研究报告全文：运筹帷幄决胜千里期货品种套利数据日报一动力煤商品动力煤元吨日期基差5月-1月9月-1月9月-5月20230214-00000020230213-00000020230210-00000020230209-00000020230208-00000018509001650动力煤基差8007001450600125050010504003008502006501004500基差右动力煤现货价秦皇岛期货结算价活跃合约动力煤150200100动力煤价差150501000-5050-1000-150-50-200-250-1005月-1月9月-1月9月-5月右wwwbcqhgscom1杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里二能源化工一能源商品商品能源基差元吨比价日期INT原油燃料油原油沥青20230214--01473202302131928-493501463202302102084-01446202302092083-681701420202302082106-1060901388900原油基差120800100807006060040500200400-20300-40200-60基差右原油现货价中国胜利期货收盘价活跃合约INE原油5000燃料油基差50040045003004000200350010003000-1002500-2002000-300基差右燃料油现货价FOB新加坡期货收盘价活跃合约燃料油022020比价018016014012010原油沥青wwwbcqhgscom2杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里二化工商品商品化工基差元吨日期天胶甲醇PTALLDPEPVCPP20230214-535155-3624-218520230213-440152-14-5019320230210-3951045-10585916620230209-49575-10765410020230208-50075613226129商品化工跨期元吨跨期天胶甲醇PTALLDPEPVCPP乙二醇5月-1月-985-13105810-11-1279月-1月-955-65-161839-18-449月-5月30-52-26-4029-783商品化工跨品种元吨日期LLDPE-PVCLLDPE-PPPP-PVCPP-3甲醇20230214194336115821292023021319633341629972023021019173141603-132023020919443131631-522023020819592781681-701650030015500橡胶基差10014500-100-30013500-50012500-70011500-90010500-11009500-13008500-1500基差右上海国营全乳胶现货价期货收盘价活跃合约天然橡胶1000600橡胶价差40050020000-200-400-500-600-1000-800-1000-1500-1200-1400-2000-16005月-1月9月-1月9月-5月右wwwbcqhgscom3杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里45004004000甲醇基差3002003500100300002500-1002000-2001500-300基差右华东地区甲醇现货价期货收盘价活跃合约甲醇200250150甲醇价差20010015050100050-500-100-50-150-100-200-150-250-2005月-1月9月-1月9月-5月右300300乙二醇价差100100-100-100-300-300-500-500-700-7009月-1月5月-1月9月-5月25002000价差150010005000-500-1000LLDPE-PVCLLDPE-PPPP-PVCPP-3甲醇wwwbcqhgscom4杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里7000PTA基差650065060005500450500025045004000503500-15030002500-350基差右CCFEI价格指数PTA内盘期货收盘价活跃合约PTA2000PTA价差2000150015001000100050050000-500-500-1000-10009月-1月9月-5月5月-1月右10500LLDPE基差1000100008006009500400900020085000-2008000-4007500-6007000-800基差右华东地区LLDPE现货价期货收盘价活跃合约LLDPE500500300LLDPE价差300100100-100-100-300-300-500-500-700-700-900-9009月-1月9月-5月5月-1月右wwwbcqhgscom5杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里17000PVC基差2000150001500130001000110005009000700005000-500基差右华东地区PVC现货价期货收盘价活跃合约PVC800PVC价差6004002000-200-4005月-1月9月-1月9月-5月1100080010500PP基差600100004009500200900008500-20080007500-4007000-6006500-8006000-1000基差右华东地区PP现货价期货收盘价活跃合约PP4001200PP价差80040000-400-800-400-12009月-1月9月-5月5月-1月右wwwbcqhgscom6杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里三黑色商品黑色基差元吨日期螺纹钢铁矿石焦炭焦煤202302142063873-70106270202302132403107712356510202302101902966730600020230209189588412059452023020817839141655965商品黑色跨期元吨跨期螺纹钢5月-1月117010月-1月60010月-5月-570铁矿石焦炭焦煤5月-1月815199514209月-1月3409004359月-5月-475-1095-985商品黑色跨品种日期螺矿螺焦焦焦煤螺-热卷202302144701490914898-1050202302134751486315017-890202302104721488514875-670202302094731460015161-750202302084781451615153-7107000螺纹钢基差120060001000500080060040004003000200200001000-2000-400基差右HRB400现货价20mm上海期货收盘价活跃合约螺纹钢900螺纹钢价差900400400-100-100-600-600-1100-11005月-1月10月-1月10月-5月wwwbcqhgscom7杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里18006001600铁矿石基差50014001200400100030080060020040010020000基差右澳大利亚PB粉矿现货价青岛港期货收盘价活跃合约铁矿石1200270铁矿石价差100022080017060012040070200200-30-200-80-400-130201812201842201872201942201972202042202072202142202172202242202272201912202012202112202212202312201910220201022021102202210220181025月-1月9月-1月9月-5月500020004500焦炭基差4000150035001000300025005002000150001000-5005000-1000基差右准一级冶金焦现货价天津港期货收盘价活跃合约焦炭2000400焦炭价差300150020010001000500-100-2000-300-500-400-500-1000-6005月-1月9月-5月9月-1月wwwbcqhgscom8杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里450025004000焦煤基差20003500300015002500100020001500500100005000-500基差右澳大利亚主焦煤现货价京唐港期货收盘价活跃合约焦煤1500800焦煤价差600100040050020000-200-400-500-600-1000-800-1000-1500-12005月-1月9月-5月9月-1月2018422019422019