研究报告全文：图表设置下载图片另存为PDF跨期价差与基差跟踪煤焦钢矿2023-03-27分享类别指标名称2023-03-272023-03-24涨跌涨跌幅螺纹现货折盘4210421000量化研究中心价元吨螺纹01合约39813977401元吨13083717906螺纹05合约41054107-2-005元吨hujkhrrdqhcom螺纹10合约4060406000元吨螺纹01合约基229233-4-172差元吨螺纹螺纹05合约基1051032194差元吨螺纹10合约基15015000差元吨螺纹01合约基005006-001-172差率螺纹05合约基0020020194差率螺纹10合约基00400400差率类别指标名称2023-03-272023-03-24涨跌涨跌幅热轧现货折盘42804300-20-047价元吨热轧01合约40814091-10-024元吨热轧05合约42254253-28-066元吨热轧10合约41544164-10-024元吨热轧01合约基199209-10-478差元吨热轧热轧05合约基554781702差元吨热轧10合约基126136-10-735差元吨热轧01合约基0050050-434差率热轧05合约基00100101757差率热轧10合约基0030030-692差率数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿类别指标名称2023-03-272023-03-24涨跌涨跌幅铁矿现货折盘价元96104938252279243吨铁矿01合约元吨7597515751铁矿05合约元吨873586657081铁矿09合约元吨799790585108铁矿01合约基差元20204186751529819吨铁矿铁矿05合约基差元8754717515792201吨铁矿09合约基差元16204147751429967吨铁矿01合约基差率02102001562铁矿05合约基差率0090080011912铁矿09合约基差率017016001707类别指标名称2023-03-272023-03-24涨跌涨跌幅焦煤现货折盘价元2290229000吨焦煤01合约元吨165516715-165-099焦煤05合约元吨184418585-145-078焦煤09合约元吨172951745-155-089焦煤01合约基差元6356185165267吨焦煤焦煤05合约基差元4464315145336吨焦煤09合约基差元5605545155284吨焦煤01合约基差率028027001267焦煤05合约基差率0190190336焦煤09合约基差率0240240284数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿类别指标名称2023-03-272023-03-24涨跌涨跌幅焦炭现货折盘价元2810281000吨焦炭01合约元吨250925255-165-065焦炭05合约元吨27352736-1-004焦炭09合约元吨26132623-10-038焦炭01合约基差元301284516558吨焦炭焦炭05合约基差元75741135吨焦炭09合约基差元19718710535吨焦炭01合约基差率0110100158焦炭05合约基差率0030030135焦炭09合约基差率0070070535跨期价差与基差跟踪螺纹钢螺纹钢跨期价差RB01-RB05农历螺纹钢跨期价差RB05-RB10农历201920202021202220232016-20172017-20182018-20192019-20202020-20215007004006003005004002003001002000100-1000-200-100-300-2005-25-266-187-118-48-279-2010-1311-611-2812-210-110-2211-1212-112-201-162-52-243-144-3螺纹钢跨期价差RB10-RB01农历螺纹钢01合约基差农历201920202021202220232019202020212022202335080030070025060050020040022915030079200100100500-1000-200-50-300-400-1001-71-282-173-73-264-155-65-256-147-47-238-139-51-72-83-104-115-146-157-178-209-2310-2511-2数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿螺纹钢05合约基差农历螺纹钢10合约基差农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-20211400110010001200900100080070080060050060040040030015020020010000-100-200-200-4006-16-297-288-279-2610-2411-2312-211-252-233-2210-111-612-101-202-243-295-46-97-148-219-26跨期价差与基差跟踪热轧热卷跨期价差HC01-HC05农历热卷跨期价差HC05-HC10农历201920202021202220232016-20172017-20182018-20192019-20202020-2021500390450360330400300350270300240250210180200150150120100905060300-505-25-256-167-87-298-229-1410-610-2711-1912-1010-110-2111-1011-2812-161-111-292-173-63-244-13热卷跨期价差HC10-HC01农历热卷01合约基差农历2019202020212022202320192020202120222023240700220600200180500160400140120300199100732008060100400200-1001-71-282-173-73-264-155-65-256-147-47-238-139-51-72-83-104-115-146-157-178-209-2310-2511-2热卷05合约基差农历热卷10合约基差农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-20211000100090090080080070070060060050050040040030030020020012610010000-100-100-200-2006-16-297-288-279-2610-2411-2312-211-252-233-2210-111-312-41-112-123-144-155-186-197-218-25数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿跨期价差与基差跟踪铁矿铁矿跨期价差I01-I05农历铁矿跨期价差I05-I09农历201920202021202220232016-20172017-20182018-20192019-20202020-2021140200120180100160801401206010040802060040-2020-400-60-205-25-266-187-118-48-279-2010-1311-611-2812-29-79-3010-2111-1312-412-251-232-143-63-274-18铁矿跨期价差I09-I01农历铁矿01合约基差农历201920202021202220232019202020212022202324060022055020050018045016040014035012030010020204280250604020040150201000501-111-302-173-53-224-94-265-156-26-197-77-248-131-71-272-173-83-284-185-105-306-207-118-28-239-15铁矿05合约基差农历铁矿09合约基差农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-202155050050045045040040035035030030025025020020015015010050100050-5005-16-47-68-79-910-1011-1212-131-202-213-239-110-211-412-51-132-143-164-175-196-207-22跨期价差与基差跟踪焦煤焦煤跨期价差JM01-JM05农历2016-20172017-20182018-20192019-20202020-2021201920202021202220236008005007004006003005002004003001002000100-1000-200-100-200-300-300-4005-25-266-187-118-48-279-2010-1311-611-2812-29-79-3010-2111-1312-412-251-232-143-63-274-18数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿焦煤跨期价差JM09-JM01农历焦煤01合约基差农历2019202020212022202320192020202120222023180060055016005001400450120040035010003008006352506002001507454001002005000-50-200-4001-111-302-173-53-224-94-265-156-26-197-77-248-131-71-272-173-83-284-185-105-306-207-118-28-239-15焦煤05合约基差农历焦煤09合约基差农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-20212200220020002000180018001600160014001400120012001000100080080060060040040020020000-200-200-400-4006-16-297-288-279-2610-2411-2312-211-252-233-229-110-511-1012-141-252-294-45-96-137-188-24跨期价差与基差跟踪焦炭焦炭跨期价差J01-J05农历焦炭跨期价差J05-J09农历201920202021202220232016-20172017-20182018-20192019-20202020-20219008005505007004506004005003503004002503002001502001001005000-50-100-100-2005-25-266-187-118-48-279-2010-1311-611-2812-29-79-3010-2111-1312-412-251-232-143-63-274-18焦炭跨期价差J09-J01农历焦炭01合约基差农历201920202021202220232019202020212022202316001100140010009001200800100070080060060050030140040030020010420010000-200-100-200-400-6001-111-302-173-53-224-94-265-156-26-197-77-248-131-72-83-104-115-146-157-178-209-2310-2511-2数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿焦炭05合约基差农历焦炭09合约基差农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-2021210021001800180015001500120012009009006006003000300-3000-600-300-900-6006-16-297-288-279-2610-2411-2312-211-252-233-229-110-511-1012-141-252-294-45-96-137-188-24焦炭焦煤比跟踪JJM09焦煤比01焦煤比2016-20172017-20182018-20192019-20202020-20212019202020212022202317521172165191615111815517151615161451514135141313125121211115110-0811-0812-0901-1002-1003-1304-1405-1906-1907-2008-2002-0103-0404-0405-1006-1007-1108-1109-1110-1911-1912-2005焦煤比焦炭焦煤现货2016-20172017-20182018-20192019-20202020-202120192020202120222023212219191818171716161483151514141311791312121111106-0107-0208-0209-0210-1011-1012-1101-1202-1203-1504-1601-0202-0403-0904-1205-1906-2107-2408-2609-2811-0712-10跨品种价差跟踪HC-RB10卷螺价差01卷螺价差2016-20172017-20182018-20192019-20202020-202120192020202120222023600500500450400400350300300250200