20221010-银河期货-SP12合约_SP01合约全商品对冲报告_27页_969kb
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合约对冲其他商品合约的配比信息，帮助投资者进行跨品种对冲策略分析。报告通过多种商品合约与SP合约的组合，展示价差波动率及策略变动，为跨品种套利提供参考依据。
主要观点
-
跨品种对冲策略：
- 跨品种对冲是一种通过组合不同商品合约头寸以降低整体波动率的策略。
- 波动率与风险、收益率成正比关系，合理配比的对冲策略可以有效降低波动率，有时甚至低于单边头寸。
- 报告中展示的对冲策略以1手SP12或SP01合约为基础，对冲其他商品合约，以实现价差波动率最小化。
-
对冲比例：
- 对冲比例根据商品的交易单位和对冲关系计算得出，用于确定1手SP合约对冲其他商品合约所需的头寸数量。
- 例如，1手SP01合约可对冲0.18手AU12合约或0.83手AG12合约，具体数值因商品种类而异。
-
策略变动：
- 报告展示了不同商品对冲策略在不同时间点（如10月10日与9月30日）的货值差变动情况。
- 变动幅度以万元为单位，用于衡量策略的调整与变化，部分策略变动幅度较小，部分则较大。
关键信息
一、对冲比例表
| 商品类别 | 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) | 10月10日 | 9月30日 | 变动δ | 占比 |
|---|---|---|---|---|---|
| NI01 | 1.00SP01-0.45NI01 | -0.97 | -1.23 | 0.26 | 3.72% |
| AP01 | 1.00SP01-0.7AP01 | 1.24 | 1.04 | 0.20 | 2.93% |
| SS01 | 1.00SP01-0.76SS01 | 0.88 | 0.75 | 0.13 | 1.88% |
| UR01 | 1.00SP01-1.49UR01 | -0.55 | -0.67 | 0.12 | 1.70% |
| SN01 | 1.00SP01-0.32SN01 | 1.53 | 1.44 | 0.09 | 1.25% |
| A01 | 1.00SP01-1.19A01 | -0.09 | -0.17 | 0.08 | 1.13% |
| RM01 | 1.00SP01-2.25RM01 | -0.26 | -0.32 | 0.06 | 0.89% |
| RU01 | 1.00SP01-0.38RU01 | 1.93 | 1.89 | 0.04 | 0.63% |
| CU01 | 1.00SP01-0.21CU01 | 0.76 | 0.73 | 0.03 | 0.49% |
| SA01 | 1.00SP01-1.39SA01 | -0.13 | -0.16 | 0.03 | 0.40% |
| AG12 | 1.00SP12-0.83AG12 | 6.50 | 6.48 | 0.02 | 0.33% |
| M01 | 1.00SP01-1.76M01 | -0.30 | -0.32 | 0.02 | 0.27% |
| NR01 | 1.00SP01-0.51NR01 | 1.73 | 1.73 | -0.01 | -0.11% |
| CF01 | 1.00SP01-0.71CF01 | 2.14 | 2.15 | -0.01 | -0.14% |
| OI01 | 1.00SP01-0.66OI01 | -0.41 | -0.40 | -0.01 | -0.15% |
| AU12 | 1.00SP12-0.18AU12 | 0.01 | 0.02 | -0.02 | -0.24% |
| EG01 | 1.00SP01-0.96EG01 | 2.72 | 2.74 | -0.02 | -0.26% |
| CS01 | 1.00SP01-2.07CS01 | 0.57 | 0.60 | -0.03 | -0.42% |
| V01 | 1.00SP01-1.59V01 | 1.93 | 1.96 | -0.04 | -0.54% |
| B01 | 1.00SP01-1.44B01 | -0.06 | -0.01 | -0.04 | -0.63% |
| HC01 | 1.00SP01-1.5HC01 | 1.06 | 1.12 | -0.06 | -0.86% |
| MA01 | 1.00SP01-2.18MA01 | 0.68 | 0.74 | -0.06 | -0.86% |
| ZN01 | 1.00SP01-0.54ZN01 | 0.62 | 0.72 | -0.10 | -1.43% |
| PB01 | 1.00SP01-0.68PB01 | 1.70 | 1.78 | -0.09 | -1.24% |
| SM01 | 1.00SP01-1.59SM01 | 0.90 | 1.00 | -0.09 | -1.35% |
| AL01 | 1.00SP01-0.71AL01 | 0.39 | 0.47 | -0.08 | -1.21% |
| JM01 | 1.00SP01-0.59JM01 | -0.94 | -0.55 | -0.39 | -5.55% |
