20230329-银河期货-SP05合约_SP06合约全商品对冲报告_27页_698kb
报告摘要
银河期货SP05合约&SP06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SP05合约与SP06合约在不同商品类别中的对冲比例和策略变动，旨在为投资者提供跨品种对冲策略的参考。报告指出，通过合理配比SP05与SP06合约与其他商品合约，可以有效降低价差波动率，提升投资策略的稳定性。
主要观点
- 对冲策略：跨品种对冲策略通过多SP合约与空其他商品合约组合，以降低整体波动率，实现风险对冲。
- 波动率与风险：波动率与风险和收益率成正比，合理对冲策略的波动率通常低于单边头寸。
- 对冲比例：报告提供了1手SP05或SP06合约对冲其他商品合约的具体比例，涵盖贵金属、有色金属、黑色金属、煤炭、轻工、石油、化工、谷物、油脂油料、软商品和农副产品等类别。
- 策略变动：报告展示了对冲策略在不同时间段的货值差变动情况，帮助投资者了解策略的动态变化。
- 图表与数据：每个商品类别均配有对应的图表，用于展示对冲策略的变动趋势及历史价差波动情况。
关键信息
对冲比例表（部分）
| 合约 | 交易单位 | 1手纸浆对冲手数 | 1吨纸浆对冲吨数 |
|---|---|---|---|
| AU06 | 1000 | 0.18 | 0.02千克 |
| AG06 | 15 | 0.84 | 1.24千克 |
| CU05 | 5 | 0.21 | 0.10吨 |
| AL05 | 5 | 0.71 | 0.35吨 |
| ZN05 | 5 | 0.54 | 0.27吨 |
| PB05 | 5 | 0.69 | 0.34吨 |
| NI05 | 1 | 0.45 | 0.05吨 |
| SN05 | 1 | 0.32 | 0.03吨 |
| RB05 | 10 | 1.50 | 1.48吨 |
| I05 | 100 | 0.81 | 8.04吨 |
| HC05 | 10 | 1.52 | 1.50吨 |
| SS05 | 5 | 0.77 | 0.38吨 |
| SF05 | 5 | 1.65 | 0.79吨 |
| SM05 | 5 | 1.62 | 0.79吨 |
| JM05 | 60 | 0.61 | 3.53吨 |
| J05 | 100 | 0.26 | 2.51吨 |
| FG05 | 20 | 1.79 | 3.45吨 |
| SC05 | 1000 | 0.12 | 21.47桶 |
| FU05 | 10 | 2.26 | 2.24吨 |
| LU05 | 10 | 1.82 | 1.85吨 |
| BU06 | 10 | 1.84 | 1.80吨 |
| PG05 | 20 | 0.66 | 1.32吨 |
| TA05 | 5 | 2.05 | 1.01吨 |
| V05 | 5 | 1.63 | 0.80吨 |
| RU05 | 10 | 0.39 | 0.38吨 |
| NR05 | 10 | 0.52 | 0.51吨 |
| L05 | 5 | 1.24 | 0.61吨 |
| PF05 | 5 | 1.45 | 0.71吨 |
| EG05 | 10 | 0.99 | 0.96吨 |
| MA05 | 10 | 2.27 | 2.18吨 |
| PP05 | 5 | 1.31 | 0.63吨 |
| EB05 | 5 | 1.19 | 0.58吨 |
| UR05 | 20 | 1.48 | 2.97吨 |
| SA05 | 20 | 1.41 | 2.78吨 |
| C05 | 10 | 2.41 | 2.46吨 |
| CS05 | 10 | 2.06 | 2.07吨 |
| A05 | 10 | 1.17 | 1.19吨 |
| B05 | 10 | 1.49 | 1.44吨 |
| M05 | 10 | 1.83 | 1.76吨 |
| Y05 | 10 | 0.78 | 0.77吨 |
| RM05 | 10 | 2.17 | 2.25吨 |
| OI05 | 10 | 0.66 | 0.66吨 |
| P05 | 10 | 0.84 | 0.86吨 |
| CF05 | 5 | 0.71 | 0.35吨 |
| SR05 | 10 | 0.97 | 0.95吨 |
| JD05 | 10 | 1.45 | 1.33吨 |
| LH05 | 16 | 0.19 | 0.31吨 |
| AP05 | 10 | 0.70 | 0.70吨 |
对冲策略变动（部分）
| 对冲合约 | 对冲组合(货值差) | 3月29日 | 3月28日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| SF05 | 1.00SP05-1.65SF05 | -0.83 | -1.01 | 0.17 | 3.04% |
| SM05 | 1.00SP05-1.62SM05 | -0.24 | -0.35 | 0.11 | 1.86% |
| SS05 | 1.00SP05-0.77SS05 | -0.15 | -0.25 | 0.10 | 1.84% |
| LH05 | 1.00SP05-0.19LH05 | 1.01 | 0.93 | 0.08 | 1.44% |
| UR05 | 1.00SP05-1.48UR05 | -1.51 | -1.59 | 0.08 | 1.37% |
| SA05 | 1.00SP05-1.41SA05 | -2.33 | -2.40 | 0.07 | 1.30% |
