20221130-银河期货-RU01合约全商品对冲报告_27页_865kb
报告摘要
银河期货RU01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RU01合约与其他商品之间的对冲比例及策略变动分析，帮助投资者理解跨品种对冲的策略配置与效果。
主要观点
- 对冲策略原理：跨品种对冲是一种通过不同商品价格变动来降低整体波动率的策略。本报告指出，合理配比的跨品种对冲策略，其波动率通常低于单边头寸，甚至同时低于所对冲商品的波动率。
- 对冲比例：报告提供了RU01合约对冲其他商品的具体比例，包括交易单位、对冲手数及吨数，便于投资者根据自身需求进行头寸配置。
- 策略变动分析：报告展示了1.00手RU01合约对冲其他商品的货值差变动，包括11月30日与11月29日的变动情况及变动占比，以评估策略的稳定性及有效性。
关键信息
对冲比例
| 合约 | 交易单位 | 1手RU01对冲手数 | 1吨RU01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 | 5.31 | 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
| 对冲合约 | 对冲组合(货值差) | 11月30日 | 11月29日 | 变动δ | 变动δ占1.00手RU01比例 |
|---|---|---|---|---|---|
| J01 | 1.00RU01-1.14J01 | -19.21 | -19.61 | 0.40 | 3.12% |
| FU01 | 1.00RU01-7FU01 | -5.34 | -5.57 | 0.23 | 1.79% |
| RM01 | 1.00RU01-10.41RM01 | -19.12 | -19.34 | 0.22 | 1.74% |
| FG01 | 1.00RU01-7.35FG01 | -7.61 | -7.83 | 0.21 | 1.68% |
| AL01 | 1.00RU01-2.41AL01 | -9.85 | -10.05 | 0.20 | 1.59% |
| LU01 | 1.00RU01-4.84LU01 | -9.36 | -9.55 | 0.20 | 1.54% |
| AP01 | 1.00RU01-1.82AP01 | -1.83 | -2.00 | 0.17 | 1.31% |
| JM01 | 1.00RU01-2.86JM01 | -25.50 | -25.64 | 0.14 | 1.12% |
| ZN01 | 1.00RU01-3ZN01 | -22.98 | -23.10 | 0.12 | 0.95% |
| MA01 | 1.00RU01-8.39MA01 | -8.99 | -9.11 | 0.11 | 0.89% |
| UR01 | 1.00RU01-6.2UR01 | -18.83 | -18.91 | 0.08 | 0.64% |
| CF01 | 1.00RU01-2.57CF01 | -4.19 | -4.26 | 0.07 | 0.58% |
| JD01 | 1.00RU01-4.54JD01 | -6.89 | -6.94 | 0.05 | 0.37% |
| SC01 | 1.00RU01-0.42SC01 | -11.00 | -11.04 | 0.04 | 0.35% |
| CU01 | 1.00RU01-0.57CU01 | -5.64 | -5.67 | 0.03 | 0.25% |
| HC01 | 1.00RU01-5.56HC01 | -8.71 | -8.73 | 0.02 | 0.15% |
| RB01 | 1.00RU01-5.61RB01 | -8.25 | -8.26 | 0.02 | 0.12% |
| SS01 | 1.00RU01-2.21SS01 | -5.81 | -5.81 | 0.00 | 0.02% |
| PP01 | 1.00RU01-4.38PP01 | -4.23 | -4.22 | -0.01 | -0.04% |
| SN01 | 1.00RU01-1.57SN01 | -16.09 | -16.07 | -0.01 | -0.10% |
| SR01 | 1.00RU01-4.57SR01 | -12.68 | -12.66 | -0.02 | -0.13% |
| C01 | 1.00RU01-11.93C01 | -21.93 | -21.90 | -0.03 | -0.15% |
| PF01 | 1.00RU01-4.34PF01 | -1.56 | -1.52 | -0.04 | -0.19% |
| SA01 | 1.00RU01-6.63SA01 | -23.02 | -22.98 | -0.04 | -0.12% |
| BU12 | 1.00RU01-4.79BU12 | -4.89 | -4.84 | -0.04 | -0.13% |
| I01 | 1.00RU01-2.36I01 | -5.42 | -5.37 | -0.04 | -0.15% |
| LH01 | 1.00RU01-0.68LH01 | -9.57 | -9.53 | -0.05 | -0.17% |
| A01 | 1.00RU01-6.23A01 | -22.04 | -21.98 | -0.07 | -0.13% |
| B01 | 1.00RU01-6.89B01 | -22.34 | -21.75 | -0.59 | -4.62% |
| M01 | 1.00RU01-7.9M01 | -21.20 | -20.83 | -0.37 | -2.92% |
| Y01 | 1.00RU01-3.3Y01 | -18.61 | -18.16 | -0.44 | -3.47% |
| P01 | 1.00RU01-3.47P01 | -17.05 | -16.77 | -0.28 | -2.21% |