| J01 | 1.00SP01-0.25J01 | -0.39 | -0.12 | -0.27 | -3.83% |
| PG01 | 1.00SP01-0.66PG01 | 0.38 | 0.65 | -0.27 | -3.85% |
| JD01 | 1.00SP01-1.33JD01 | 0.90 | 1.18 | -0.28 | -3.99% |
| TA01 | 1.00SP01-2.02TA01 | 1.16 | 1.46 | -0.31 | -4.44% |
| LU01 | 1.00SP01-1.85LU01 | -2.22 | -1.26 | -0.97 | -13.90% |
| SC01 | 1.00SP01-0.21SC01 | -7.69 | -6.27 | -1.42 | -20.47% |
| FU01 | 1.00SP01-2.24FU01 | 0.27 | 0.78 | -0.51 | -7.40% |
| BU12 | 1.00SP12-1.8BU12 | -0.32 | -0.12 | -0.20 | -2.81% |
| FG01 | 1.00SP01-1.73FG01 | 1.53 | 1.69 | -0.16 | -2.27% |
| L01 | 1.00SP01-1.22L01 | 1.81 | 1.98 | -0.17 | -2.43% |
| Y01 | 1.00SP01-0.77Y01 | -0.16 | 0.03 | -0.18 | -2.64% |
| P01 | 1.00SP01-0.86P01 | 0.42 | 0.79 | -0.38 | -5.45% |
| TA01 | 1.00SP01-2.02TA01 | 1.16 | 1.46 | -0.31 | -4.44% |
| V01 | 1.00SP01-1.59V01 | 1.93 | 1.96 | -0.04 | -0.54% |
| RU01 | 1.00SP01-0.38RU01 | 2.72 | 2.74 | -0.02 | -0.26% |
| NR01 | 1.00SP01-0.51NR01 | 1.73 | 1.73 | -0.01 | -0.11% |
| PF01 | 1.00SP01-1.42PF01 | 1.75 | 1.95 | -0.20 | -2.90% |
| EG01 | 1.00SP01-0.96EG01 | 2.72 | 2.74 | -0.02 | -0.26% |
| MA01 | 1.00SP01-2.18MA01 | 0.68 | 0.74 | -0.06 | -0.86% |
| PP01 | 1.00SP01-1.25PP01 | 1.78 | 1.91 | -0.12 | -1.79% |
| EB01 | 1.00SP01-1.16EB01 | 1.92 | 2.07 | -0.15 | -2.16% |
| C01 | 1.00SP01-2.46C01 | 0.01 | 0.08 | -0.07 | -0.98% |
| CS01 | 1.00SP01-2.07CS01 | 0.57 | 0.60 | -0.03 | -0.42% |
| A01 | 1.00SP01-1.19A01 | -0.06 | -0.01 | -0.04 | -0.63% |
| B01 | 1.00SP01-1.44B01 | -0.06 | -0.01 | -0.04 | -0.63% |
| M01 | 1.00SP01-1.76M01 | -0.30 | -0.32 | -0.02 | -0.27% |
| Y01 | 1.00SP01-0.77Y01 | -0.16 | 0.03 | -0.18 | -2.64% |
| RM01 | 1.00SP01-2.25RM01 | -0.26 | -0.32 | -0.06 | -0.86% |
| OI01 | 1.00SP01-0.66OI01 | -0.41 | -0.40 | -0.01 | -0.15% |
| P01 | 1.00SP01-0.86P01 | 0.42 | 0.79 | -0.38 | -5.45% |
| CF01 | 1.00SP01-0.71CF01 | 2.14 | 2.15 | -0.01 | -0.14% |
| SR01 | 1.00SP01-0.95SR01 | 1.62 | 1.74 | -0.12 | -1.72% |
| JD01 | 1.00SP01-1.33JD01 | 0.90 | 1.18 | -0.28 | -3.99% |
| LH01 | 1.00SP01-0.19LH01 | -0.42 | -0.07 | -0.35 | -5.10% |
| AP01 | 1.00SP01-0.7AP01 | 0.90 | 1.18 | -0.28 | -3.99% |
其他信息
- 作者承诺：研究员潘盛杰承诺以独立、客观的态度进行研究，报告内容反映其研究观点。
- 免责声明：本报告仅供参考，不构成投资建议，银河期货不对此报告的准确性或完整性负责，亦不承担由此引发的任何损失。
- 联系方式：银河期货有限公司，地址包括北京与上海，联系电话为400-886-7799，网址为www.yhqh.com.cn。
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