722020122020422021422021722022122022422022722023122018122018722019122020722021122019102202110220221022020102201810224比价90228020187016601450121040螺焦焦焦煤螺矿右11001100900价差900700700500500300300100100-100-300-100-500-300-700-500-900201812201842201872201912201942202042202072202142202212202272202312202012202112202172202242201972螺-热卷线材-螺右20191022020102202110220221022018102wwwbcqhgscom9杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里四有色金属一国内市场商品有色国内基差元吨日期铜铝锌铅镍锡20230214-70-115-10-2058102020230213-40-9070-3058508020230210-110-50-60-4560404020230209-270-5060-157200-19020230208-370-13040-206780-2920800003000沪铜基差2500750002000700001500100065000500600000-50055000-100050000-1500基差右长江现货价格铜期货收盘价活跃合约阴极铜2700080025000沪铝基差600230004002100020019000017000-20015000-40013000-60011000-800基差右长江现货价格铝期货收盘价活跃合约铝1700040016500沪铅基差30016000200155001001500001450014000-10013500-20013000-300基差右长江现货价格铅期货收盘价活跃合约铅wwwbcqhgscom10杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里300001500沪锌基差28000100050026000024000-50022000-100020000-150018000-2000基差右长江现货价格锌期货收盘价活跃合约锌36000030000310000沪镍基差250002600002000015000210000100001600005000110000060000-500010000-10000基差右长江现货价格镍期货收盘价活跃合约镍45000030000沪锡基差2500040000020000350000150001000030000050002500000-5000200000-10000150000-15000基差右长江现货价格锡期货收盘价活跃合约锡wwwbcqhgscom11杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里二伦敦市场商品LME有色日期铜铝锌铅镍锡20230214LME升贴水-2550-23252575-900-23200-21900沪伦比767761746724778788CIF69073193402554416791205868225509国内现货68610184802317015250212400215500进口盈亏-463-860-2374-15416532-100098002500700LME基差20006005001500400100030020050010000-100-500铝锌铅镍右锡右95沪伦比9858757656铜铝锌铅镍锡40001000003000进口盈亏200050000100000-1000-2000-50000-3000-100000-4000-5000-150000-6000-7000-200000铜右铝锌铅镍锡右20211018202201182022041820220518202208182022111820221218202112182022021820220318202206182022071820220918202210182023011820211118wwwbcqhgscom12杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里五农产品商品农产品基差元吨日期豆一豆二豆粕豆油玉米白糖20230214-3393827398907-3820230213-31940778893457-2720230210-38442176789681-6920230209-33539182186879-5820230208-34834377486274-46商品农产品跨期元吨跨期豆一豆二豆粕豆油菜粕5月-1月92116164156469月-1月2669155242919月-5月-66-47-9-13298菜油棕榈油玉米白糖郑棉5月-1月62106262-3259月-1月10522-6617-1559月-5月43-8411615170商品农产品跨品种日期豆一玉米豆二玉米豆油豆粕豆粕-菜粕豆油-棕榈油菜油-豆油玉米-玉米淀粉20230214194170224650766118519720230213198173222657834120098202302102021742236727641137118202302092001752296657541133106202302081991762276767381103936600黄大豆1号基差50064004003006200200600010005800-1005600-2005400-300-4005200-5005000-600基差右国产三等大豆现货价嫩江期货收盘价活跃合约黄大豆1号16008001400黄大豆1号价差600120040010002008000600-200400200-4000-600-200-800-400-1000-600-1200201803022018050220180902201811022019030220190502201909022019110220200702202011022021010220210702202111022022010220220702202211022023010220180702201901022019070220200102202003022020050220200902202103022021050220210902202203022022050220220902201801025月-1月9月-1月9月-5月wwwbcqhgscom13杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里6000黄大豆2号基差150058001200560090054006005200300500004800-3004600-6004400-9004200-12004000-1500基差右进口二等大豆现货价青岛期货收盘价活跃合约黄大豆2号12008001000黄大豆2号价差60080060040040020020000-200-200-400-400-600-800-600-1000-800201803022018050220180902201901022019030220190902202001022020050220200702202009022020110220210102202105022021070220210902202111022022010220220302202205022022070220220902202211022023010220180702201811022019050220190702201911022020030220210302201801025月-1月9月-5月9月-1月6000豆粕基差1600550014005000120045001000400080035006003000400250020020000基差右豆粕现货价大连期货收盘价活跃合约豆粕1500800豆粕价差600100040020050000-200-400-500-600-800-1000-100020180302201807022018090220190102201905022019090220191102202003022020070220200902202101022021050220210702202111022022030220220702202209022023010220180502201811022019030220190702202001022020050220201102202103022021090220220102202205022022110220180102月月月月月月9-19-55-1wwwbcqhgscom14杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