| PB05 | 1.00SP05-0.69PB05 | 0.35 | 0.30 | 0.05 | 0.83% |
| A05 | 1.00SP05-1.17A05 | -0.66 | -0.69 | 0.02 | 0.44% |
| OI05 | 1.00SP05-0.66OI05 | 0.07 | 0.05 | 0.02 | 0.33% |
| RU05 | 1.00SP05-0.39RU05 | 0.96 | 0.94 | 0.02 | 0.31% |
| NR05 | 1.00SP05-0.52NR05 | 0.69 | 0.68 | 0.01 | 0.23% |
| AP05 | 1.00SP05-0.70AP05 | -0.11 | -0.11 | 0.01 | 0.10% |
| PP05 | 1.00SP05-1.31PP05 | 0.67 | 0.66 | 0.00 | 0.08% |
| CS05 | 1.00SP05-2.06CS05 | -0.55 | -0.55 | 0.00 | 0.00% |
| L05 | 1.00SP05-1.24L05 | 0.60 | 0.60 | -0.00 | -0.02% |
| J05 | 1.00SP05-0.26J05 | -1.22 | -1.21 | -0.00 | -0.05% |
| CU05 | 1.00SP05-0.21CU05 | -1.55 | -1.55 | -0.00 | -0.07% |
| FG05 | 1.00SP05-1.79FG05 | -0.36 | -0.35 | -0.00 | -0.08% |
| C05 | 1.00SP05-2.41C05 | -1.02 | -1.02 | -0.01 | -0.10% |
| AL05 | 1.00SP05-0.71AL05 | -1.02 | -1.01 | -0.01 | -0.14% |
| EG05 | 1.00SP05-0.99EG05 | 1.52 | 1.53 | -0.01 | -0.14% |
| MA05 | 1.00SP05-2.27MA05 | 0.01 | 0.02 | -0.01 | -0.28% |
| JD05 | 1.00SP05-1.45JD05 | -0.65 | -0.64 | -0.01 | -0.22% |
| PG05 | 1.00SP05-0.66PG05 | -0.36 | -0.35 | -0.01 | -0.23% |
| EB05 | 1.00SP05-1.19EB05 | 0.57 | 0.59 | -0.02 | -0.32% |
| V05 | 1.00SP05-1.63V05 | 0.54 | 0.56 | -0.03 | -0.48% |
| Y05 | 1.00SP05-0.78Y05 | -0.62 | -0.59 | -0.03 | -0.50% |
| RM05 | 1.00SP05-2.17RM05 | -0.43 | -0.44 | -0.02 | -0.28% |
| NR05 | 1.00SP05-0.52NR05 | 0.69 | 0.68 | -0.01 | -0.23% |
| AP05 | 1.00SP05-0.70AP05 | -0.11 | -0.11 | -0.01 | -0.10% |
| PP05 | 1.00SP05-1.31PP05 | 0.67 | 0.66 | -0.00 | -0.08% |
| CS05 | 1.00SP05-2.06CS05 | -0.55 | -0.55 | -0.01 | -0.10% |
| L05 | 1.00SP05-1.24L05 | 0.60 | 0.60 | -0.00 | -0.02% |
| J05 | 1.00SP05-0.26J05 | -1.22 | -1.21 | -0.00 | -0.05% |
| CU05 | 1.00SP05-0.21CU05 | -1.55 | -1.55 | -0.00 | -0.07% |
| FG05 | 1.00SP05-1.79FG05 | -0.36 | -0.35 | -0.00 | -0.08% |
| C05 | 1.00SP05-2.41C05 | -1.02 | -1.02 | -0.01 | -0.10% |
| AL05 | 1.00SP05-0.71AL05 | -1.02 | -1.01 | -0.01 | -0.14% |
| EG05 | 1.00SP05-0.99EG05 | 1.52 | 1.53 | -0.01 | -0.14% |
| MA05 | 1.00SP05-2.27MA05 | 0.01 | 0.02 | -0.01 | -0.28% |
| JD05 | 1.00SP05-1.45JD05 | -0.65 | -0.64 | -0.01 | -0.22% |
| PG05 | 1.00SP05-0.66PG05 | -0.36 | -0.35 | -0.01 | -0.23% |
| EB05 | 1.00SP05-1.19EB05 | 0.57 | 0.59 | -0.02 | -0.32% |
| V05 | 1.00SP05-1.63V05 | 0.54 | 0.56 | -0.03 | -0.48% |
| Y05 | 1.00SP05-0.78Y05 | -0.62 | -0.59 | -0.03 | -0.50% |
| RM05 | 1.00SP05-2.17RM05 | -0.43 | -0.44 | -0.02 | -0.28% |
