20230310-银河期货-RU05合约全商品对冲报告_27页_843kb
报告摘要
银河期货RU05合约全商品对冲报告总结
核心内容概述
本报告为银河期货发布的《RU05合约全商品对冲报告》，旨在通过跨品种对冲策略，利用RU05合约与其他商品合约之间的价差波动，优化投资组合的风险与收益。报告涵盖了多个商品类别，包括贵金属、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，并提供了详细的对冲比例与策略变动数据。
主要观点
- 跨品种对冲策略：通过将RU05合约与其它商品合约进行对冲，可以降低整体波动率，提高投资的安全性与收益潜力。
- 波动率与风险收益：波动率与风险及收益率成正比，合理的对冲比例有助于降低波动率，从而降低风险并提高收益。
- 价差波动率：在商品A与商品B都有历史价格的时段内，选择合适的配比可以使得价差波动率低于单边头寸，甚至同时低于两者。
- 策略周期划分：根据时间周期，报告将对冲策略划分为不同的时间段，如《RU01对冲报告》为9月至12月，《RU05对冲报告》为1月至4月，《RU09对冲报告》为5月至8月。
- 数据来源与验证：报告数据来源于银河期货及各交易所的Win.d系统，建议结合其他商品估值和周期报告，进行综合分析与决策。
关键信息
对冲比例
| 合约 | 交易单位 | 1手橡胶对冲手数 | 1吨橡胶对冲吨数 |
|---|---|---|---|
| AU06 | 1000 | 1.01 | 0.10千克 |
| AG06 | 15 | 3.29 | 4.94千克 |
| CU05 | 5 | 0.58 | 0.29吨 |
| AL05 | 5 | 2.09 | 1.05吨 |
| ZN05 | 5 | 3.09 | 1.55吨 |
| PB05 | 5 | 2.97 | 1.49吨 |
| NI05 | 1 | 1.52 | 0.15吨 |
| SN05 | 1 | 1.60 | 0.16吨 |
| RB05 | 10 | 5.69 | 5.69吨 |
| I05 | 100 | 2.36 | 23.61吨 |
| HC05 | 10 | 5.69 | 5.69吨 |
| SS05 | 5 | 2.26 | 1.13吨 |
| SF05 | 5 | 6.75 | 3.38吨 |
| SM05 | 5 | 5.84 | 2.92吨 |
| JM05 | 60 | 2.89 | 17.36吨 |
| J05 | 100 | 1.14 | 11.44吨 |
| FG05 | 20 | 7.53 | 15.06吨 |
| SP05 | 10 | 2.54 | 2.54吨 |
| SC05 | 1000 | 0.42 | 42.10桶 |
| FU05 | 10 | 7.16 | 7.16吨 |
| LU05 | 10 | 4.75 | 4.71吨 |
| BU06 | 10 | 4.80 | 4.80吨 |
| PG05 | 20 | 1.71 | 3.42吨 |
对冲策略变动
| 对冲合约 | 对冲组合(货值差) | 3月10日 | 3月9日 | 变动δ | 变动δ占1.00手RU05比例 |
|---|---|---|---|---|---|
| NI05 | 1.00RU05-1.52NI05 | -15.06 | -15.88 | 0.82 | 6.86% |
| SN05 | 1.00RU05-1.60SN05 | -18.00 | -18.78 | 0.78 | 6.51% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| LU05 | 1.00RU05-4.75LU05 | -6.40 | -6.96 | 0.56 | 4.67% |
| UR05 | 1.00RU05-6.34UR05 | -18.97 | -19.50 | 0.54 | 4.47% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| SC05 | 1.00RU05-0.42SC05 | -11.05 | -11.41 | 0.36 | 3.00% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| FU05 | 1.00RU05-7.16FU05 | -9.07 | -9.41 | 0.34 | 2.81% |
| ZN05 | 1.00RU05-3.09ZN05 | -23.32 | -23.56 | 0.25 | 2.07% |
| B05 | 1.00RU05-7.02B05 | -19.05 | -19.28 | 0.23 | 1.90% |
| LH05 | 1.00RU05-0.68LH05 | -5.22 | -5.40 | 0.18 | 1.53% |
| SF05 | 1.00RU05-6.76SF05 | -14.29 | -14.46 | 0.18 | 1.49% |
| SM05 | 1.00RU05-5.84SM05 | -9.49 | -9.44 | -0.05 | -0.40% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
| Y05 | 1.00RU05-3.38Y05 | -16.91 | -17.35 | 0.43 | 3.63% |
| RM05 | 1.00RU05-10.53RM05 | -20.06 | -20.13 | 0.07 | 0.62% |
| OI05 | 1.00RU05-2.65OI05 | -12.50 | -13.19 | 0.69 | 5.79% |
| P05 | 1.00RU05-3.52P05 | -15.85 | -16.20 | 0.36 | 2.97% |
| EG05 | 1.00RU05-2.95EG05 | -16.99 | -17.70 | -0.71 | -5.90% |
| MA05 | 1.00RU05-8.57MA05 | -9.79 | -9.88 | 0.09 | 0.75% |
| PP05 | 1.00RU05-4.47PP05 | -5.22 | -5.15 | -0.07 | -0.57% |
| EB05 | 1.00RU05-4.43EB05 | -6.56 | -6.69 | -0.13 | -1.10% |
| SP05 | 1.00RU05-2.54SP05 | -3.57 | -3.67 | -0.11 | -0.88% |
| CU05 | 1.00RU05-0.58CU05 | -7.97 | -7.92 | -0.05 | -0.43% |
| CF05 | 1.00RU05-2.57CF05 | -6.45 | -6.43 | -0.01 | -0.11% |
| JM05 | 1.00RU05-2.89JM05 | -21.96 | -21.94 | -0.02 | -0.15% |
| NR05 | 1.00RU05-1.21NR05 | 0.15 | 0.17 | -0.02 | -0.15% |
| M05 | 1.00RU05-8.31M05 | -19.57 | -19.54 | -0.03 | -0.21% |
策略建议
- 综合决策：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，进行综合分析与决策。
- 风险控制：跨品种对冲策略有助于降低整体波动率，建议投资者关注波动率的变化趋势，并适时调整策略。
- 策略验证：通过历史数据与跨品种对冲图进行验证，以确保策略的安全性和有效性。
联系方式
- 研究员：潘盛杰
- 期货从业证号：F3035353
- 投资咨询从业证号：Z0014607
- 手机号：160-2162-2706
- 邮箱：panshengjie_qh@chinastock.com.cn
- 微博：朕小Raynor摇再数据
免责声明
本报告仅供参考，不构成投资建议。银河期货不对因使用本报告而产生的任何损失
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