200941501001001005000-100-50-100-20011-0112-0301-0502-0603-1004-1205-1806-1907-2108-2209-2302-0103-0404-0405-1006-1007-1108-1109-1110-1911-1912-20数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿05卷螺价差热轧-螺纹现货2016-20172017-20182018-20192019-20202020-202120192020202120222023700450600400500350300400250300200120200150100-60206100050-1000-200-50-100-300-150-400-200-500-60006-0107-0308-0409-0510-1411-1512-1701-1902-2003-2404-201-0202-0503-1104-1505-2306-2607-3009-0210-1311-1612-20跨品种价差跟踪RBI螺矿比RB10I09农历01螺矿比农历2016-20172017-20182018-20192019-20202020-2021201920202021202220231099585988587575776565652456555555454544353511-111-2912-272-12-293-284-265-256-237-228-222-13-24-25-36-57-68-79-1010-1111-1212-1205螺矿比农历螺纹铁矿石现货2016-20172017-20182018-20192019-20202020-20212019202020212022202385988575875776565665555554381454544353536-17-28-29-410-411-512-51-112-113-124-1201-0202-0403-0904-1205-1906-2107-2408-2609-2811-0712-10跨品种价差跟踪HCI卷矿比HC10I09农历01卷矿比农历2016-20172017-20182018-20192019-20202020-2021201920202021202220231095959985858875757765656537765555554545443511-112-11-72-73-84-85-96-97-108-119-132-13-24-25-36-57-68-79-1010-1111-1212-12数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿05卷矿比农历热卷铁矿石现货2016-20172017-20182018-20192019-20202020-202120192020202120222023998585887575776565665555544545454544356-17-28-29-410-411-512-51-112-113-124-121-72-103-144-175-226-257-299-610-1011-1412-17跨品种价差跟踪RBHCJ利润基差利润基差螺纹1月合约农历利润基差螺纹5月合约农历201920202021202220232016-20172017-20182018-20192019-20202020-202140040020020000-200-356667-200-400-400-600-600-800-800-1000-1000-1200-1200-1400-1400-1600-16001-72-113-164-205-267-18-69-1310-1811-2312-26-17-17-309-19-3010-2911-2912-282-33-3利润基差螺纹10月合约农历利润基差热卷1月合约农历2016-20172017-20182018-20192019-20202020-20212019202020212022202340020020000-200-200-426667-400-400-600-600-800-800-1000-1000-1200-1400-1200-1600-1400-1800-160011-111-3012-292-43-44-35-36-27-28-21-72-113-164-205-267-18-69-1310-1811-2312-2利润基差热卷5月合约农历利润基差热卷10月合约农历2016-20172017-20182018-20192019-20202020-20212016-20172017-20182018-20192019-20202020-202140020020000-200-200-400-400-600-600-800-800-1000-1000-1200-1200-1400-1400-1600-16006-17-17-309-19-3010-2911-2912-282-33-311-111-3012-292-43-44-35-36-27-28-2数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿利润基差焦炭1月合约农历利润基差焦炭5月合约农历J1701J1801J1901J2001J21012016-20172017-20182018-20192019-20202020-2021210018001800150015001200120090090060060030030000-300-300-713337-670612-600-600-900-900-1200-1200-1500-1500-1800-18001-72-113-164-205-267-18-69-1310-1811-2312-26-17-17-309-19-3010-2911-2912-282-33-3利润基差焦炭9月合约农历2016-20172017-20182018-20192019-20202020-2021150012009006003000-300-710573-600-900-1200-150010-111-312-41-112-123-144-155-186-197-218-25数据来源WIND华融融达期货研究所跨期价差与基差跟踪煤焦钢矿免责声明本分析报告由华融融达期货股份有限公司提供仅作为所服务的特定企业与机构一般用途而准备未经许可任何机构和个人不得以任何形式翻版复制发布及分发本报告的全部或部分内容给其它任何人士如引用发布须注明出处华融融达期货股份有限公司且不得对本报告进行有悖原意的引用删节和修改本报告引用的信息和数据均来自于公开资料及其它合法渠道力求报告内容引用资料和数据的客观公正尽可能保证可靠准确和完整但并不保证报告所述信息的准确性和完整性本报告所提供的信息仅供参考不作为投资决策的依据客户应自主做出期货交易决策独立承担期货交易后果