| PG01 | 1.00RU01-1.74PG01 | -4.07 | -3.79 | -0.29 | -2.23% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| TA01 | 1.00RU01-5.81TA01 | -2.28 | -2.16 | -0.13 | -0.99% |
| V01 | 1.00RU01-6.28V01 | -6.01 | -5.90 | -0.11 | -0.85% |
| NR01 | 1.00RU01-1.21NR01 | 1.13 | 1.26 | -0.13 | -1.01% |
| L01 | 1.00RU01-4.33L01 | -4.65 | -4.52 | -0.13 | -1.05% |
| EG01 | 1.00RU01-2.93EG01 | 1.35 | 1.44 | -0.09 | -0.67% |
| ZN01 | 1.00RU01-3ZN01 | -22.98 | -23.10 | -0.12 | -0.85% |
| PB01 | 1.00RU01-2.94PB01 | -10.37 | -10.18 | -0.18 | -1.43% |
| EG01 | 1.00RU01-2.93EG01 | 1.35 | 1.44 | -0.09 | -0.67% |
| SC01 | 1.00RU01-0.42SC01 | -11.00 | -11.04 | -0.04 | -0.78% |
| CU01 | 1.00RU01-0.57CU01 | -5.64 | -5.67 | -0.03 | -0.25% |
| HC01 | 1.00RU01-5.56HC01 | -8.71 | -8.73 | -0.02 | -0.15% |
| RB01 | 1.00RU01-5.61RB01 | -8.25 | -8.26 | -0.02 | -0.12% |
| SS01 | 1.00RU01-2.21SS01 | -5.81 | -5.81 | -0.00 | -0.02% |
| SF01 | 1.00RU01-6.61SF01 | -14.99 | -14.87 | -0.12 | -0.94% |
| SM01 | 1.00RU01-5.7SM01 | -8.32 | -8.23 | -0.09 | -0.67% |
| AU12 | 1.00RU01-1.03AU12 | -29.19 | -29.11 | -0.08 | -0.61% |
| AG12 | 1.00RU01-2.95AG12 | 10.97 | 11.05 | -0.08 | -0.63% |
| TA01 | 1.00RU01-5.81TA01 | -2.28 | -2.16 | -0.13 | -0.99% |
| V01 | 1.00RU01-6.28V01 | -6.01 | -5.90 | -0.11 | -0.85% |
| NR01 | 1.00RU01-1.21NR01 | 1.13 | 1.26 | -0.13 | -1.01% |
| L01 | 1.00RU01-4.33L01 | -4.65 | -4.52 | -0.13 | -1.05% |
| PF01 | 1.00RU01-4.34PF01 | -1.56 | -1.52 | -0.04 | -0.19% |
| SA01 | 1.00RU01-6.63SA01 | -23.02 | -22.98 | -0.04 | -0.12% |
| BU12 | 1.00RU01-4.79BU12 | -4.89 | -4.84 | -0.04 | -0.13% |
| I01 | 1.00RU01-2.36I01 | -5.42 | -5.37 | -0.04 | -0.15% |
| LH01 | 1.00RU01-0.68LH01 | -9.57 | -9.53 | -0.05 | -0.17% |
| A01 | 1.00RU01-6.23A01 | -22.04 | -21.98 | -0.07 | -0.13% |
| B01 | 1.00RU01-6.89B01 | -22.34 | -21.75 | -0.59 | -4.62% |
| M01 | 1.00RU01-7.9M01 | -21.20 | -20.83 | -0.37 | -2.92% |
| Y01 | 1.00RU01-3.3Y01 | -18.61 | -18.16 | -0.44 | -3.47% |
| RM01 | 1.00RU01-10.41RM01 | -17.05 | -16.77 | -0.28 | -2.21% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| P01 | 1.00RU01-3.47P01 | -17.05 | -16.77 | -0.28 | -2.21% |
| PG01 | 1.00RU01-1.74PG01 | -4.07 | -3.79 | -0.29 | -2.23% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| TA01 | 1.00RU01-5.81TA01 | -2.28 | -2.16 | -0.13 | -0.99% |
| V01 | 1.00RU01-6.28V01 | -6.01 | -5.90 | -0.11 | -0.85% |
| NR01 | 1.00RU01-1.21NR01 | 1.13 | 1.26 | -0.13 | -1.01% |
| L01 | 1.00RU01-4.33L01 | -4.65 | -4.52 | -0.13 | -1.05% |
| PF01 | 1.00RU01-4.34PF01 | -1.56 | -1.52 | -0.04 | -0.19% |
| SA01 | 1.00RU01-6.63SA01 | -23.02 | -22.98 | -0.04 | -0.12% |
| BU12 | 1.00RU01-4.79BU12 | -4.89 | -4.84 | -0.04 | -0.13% |
| I01 | 1.00RU01-2.36I01 | -5.42 | -5.37 | -0.04 | -0.15% |