| NR05 | 1.00SP05-0.52NR05 | 0.69 | 0.68 | -0.01 | -0.23% |
| AP05 | 1.00SP05-0.70AP05 | -0.11 | -0.11 | -0.01 | -0.10% |
| PP05 | 1.00SP05-1.31PP05 | 0.67 | 0.66 | -0.00 | -0.08% |
| CS05 | 1.00SP05-2.06CS05 | -0.55 | -0.55 | -0.01 | -0.10% |
| L05 | 1.00SP05-1.24L05 | 0.60 | 0.60 | -0.00 | -0.02% |
| J05 | 1.00SP05-0.26J05 | -1.22 | -1.21 | -0.00 | -0.05% |
| CU05 | 1.00SP05-0.21CU05 | -1.55 | -1.55 | -0.00 | -0.07% |
| FG05 | 1.00SP05-1.79FG05 | -0.36 | -0.35 | -0.00 | -0.08% |
| C05 | 1.00SP05-2.41C05 | -1.02 | -1.02 | -0.01 | -0.10% |
| AL05 | 1.00SP05-0.71AL05 | -1.02 | -1.01 | -0.01 | -0.14% |
| EG05 | 1.00SP05-0.99EG05 | 1.52 | 1.53 | -0.01 | -0.14% |
| MA05 | 1.00SP05-2.27MA05 | 0.01 | 0.02 | -0.01 | -0.28% |
| JD05 | 1.00SP05-1.45JD05 | -0.65 | -0.64 | -0.01 | -0.22% |
| PG05 | 1.00SP05-0.66PG05 | -0.36 | -0.35 | -0.01 | -0.23% |
| EB05 | 1.00SP05-1.19EB05 | 0.57 | 0.59 | -0.02 | -0.32% |
| V05 | 1.00SP05-1.63V05 | 0.54 | 0.56 | -0.03 | -0.48% |
| Y05 | 1.00SP05-0.78Y05 | -0.62 | -0.59 | -0.03 | -0.50% |
| M05 | 1.00SP05-1.83M05 | -0.83 | -0.80 | -0.03 | -0.53% |
| NI05 | 1.00SP05-0.45NI05 | -2.49 | -2.46 | -0.03 | -0.53% |
| RB05 | 1.00SP05-1.50RB05 | -0.60 | -0.57 | -0.03 | -0.54% |
| P05 | 1.00SP05-0.84P05 | -0.71 | -0.68 | -0.03 | -0.56% |
| HC05 | 1.00SP05-1.52HC05 | -0.87 | -0.84 | -0.03 | -0.57% |
| PF05 | 1.00SP05-1.45PF05 | 0.19 | 0.23 | -0.04 | -0.65% |
| B05 | 1.00SP05-1.49B05 | -0.47 | -0.43 | -0.04 | -0.66% |
| AG06 | 1.00SP06-0.84AG06 | 5.20 | 5.25 | -0.05 | -0.88% |
| ZN05 | 1.00SP05-0.54ZN05 | -0.51 | -0.46 | -0.05 | -0.90% |
| SN05 | 1.00SP05-0.32SN05 | -0.87 | -0.81 | -0.06 | -1.02% |
| LU05 | 1.00SP05-1.82LU05 | -1.35 | -1.29 | -0.06 | -1.04% |
| JM05 | 1.00SP05-0.61JM05 | -1.06 | -1.00 | -0.06 | -1.10% |
| CF05 | 1.00SP05-0.71CF05 | 0.49 | 0.56 | -0.07 | -1.24% |
| AU06 | 1.00SP06-0.18AU06 | -2.06 | -1.99 | -0.08 | -1.34% |
| I05 | 1.00SP05-0.81I05 | -1.60 | -1.52 | -0.08 | -1.35% |
| BU06 | 1.00SP06-1.84BU06 | -0.98 | -0.89 | -0.08 | -1.49% |
| SC05 | 1.00SP05-0.12SC05 | -0.62 | -0.54 | -0.09 | -1.50% |
| SR05 | 1.00SP05-0.97SR05 | -0.44 | -0.36 | -0.09 | -1.55% |
| FU05 | 1.00SP05-2.26FU05 | -0.56 | -0.47 | -0.09 | -1.57% |
| TA05 | 1.00SP05-2.05TA05 | -0.73 | -0.63 | -0.10 | -1.80% |
策略建议
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》及各商品基本面报告进行综合分析，以验证跨品种对冲策略的安全性并作出更精准的投资决策。
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