里14000豆油基差200013000180012000160011000140010000120090001000800080070006006000400500020040000基差右四级豆油现货价张家港期货收盘价活跃合约豆油2000豆油价差150015001000100050050000-500-500-1000-1500-1000-2000-150020200902202011022021010220210702202109022021110220220102202203022022050220220702202209022022110220230102201803022018050220180702201809022018110220190102201903022019050220190702201909022019110220200102202003022020050220200702202103022021050220180102月月月月月月5-19-19-53200黄玉米基差200150300010028005002600-502400-100-1502200-2002000-250基差右玉米平舱价锦州港期货收盘价活跃合约黄玉米600600500玉米价差40040030020020010000-100-200-200-400-300-400-600201801022018050220180902201901022019030220190702201911022020030220200702202011022021010220210502202109022022010220220302202207022022110220180702201811022019050220190902202001022020050220200902202103022021070220211102202205022022090220230102201803025月-1月9月-5月9月-1月wwwbcqhgscom15杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里1500菜粕价差15001000100050050000-500-500-1000-10005月-1月9月-5月9月-1月201809142018111420190114201907142019091420191114202001142020031420200514202007142021031420210514202107142022031420220514202207142019051420200914202011142021011420210914202111142022011420220914202211142023011420190314300025002500菜油价差20002000150015001000100050050000-500-500-1000-1000-1500-1500-2000-2000-2500-250020180519201807192018091920190119201903192019051920191119202003192020071920200919202011192021051920210719202109192022011920220319202205192022111920190719201909192020011920200519202101192021031920211119202207192022091920230119201811195月-1月9月-5月9月-1月2000棕榈油价差50001000400003000-10002000-20001000-30000-4000-1000-5000-2000201801022018050220180902201901022019030220190702201911022020030220200702202011022021010220210502202109022022010220220302202207022022110220180702201811022019050220190902202001022020050220200902202103022021070220211102202205022022090220230102201803029月-1月9月-5月5月-1月300020002000郑棉价差15001000100050000-1000-500-1000-2000-1500-3000-20005月-1月9月-1月9月-5月右wwwbcqhgscom16杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里6500500白砂糖基差40060003005500200100500004500-1002018010220180402201807022018100220190102202107022021100220220402202207022022100220230102201907022019100220200102202004022020070220201002202101022021040220220102基差右20190402现货价白砂糖柳州期货收盘价活跃合约白砂糖200150白砂糖价差100500-50-100-150-200-250-300-3505月-1月9月-1月9月-5月350300比价300250250200200150150100100050050000000豆一玉米豆油豆粕豆二玉米50009004000价差8003000700200060050010004000300-1000200-2000100-30000豆粕-菜粕豆油-棕榈油菜油-豆油玉米淀粉-玉米右wwwbcqhgscom17杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里六股指期货品种股指基差日期沪深300上证50中证500中证100020230214-471-32214158520230213457-1211263125820230210-129-488-315-22120230209-294-373-844-216220230208-026-2752281192跨期股指跨期品种次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季沪深3007020-346-50-416-366上证5074132-15658-230-288中证500-124-766-1456-642-1332-690中证1000-144-1088-2026-944-1882-938530060005100沪深300基差50004900400047003000450020004300100041000003900-10003700-20003500-3000基差右沪深300沪深300期货6040沪深300价差200-20-40-60-80-100-120-140-160次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季wwwbcqhgscom18杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里350050003400上证50基差4000330030003200310020003000100029000002800-100027002600-20002500-3000基差右上证50上证50期货40上证50价差200-20-40-60-80次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季800012000中证500基差1000075008000700060004000650020006000000-20005500-40005000-6000基差右中证500中证500期货10050中证500价差0-50-100-150-200-250-300-350-400次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季wwwbcqhgscom19杭州市求是路8号公元大厦东南裙楼1-5层运筹帷幄决胜千里850012000中证1000基差80001000080007500600070004000650020000006000-20005500-40005000-6000基差右中证1000中证1000期货10050中证1000价差0-50-100-150-200-250-300-350-40020220722202208222022092220221022202211222022122220230122次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季注1基差现货价-主力合约期价2数据来源wind宝城期货金融研究所wwwbcqhgscom20杭州市求是路8号公元大厦东南裙楼1-5层