -0.61 | -0.54 | -0.08 | -1.11% |
| JM01 | 1.00SP01-0.59JM01 | -0.12 | -0.03 | -0.08 | -1.22% |
| SM01 | 1.00SP01-1.59SM01 | 1.31 | 1.41 | -0.10 | -1.47% |
| PG01 | 1.00SP01-0.66PG01 | -0.06 | 0.05 | -0.11 | -1.56% |
| CF01 | 1.00SP01-0.71CF01 | 2.23 | 2.35 | -0.12 | -1.69% |
| SF01 | 1.00SP01-1.58SF01 | 0.44 | 0.56 | -0.12 | -1.76% |
| SC01 | 1.00SP01-0.21SC01 | -7.94 | -7.77 | -0.17 | -2.41% |
| Y01 | 1.00SP01-0.77Y01 | -0.54 | -0.37 | -0.17 | -2.50% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.78 | 0.85 | -0.07 | -1.02% |
| NR01 | 1.00SP01-0.51NR01 | 2.06 | 2.14 | -0.08 | -1.10% |
| L01 | 1.00SP01-1.22L01 | 2.08 | 2.13 | -0.05 | -0.68% |
| PF01 | 1.00SP01-1.42PF01 | 2.07 | 2.09 | -0.02 | -0.29% |
| EG01 | 1.00SP01-0.96EG01 | 3.10 | 3.17 | -0.07 | -0.97% |
| MA01 | 1.00SP01-2.18MA01 | 1.21 | 1.25 | -0.03 | -0.49% |
| PP01 | 1.00SP01-1.25PP01 | 2.06 | 2.10 | -0.04 | -0.61% |
| EB01 | 1.00SP01-1.16EB01 | 2.39 | 2.38 | 0.00 | 0.05% |
| UR01 | 1.00SP01-1.49UR01 | -0.10 | -0.05 | -0.04 | -0.59% |
| SA01 | 1.00SP01-1.39SA01 | 1.04 | 1.06 | -0.02 | -0.24% |
| C01 | 1.00SP01-2.46C01 | 0.69 | 0.72 | -0.03 | -0.47% |
| CS01 | 1.00SP01-2.07CS01 | 0.69 | 0.72 | -0.03 | -0.47% |
| A01 | 1.00SP01-1.19A01 | 0.16 | 0.16 | 0.00 | 0.00% |
| B01 | 1.00SP01-1.44B01 | -0.37 | -0.34 | -0.04 | -0.56% |
| M01 | 1.00SP01-1.76M01 | -0.54 | -0.37 | -0.17 | -2.50% |
| RM01 | 1.00SP01-2.25RM01 | -0.10 | -0.19 | 0.08 | 1.20% |
| OI01 | 1.00SP01-0.66OI01 | -0.61 | -0.54 | -0.08 | -1.11% |
| P01 | 1.00SP01-0.86P01 | -0.52 | -0.36 | -0.16 | -2.32% |
| NI01 | 1.00SP01-0.45NI01 | -1.78 | -1.61 | -0.16 | -2.36% |
| SC01 | 1.00SP01-0.21SC01 | -7.94 | -7.77 | -0.17 | -2.41% |
| Y01 | 1.00SP01-0.77Y01 | -0.54 | -0.37 | -0.17 | -2.50% |
| FG01 | 1.00SP01-1.73FG01 | 2.13 | 2.13 | -0.00 | 0.00% |
| CF01 | 1.00SP01-0.71CF01 | 2.23 | 2.35 | -0.12 | -1.69% |
| SR01 | 1.00SP01-0.95SR01 | 1.53 | 1.59 | -0.06 | -0.89% |
| JD01 | 1.00SP01-1.33JD01 | 1.04 | 1.06 | -0.02 | -0.24% |
| LH01 | 1.00SP01-0.19LH01 | -0.06 | 0.15 | -0.21 | -3.03% |
| AP01 | 1.00SP01-0.7AP01 | 1.01 | 1.00 | 0.01 | 0.12% |
其他信息
- 作者承诺：潘盛杰具有期货从业资格，承诺以独立、客观的态度发布报告，不接受任何与报告内容相关的报酬。
- 免责声明：银河期货提供的报告仅供参考，不构成投资建议，客户应自行判断并承担投资风险。
- 联系方式：银河期货有限公司能化投资研究部，提供多种联系方式供客户咨询。
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