20220913-银河期货-SP12合约_SP01合约全商品对冲报告_27页_966kb
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，旨在提供SP12合约与SP01合约作为对冲工具，对冲其他商品合约的策略比例与变动情况。报告基于历史价格数据，分析了不同商品对冲策略的波动率与货值变动，并强调了结合其他报告进行综合决策的重要性。
主要观点
- 对冲策略目标：通过跨品种对冲，降低价差波动率，从而降低投资风险，提高收益稳定性。
- 波动率与风险：波动率与风险成正比，合理的对冲比例可以有效降低整体波动率。
- 价差变动：报告主要展示1手SP合约对冲其他商品合约的价差变动，用于评估对冲效果。
- 策略验证：建议结合《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，进行综合分析和策略验证。
关键信息
一、对冲比例
| 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) | 9月13日 | 9月8日 | 变动δ | 变动δ占1.00手SP合约比例 |
|---|---|---|---|---|---|
| JD01 | 1.00SP01-1.33JD01 | 1.13 | 1.14 | -0.00 | -0.06% |
| AG12 | 1.00SP12-0.83AG12 | 6.47 | 6.48 | -0.01 | -0.18% |
| AU12 | 1.00SP12-0.18AU12 | 0.03 | 0.04 | -0.02 | -0.23% |
| PB01 | 1.00SP01-0.68PB01 | 1.61 | 1.63 | -0.03 | -0.37% |
| PG01 | 1.00SP01-0.66PG01 | -0.36 | -0.33 | -0.03 | -0.39% |
| AP01 | 1.00SP01-0.7AP01 | 0.61 | 0.69 | -0.08 | -1.13% |
| CF01 | 1.00SP01-0.71CF01 | 1.63 | 1.72 | -0.08 | -1.23% |
| AL01 | 1.00SP01-0.71AL01 | 0.23 | 0.31 | -0.08 | -1.23% |
| SR01 | 1.00SP01-0.95SR01 | 1.51 | 1.60 | -0.10 | -1.43% |
| L01 | 1.00SP01-1.22L01 | 1.78 | 1.88 | -0.10 | -1.43% |
| NR01 | 1.00SP01-0.51NR01 | 1.82 | 1.92 | -0.10 | -1.47% |
| V01 | 1.00SP01-1.59V01 | 1.56 | 1.67 | -0.11 | -1.55% |
| C01 | 1.00SP01-2.46C01 | -0.20 | -0.09 | -0.11 | -1.57% |
| FG01 | 1.00SP01-1.73FG01 | 1.55 | 1.66 | -0.11 | -1.66% |
| HC01 | 1.00SP01-1.5HC01 | 0.97 | 1.09 | -0.12 | -1.71% |
| PP01 | 1.00SP01-1.25PP01 | 1.69 | 1.81 | -0.12 | -1.77% |
| RB01 | 1.00SP01-1.48RB01 | 1.17 | 1.30 | -0.13 | -1.97% |
| MA01 | 1.00SP01-2.18MA01 | 0.78 | 0.92 | -0.14 | -1.97% |
| L01 | 1.00SP01-1.22L01 | 1.78 | 1.88 | -0.10 | -1.43% |
| L01 | 1.00SP01-1.22L01 | 1.78 | 1.88 | -0.10 | -1.43% |
| NR01 | 1.00SP01-0.51NR01 | 1.82 | 1.92 | -0.10 | -1.47% |
| V01 | 1.00SP01-1.59V01 | 1.56 | 1.67 | -0.11 | -1.55% |
| C01 | 1.00SP01-2.46C01 | -0.20 | -0.09 | -0.11 | -1.57% |
| FG01 | 1.00SP01-1.73FG01 | 1.55 | 1.66 | -0.11 | -1.66% |
| HC01 | 1.00SP01-1.5HC01 | 0.97 | 1.09 | -0.12 | -1.71% |
| PP01 | 1.00SP01-1.25PP01 | 1.69 | 1.81 | -0.12 | -1.77% |
| RB01 | 1.00SP01-1.48RB01 | 1.17 | 1.30 | -0.13 | -1.97% |
| MA01 | 1.00SP01-2.18MA01 | 0.78 | 0.92 | -0.14 | -1.97% |
| LH01 | 1.00SP01-0.19LH01 | -0.41 | -0.27 | -0.14 | -2.03% |
| BU12 | 1.00SP12-1.8BU12 | 0.16 | 0.30 | -0.14 | -2.06% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.40 | 0.56 | -0.16 | -2.27% |
| CS01 | 1.00SP01-2.07CS01 | 0.08 | 0.24 | -0.16 | -2.28% |
| RU01 | 1.00SP01-0.38RU01 | 1.94 | 2.10 | -0.16 | -2.35% |
| SN01 | 1.00SP01-0.32SN01 | 1.18 | 1.35 | -0.16 | -2.38% |
| EG01 | 1.00SP01-0.96EG01 | 2.41 | 2.58 | -0.17 | -2.52% |
| EB01 | 1.00SP01-1.16EB01 | 1.86 | 2.03 | -0.17 | -2.53% |
| A01 | 1.00SP01-1.19A01 | -0.16 | 0.04 | -0.20 | -2.85% |