| LH01 | 1.00RU01-0.68LH01 | -9.57 | -9.53 | -0.05 | -0.17% |
| A01 | 1.00RU01-6.23A01 | -22.04 | -21.98 | -0.07 | -0.13% |
| B01 | 1.00RU01-6.89B01 | -22.34 | -21.75 | -0.59 | -4.62% |
| M01 | 1.00RU01-7.9M01 | -21.20 | -20.83 | -0.37 | -2.92% |
| Y01 | 1.00RU01-3.3Y01 | -18.61 | -18.16 | -0.44 | -3.47% |
| RM01 | 1.00RU01-10.41RM01 | -17.05 | -16.77 | -0.28 | -2.21% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| P01 | 1.00RU01-3.47P01 | -17.05 | -16.77 | -0.28 | -2.21% |
| PG01 | 1.00RU01-1.74PG01 | -4.07 | -3.79 | -0.29 | -2.23% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| TA01 | 1.00RU01-5.81TA01 | -2.28 | -2.16 | -0.13 | -0.99% |
| V01 | 1.00RU01-6.28V01 | -6.01 | -5.90 | -0.11 | -0.85% |
| NR01 | 1.00RU01-1.21NR01 | 1.13 | 1.26 | -0.13 | -1.01% |
| L01 | 1.00RU01-4.33L01 | -4.65 | -4.52 | -0.13 | -1.05% |
| PF01 | 1.00RU01-4.34PF01 | -1.56 | -1.52 | -0.04 | -0.19% |
| SA01 | 1.00RU01-6.63SA01 | -23.02 | -22.98 | -0.04 | -0.12% |
| BU12 | 1.00RU01-4.79BU12 | -4.89 | -4.84 | -0.04 | -0.13% |
| I01 | 1.00RU01-2.36I01 | -5.42 | -5.37 | -0.04 | -0.15% |
| LH01 | 1.00RU01-0.68LH01 | -9.57 | -9.53 | -0.05 | -0.17% |
| A01 | 1.00RU01-6.23A01 | -22.04 | -21.98 | -0.07 | -0.13% |
| B01 | 1.00RU01-6.89B01 | -22.34 | -21.75 | -0.59 | -4.62% |
| M01 | 1.00RU01-7.9M01 | -21.20 | -20.83 | -0.37 | -2.92% |
| Y01 | 1.00RU01-3.3Y01 | -18.61 | -18.16 | -0.44 | -3.47% |
| RM01 | 1.00RU01-10.41RM01 | -17.05 | -16.77 | -0.28 | -2.21% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| P01 | 1.00RU01-3.47P01 | -17.05 | -16.77 | -0.28 | -2.21% |
| PG01 | 1.00RU01-1.74PG01 | -4.07 | -3.79 | -0.29 | -2.23% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16.24 | -0.37 | -2.91% |
| TA01 | 1.00RU01-5.81TA01 | -2.28 | -2.16 | -0.13 | -0.99% |
| V01 | 1.00RU01-6.28V01 | -6.01 | -5.90 | -0.11 | -0.85% |
| NR01 | 1.00RU01-1.21NR01 | 1.13 | 1.26 | -0.13 | -1.01% |
| L01 | 1.00RU01-4.33L01 | -4.65 | -4.52 | -0.13 | -1.05% |
| PF01 | 1.00RU01-4.34PF01 | -1.56 | -1.52 | -0.04 | -0.19% |
| SA01 | 1.00RU01-6.63SA01 | -23.02 | -22.98 | -0.04 | -0.12% |
| BU12 | 1.00RU01-4.79BU12 | -4.89 | -4.84 | -0.04 | -0.13% |
| I01 | 1.00RU01-2.36I01 | -5.42 | -5.37 | -0.04 | -0.15% |
| LH01 | 1.00RU01-0.68LH01 | -9.57 | -9.53 | -0.05 | -0.17% |
| A01 | 1.00RU01-6.23A01 | -22.04 | -21.98 | -0.07 | -0.13% |
| B01 | 1.00RU01-6.89B01 | -22.34 | -21.75 | -0.59 | -4.62% |
| M01 | 1.00RU01-7.9M01 | -21.20 | -20.83 | -0.37 | -2.92% |
| Y01 | 1.00RU01-3.3Y01 | -18.61 | -18.16 | -0.44 | -3.47% |
| RM01 | 1.00RU01-10.41RM01 | -17.05 | -16.77 | -0.28 | -2.21% |
| OI01 | 1.00RU01-2.6OI01 | -16.61 | -16 |
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