研究报告全文：能化投资研究部商品研发报告商品基差和月差报告2023年3月13日银河期货商品基差和月差日报呈现基础数据之美研究员潘盛杰目录期货从业证号F3035353一说明4投资咨询从业证号Z0014607二基差价差总览5手机号166-2162-2706三有色金属9邮箱panshengjieqh1CU沪铜10chinastockcomcn微博2AL沪铝163ZN沪锌224PB沪铅285NI沪镍346SN沪锡40四黑色金属451RB螺纹462I铁矿483HC热卷504SS不锈钢525SF硅铁576SM锰硅59五煤炭611168能化投资研究部商品研发报告1JM焦煤622J焦炭64六轻工661FG玻璃672SP纸浆69七石油741FU高硫752LU低硫773BU沥青824PGLPG84八化工891TAPTA912VPVC933RU天然胶954NR20号胶975L塑料1026PF短纤1047EG乙二醇1068MA郑醇1089PP聚丙烯11010EB苯乙烯11211UR尿素11712SA纯碱119九农产品1212168能化投资研究部商品研发报告1C玉米1232CS淀粉1253A豆一1284B豆二1315M豆粕1336Y豆油1357RM菜粕1378OI郑油1399P棕榈油14110LH生猪143十软商品1451CF郑棉1462SR白糖1483168能化投资研究部商品研发报告一说明1阅读指南A点击目录可直接跳转至章节B基差价差图的结构为A-B曲线向上表征A的走强向下表征B的走强2受限于篇幅报告仅取具有广泛代表性的基差标的任意非标基差可定制3与旧版的区别A商品从37个扩容至45个增加有色金属恢复玻璃基差B商品分类由3大类扩容至8大类有色金属黑色金属煤炭轻工石油化工农产品和软商品C完整展示连续主力的商品的12个月间差包括有色金属不锈钢20号标胶苯乙烯玉米6个主力合约豆一6个主力合约等等D优化偏离度定义由名次排序修改为分位排序类似于由中位数改为平均值定义15分位的基差为-100985分位的基差为100屏蔽最高最低的极值基差故新的偏离度可能在短时间内超过100E优化定义名称1年化基差率基差率年化F优化定义名称12月度基差变动率基差率月环比变动G由于与月度基差变动率趋同删除周度基差变动率H增加资料来源4168能化投资研究部商品研发报告二基差价差总览图表1基差价差总览05系列主力合约有色金属现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度沪铜铜上海690706901555CU2305-160225-385-18沪铝铝上海1823718243-7AL2305-198-32-167-39沪锌锌上海2270222836-134ZN2305-19816-214-87沪铅铅上海1508815094-6PB2305-83-71-11-20沪镍镍上海180800185650-4850NI230544007850-3450-57沪锡锡上海185638187013-1375SN2305-3193113-3305-84黑色金属现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度螺纹螺纹钢上海4343431727RB2305107136-30-43铁矿超特粉日照8058050I2305105124-19-22热卷热轧板卷上海4448442622HC2305-1130-41-76不锈钢不锈钢上海1665016875-225SS230510001160-160-45硅铁硅铁天津76797714-36SF2305-145-58-88-54锰硅锰硅江苏72177235-18SM2305-123-121-2-64煤炭现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度焦煤焦煤天津250725070JM2305457522-6512焦炭冶金焦炭日照261026100J2305-178-132-47-83轻工现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度玻璃浮法玻璃沙河149214920FG2305-136-95-41-97纸浆银星上海66006650-50SP2305362450-881石油现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度高硫高硫燃油新加坡294029400FU2305-32-2-302低硫低硫燃油新加坡40244040-16LU230570165-95-75沥青重交沥青华东39173939-23BU23061750-34-41LPG液化气全国550855080PG23056085961238化工现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度PTAPTA华东587058646TA230564130-66-15PVCPVC华东630362994V2305-780-78-28天然胶全乳胶上海1150011600-100RU2305-470-390-801620号胶进口标胶山东99219961-40NR23052412113069塑料塑料天津82008250-50L2305-2766-9311短纤短纤CCFEI72507277-27PF2305-259-61-30乙二醇乙二醇华东42184227-8EG230577114-36-16郑醇甲醇山东南260026000MA2305220259-395聚丙烯PP拉丝华东76807700-20PP2305-64-7-57-64苯乙烯苯乙烯江苏8435840035EB2305-9931-130-44尿素尿素华东27472765-18UR2305267324-57-8纯碱重质纯碱全国299229920SA23051319932-32农产品现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度玉米玉米鲅鱼圈279