| I01 | 1.00SP01-0.8I01 | 0.92 | 1.12 | -0.20 | -2.99% |
| CU01 | 1.00SP01-0.21CU01 | 0.39 | 0.60 | -0.21 | -3.05% |
| OI01 | 1.00SP01-0.66OI01 | -0.19 | 0.02 | -0.21 | -3.12% |
| P01 | 1.00SP01-0.86P01 | -0.06 | 0.17 | -0.24 | -3.46% |
| PF01 | 1.00SP01-1.42PF01 | 1.52 | 1.76 | -0.24 | -3.46% |
| SA01 | 1.00SP01-1.39SA01 | 0.21 | 0.47 | -0.26 | -3.75% |
| SS01 | 1.00SP01-0.76SS01 | 0.56 | 0.82 | -0.26 | -3.79% |
| SF01 | 1.00SP01-1.58SF01 | 0.38 | 0.65 | -0.26 | -3.84% |
| FU01 | 1.00SP01-2.24FU01 | 0.36 | 0.62 | -0.26 | -3.84% |
| J01 | 1.00SP01-0.25J01 | 0.23 | 0.50 | -0.27 | -3.88% |
| Y01 | 1.00SP01-0.77Y01 | -0.51 | -0.24 | -0.27 | -3.93% |
| UR01 | 1.00SP01-1.49UR01 | -0.56 | -0.27 | -0.29 | -4.20% |
| TA01 | 1.00SP01-2.02TA01 | 0.96 | 1.28 | -0.32 | -4.64% |
| SM01 | 1.00SP01-1.59SM01 | 0.99 | 1.35 | -0.36 | -5.18% |
| B01 | 1.00SP01-1.44B01 | -0.23 | 0.15 | -0.38 | -5.54% |
| JM01 | 1.00SP01-0.59JM01 | -0.18 | 0.21 | -0.39 | -5.65% |
| J01 | 1.00SP01-0.25J01 | 0.23 | 0.50 | -0.27 | -3.88% |
| FG01 | 1.00SP01-1.73FG01 | 1.55 | 1.66 | -0.11 | -1.66% |
| SC01 | 1.00SP01-0.21SC01 | -6.44 | -6.01 | -0.43 | -6.30% |
| FU01 | 1.00SP01-2.24FU01 | 0.36 | 0.62 | -0.26 | -3.84% |
| LU01 | 1.00SP01-1.85LU01 | -1.56 | -1.13 | -0.43 | -6.27% |
| BU12 | 1.00SP12-1.8BU12 | 0.16 | 0.30 | -0.14 | -2.06% |
| PG01 | 1.00SP01-0.66PG01 | -0.36 | -0.24 | -0.12 | -1.55% |
| TA01 | 1.00SP01-2.02TA01 | 0.96 | 1.28 | -0.32 | -4.64% |
| V01 | 1.00SP01-1.59V01 | 1.56 | 1.67 | -0.11 | -1.55% |
| NR01 | 1.00SP01-0.51NR01 | 1.82 | 1.92 | -0.10 | -1.47% |
| L01 | 1.00SP01-1.22L01 | 1.78 | 1.88 | -0.10 | -1.43% |
| PF01 | 1.00SP01-1.42PF01 | 1.52 | 1.76 | -0.24 | -3.46% |
| EG01 | 1.00SP01-0.96EG01 | 2.41 | 2.58 | -0.17 | -2.52% |
| EB01 | 1.00SP01-1.16EB01 | 1.86 | 2.03 | -0.17 | -2.53% |
| A01 | 1.00SP01-1.19A01 | -0.16 | 0.04 | -0.20 | -2.85% |
| I01 | 1.00SP01-0.8I01 | 0.92 | 1.12 | -0.20 | -2.99% |
| CU01 | 1.00SP01-0.21CU01 | 0.39 | 0.60 | -0.21 | -3.05% |
| OI01 | 1.00SP01-0.66OI01 | -0.19 | 0.02 | -0.21 | -3.12% |
| P01 | 1.00SP01-0.86P01 | -0.06 | 0.17 | -0.24 | -3.46% |
| SA01 | 1.00SP01-1.39SA01 | 0.21 | 0.47 | -0.26 | -3.75% |
| SM01 | 1.00SP01-1.59SM01 | 0.99 | 1.35 | -0.36 | -5.18% |
| B01 | 1.00SP01-1.44B01 | -0.23 | 0.15 | -0.38 | -5.54% |
| JM01 | 1.00SP01-0.59JM01 | -0.18 | 0.21 | -0.39 | -5.65% |
| M01 | 1.00SP01-1.76M01 | -0.37 | 0.04 | -0.41 | -6.04% |
| LU01 | 1.00SP01-1.85LU01 | -1.56 | -1.13 | -0.43 | -6.27% |
| SC01 | 1.00SP01-0.21SC01 | -6.44 | -6.01 | -0.43 | -6.30% |
| RM01 | 1.00SP01-2.25RM01 | -0.32 | 0.17 | -0.50 | -7.25% |
| NI01 | 1.00SP01-0.45NI01 | -1.53 | -0.79 | -0.74 | -10.79% |
结论
本报告提供了SP12合约与SP01合约对冲其他商品的策略比例及变动情况，有助于投资者在实际操作中进行对冲策略的制定与调整。建议投资者结合银河期货提供的其他报告及市场基本面分析，以实现更安全有效的投资决策。
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