627960C2305-89-10415-12淀粉玉米淀粉长春320232002CS23051071061-48豆一大豆哈尔滨548054800A23051291092043豆二进口大豆天津港542054200B230512051199694豆粕豆粕张家港42204234-14M2305411435-24-33豆油豆油张家港91629210-48Y2305618650-324菜粕菜粕全国32613281-19RM2305301337-35-21郑油菜籽油防城港98219854-33OI230583982712-46棕榈棕榈油广州78887950-62P23051638-22-52生猪生猪开封1555015590-40LH2305-185-335150-30软商品现货名称今日报价前日报价变动期货合约今日基差前日基差变动偏离度郑棉棉花新疆1550115555-54CF2305126612155140白糖白糖天津613261248SR2305-244-27127-465168能化投资研究部商品研发报告图表2基差率基差偏离度01系列主力合约01系品种基差率年化品种基差率月变动品种基差偏离度01系No1SA01502SA01179B011179No1No2JM01447LH01145UR01849No2No3B01316JM01127SA01729No3No4I01287FU0174A01685No4No5UR01272B0158JM01612No5No6RM01220UR0146PG01502No6No7PG01183NR0145SP01464No7No8M01162TA0142I01410No8No9SP01106MA0124NR01315No9No10Y01104SR0122FU01260No10No11SS01103EB0117MA01254No11No12OI01101P0116C01207No12No13MA0187RB0115Y01177No13No14RB0182SS0112L01169No14No15CF0171RM0110CU01159No15No16NI0167A0110M0174No16No17A0162I0108TA0169No17No18LU0155L0108RB0160No18No19BU1251CS0107CF0137No19No20TA0151CF0106SS0124No20No21CS0148PP0106SF01-34No21No22HC0146CU0105V01-40No22No23P0137PB0104AL01-51No23No24ZN0132ZN0103RM01-53No24No25J0130V0102ZN01-54No25No26FU0125SM0100SR01-132No26No27EB0117C01-01BU12-173No27No28CU0111RU01-02NI01-196No28No29C0110PF01-03HC01-234No29No30L0105HC01-04PB01-282No30No31SR01-01EG01-05OI01-289No31No32V01-04Y01-06RU01-306No32No33AL01-06AL01-08J01-319No33No34SF01-07SF01-08SM01-360No34No35SM01-07BU12-10EB01-384No35No36PF01-09SN01-20PF01-390No36No37PP01-13SP01-31CS01-427No37No38NR01-14OI01-32PP01-573No38No39SN01-16PG01-43EG01-607No39No40PB01-20J01-54P01-631No40No41EG01-24LU01-57LH01-631No41No42FG01-112M01-59LU01-699No42No43RU01-145NI01-59SN01-912No43No44LH01-204FG01-86FG01-1038No44资料来源银河期货6168能化投资研究部商品研发报告图表3基差率基差偏离度05系列主力合约05系品种基差率年化品种基差率月变动品种基差偏离度05系No1B051423LH05134B05938No1No2JM051179B0585NR05694No2No3I05590SA0557A05426No3No4PG05583MA0535CF05397No4No5M05563JM0534PG05383No5No6UR05561FU0530RU05159No6No7RM05513CF0519JM05120No7No8OI05476NR0517L05111No8No9CF05464TA0515MA0551No9No10MA05445SS0512Y0544No10No11Y05377RM0512FU0523No11No12SS05353SP0511SP0510No12No13SP05325PP0508UR05-79No13No14SA05238RU0508C05-123No14No15CS05180L0505TA05-148No15No16NI05138PB0504EG05-164No16No17RB05135P0504CU05-180No17No18NR05130A0504PB05-197No18No19A05121CU0502RM05-206No19No20LU05111SM05-01I05-224No20No21EG0586EG05-02V05-285No21No22TA0557Y05-04LH05-301No22No23BU0616PF05-05PF05-304No23No24P0511AL05-06SA05-318No24No25PF05-01V05-06M05-328No25No26CU05-13RB05-09AL05-393No26No27HC05-14UR05-09BU06-410No27No28L05-17ZN05-09RB05-433No28No29PB05-30SF05-10EB05-443No29No30PP05-43EB05-10SS05-449No30No31ZN05-48SN05-13SR05-457No31No32EB05-54CS05-15OI05-457No32No33LH05-54BU06-17CS05-476No33No34AL05-59SR05-18P05-521No34No35V05-64C05-18SF05-538No35No36FU05-71HC05-20NI05-572No36No37SM05-88OI05-24SM05-638No37No38SF05-97I05-30PP05-644No38No39SN05-100NI05-32LU05-752No39No40C05-164LU05-38HC05-757No40No41SR05-202PG05-47J05-829No41No42RU05-217M05-53SN05-844No42No43J05-316J05-58ZN05-870No43No44FG05-436FG05-96FG05-973No44资料来源银河期货7168能化投资研究部商品研发报告图表4基差率基差偏离度09系列主力合约09系品种基差率年化品种基差率月变动品种基差偏离度09系No1JM09604LH09126B09820No1No2B09477SA0984UR09771No2No3SA09394JM0981A09581No3No4UR09393B0949NR09507No4No5PG09387FU0948PG09425No5No6I09345UR0934CF09364No6No7MA09195NR0932FU09220No7No8M09193MA0931JM09205No8No9RM09172TA0930C09166No9No10OI09158SS0914TA09145No10No11Y09158P0911I09139No11No12SP09156CF0910SP0988No12No13SS09152A0909MA0934No13No14CF09140RB1007SA0913No14No15NI0985L0905L09-50No15No16A0982PP0904Y09-71No16No17RB1082CU0903CU09-76No17No18LU0967RM09-02RU09-112No18No19TA0966SM09-03RM09-272No19No20P0939V09-03NI09-276No20No21CS0939PF09-03AL09-309No21No22HC1034ZN09-03BU09-316No22No23BU0925PB09-05M09-331No23No24NR0919SR09-06V09-334No24No25ZN0916CS09-06SR09-336No25No26FU0907EG09-06RB10-361No26No27CU0906Y09-07PF09-366No27No28L0902RU09-08SS09-367No28No29PF09-08AL09-09LU09-380No29No30EB09-08EB09-09CS09-467No30No31SM09-13SF09-09OI09-496No31No32EG09-13HC10-09PB09-511No32No33SF09-16C09-13LH09-534No33No34AL09-20I09-15SF09-543No34No35PP09-21BU09-16EB09-555No35No36V09-26SP09-18HC10-556No36No37SN09-32SN09-20EG09-562No37No38PB09-35PG09-21ZN09-565No38No39J09-35OI09-25P09-589No39No40C09-40NI09-51SM09-618No40No41SR09-55LU09-57J09-642No41No42RU09-98J09-59PP09-762No42No43FG09-213M09-62FG09-906No43No44LH09-249FG09-83SN09-938No44资料来源银河期货8168能化投资研究部商品研发报告三有色金属图表5CU沪铜图表6AL沪铝2023-2-62023-3-62023-3-132023-2-62023-3-62023-3-13CU现货CU05合约CU09合约CU01合约AL现货AL05合约AL09合约AL01合约2023-2-6681436846468164678722023-2-6188991899318931188412023-3-6692156919068970685442023-3-6184371849818462183782023-3-13690706923068870684402023-3-1318237184351843018325图表7ZN沪锌图表8PB沪铅2023-2-62023-3-62023-3-132023-2-62023-3-62023-3-13ZN现货ZN05合约ZN09合约ZN01合约PB现货PB05合约PB09合约PB01合约2023-2-6233302332523059227532023-2-6151761532315375154942023-3-6232062314322764224742023-3-6151181523515370153712023-3-13227022290022510220952023-3-1315088151701537015345图表9NI沪镍图表10SN沪锡2023-2-62023-3-62023-3-132023-2-62023-3-62023-3-13NI现货NI05合约NI09合约NI01合约SN现货SN05合约SN09合约SN01合约2023-2-62191602067141983101935722023-2-62182502067141983102168742023-3-61931531840361793561768022023-3-61956881840361793561951262023-3-131808001764001731001709702023-3-13185638176400173100188130资料来源上海期货交易所Wind银河期货9168能化投资研究部商品研发报告1CU沪铜A基差升贴水图表11铜升贴水上海物贸14-1415-1516-1617-1718-1819-1920-2021-2122-2223-2325002000150010005000-500-1000-150011123214373294205126362571788830921101311411261218资料来源Wind银河期货图表12铜上海01基差14-1415-1516-1617-1718-1819-1920-2021-2122-2223-23500035002000500-1000-2500-400021223316474295216127472681798930102211131251227资料来源上海期货交易所Wind银河期货图表13铜上海05基差14-1515-1616-1717-1818-1919-2020-2121-2222-2323-245400360018000-1800-3600-540061623715868289191011112112412161712922031344426资料来源上海期货交易所Wind银河期货10168能化投资研究部商品研发报告图表14铜上海09基差14-1515-1616-1717-1818-1919-2020-2121-2222-2323-246000400020000-2000-4000-6000101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货B月间差图表15CU01-CU0214-1415-1516-1617-1718-1819-1920-2021-2122-2223-2310807203600-360-720-1080313214104305206962971988828917107102711161261226资料来源上海期货交易所Wind银河期货图表16CU02-CU0314-1515-1616-1717-1818-1919-2020-2121-2222-2323-246004002000-200-400-600414215115316207107308199892810181171127121716126资料来源上海期货交易所Wind银河期货11168能化投资研究部商品研发报告图表17CU03-CU0414-1515-1616-1717-1818-1919-2020-2121-2222-2323-241300950600250-100-450-800515216106307208982991810810281117127122711625225资料来源上海期货交易所Wind银河期货图表18CU04-CU0514-1515-1616-1717-1818-1919-2020-2121-2222-2323-241000650300-50-400-750-110061621711731820999291019118112812181712721637327资料来源上海期货交易所Wind银河期货图表19CU05-CU0614-1515-1616-1717-1818-1919-2020-2121-2222-2323-247805202600-260-520-780717218108309191091029111812812281172622631746426资料来源上海期货交易所Wind银河期货12168能化投资研究部商品研发报告图表20CU06-CU0714-1515-1616-1717-1818-1919-2020-2121-2222-2323-246003000-300-600-900-120081821910930102011911291219181282173832841757527资料来源上海期货交易所Wind银河期货图表21CU07-CU0814-1515-1616-1717-1818-1919-2020-2121-2222-2323-249006003000-300-600-9009192110111031112012101230119282283194842851867627资料来源上海期货交易所Wind银河期货图表22CU08-CU0914-1515-1616-1717-1818-1919-2020-2121-2222-2323-247505002500-250-500-750101102111101130122019129218393294185852861777727资料来源上海期货交易所Wind银河期货13168能化投资研究部商品研发报告图表23CU09-CU1014-1515-1616-1717-1818-1919-2020-2121-2222-2323-247505002500-250-500-75011111211211123112029229320494295196862871887827资料来源上海期货交易所Wind银河期货图表24CU10-CU1114-1515-1616-1717-1818-1919-2020-2121-2222-2323-24160012008004000-400-8001211221110130219310330419595296187872881796926资料来源上海期货交易所Wind银河期货图表25CU11-CU1214-1415-1516-1617-1718-1819-1920-2021-2122-2223-232000150010005000-500-100011121210313214104305206962971988828917107102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