研究报告全文：能化投资研究部商品研发报告SP合约全商品对冲报告2023年4月7日银河期货SP08SP10合约全商品对冲报告商品为鉴可正自身研究员潘盛杰目录期货从业证号F3035353一说明2投资咨询从业证号Z0014607二对冲比例3手机号166-2162-2706三对冲策略变动4邮箱panshengjieqh四贵金属5chinastockcomcn微博五有色金属6六黑色金属9七煤炭11八轻工12九石油13十化工15十一谷物19十二油脂油料20十三软商品23十四农副产品24128能化投资研究部商品研发报告一说明1阅读说明A点击目录可直接跳转至相应章节BA-B等效于多A空B策略曲线向上表征A的走强向下表征B的走强本篇报告中A特指SP08合约SP09合约或SP10合约2关于跨品种对冲A波动率风险收益率正比符号B在商品A与商品B都有历史价格的时段内取本报告配比能够获得最低的价差波动率波动率每季度刷新CSP12SP02对冲报告8月至11月SP04SP06对冲报告12月至次年3月SP08SP10对冲报告4月至7月D通常合理配比的跨品种套利的波动率至少低于其中1种对冲商品有时则会同时低于商品A和商品B的波动率如期现基差和月间差头寸的波动率在大多数时间小于单边头寸E受篇幅所限本报告仅推送价差环比变动即100手SP08合约SP09合约或SP10合约对冲其他合约的价差货值变动F作为估值体系的最后一环可以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作出综合决策并通过咨询多年周期的跨品种对冲图验证策略安全性228能化投资研究部商品研发报告二对冲比例图表1SP08SP10合约全商品对冲比例09系列主力合约合约交易单位1手纸浆对冲手数1吨纸浆对冲吨数合约交易单位1手纸浆对冲手数1吨纸浆对冲吨数贵金属化工AU0810000202000克TA095204102吨AG0815091137千克V095163082吨RU0910041041吨有色金属NR0910052052吨CU095021010吨L095125062吨AL095071036吨PF095147074吨ZN095054027吨EG0910101101吨PB095070035吨MA0910228228吨NI091043434千克PP095130065吨SN091032319千克EB095120060吨SI095081041吨UR0920148296吨SA0920141282吨黑色金属RB1010150150吨谷物I09100078784吨C0910239239吨HC1010152152吨CS0910205205吨SS095077038吨SF095166083吨油脂油料SM095164082吨A0910118118吨B0910146146吨煤炭M0910183183吨JM0960060361吨Y0910078078吨J09100026256吨RM0910212212吨OI0910066066吨轻工P0910086086吨FG0920175349吨软商品石油CF095072036吨SC0910000121173桶SR0910097097吨FU0910224224吨LU0910179179吨农副产品BU0910181181吨JD0910131131吨PG0920067134吨LH0916019031吨AP1010074074吨资料来源银河期货328能化投资研究部商品研发报告三对冲策略变动图表2SP08SP10合约全商品对冲策略变动万元对冲合约对冲组合货值差4月7日4月6日变动变动占100手SP合约比例A09100SP09-118A09-057-068011198PF09100SP09-147PF09005-004009159RM09100SP09-212RM09-064-072008152M09100SP09-183M09-112-121008151B09100SP09-146B09-069-077008142NR09100SP09-052NR09048041007132PG09100SP09-067PG09-030-037007132JM09100SP09-06JM09-041-048007127P09100SP09-086P09-080-085006101EB09100SP09-12EB09039034005100J09100SP09-026J09-080-085005093EG09100SP09-101EG09121116005090RU09100SP09-041RU09071067004077TA09100SP09-204TA09-053-057004077AU08100SP08-02AU08-349-352003049JD09100SP09-131JD09-016-019003046PP09100SP09-13PP09054051002038ZN09100SP09-054ZN09-038-040002036SM09100SP09-164SM09-033-034001024OI09100SP09-066OI09-023-024001022MA09100SP09-228MA09-003-005001022Y09100SP09-078Y09-080-081001020UR09100SP09-148UR09-074-075001019L09100SP09-125L09043042001018I09100SP09-078I09-078-079001015LH09100SP09-019LH09-011-012001012PB09100SP09-07PB09010010000006BU09100SP06-181BU09-137-137-000-002AL09100SP09-071AL09-115-114-001-011SF09100SP09-166SF09-094-093-001-013SI09100SP09-081SI09-094-093-001-013C09100SP09-239C09-104-103-001-014CS09100SP09-205CS09-073-072-001-016CU09100SP09-021CU09-158-156-002-032V09100SP09-163V09038040-003-050FG09100SP09-175FG09-035-033-003-051AP10100SP09-074AP10-074-071-003-051SN09100SP09-032SN09-078-075-003-061AG08100SP08-091AG08-221-217-004-069SC09100SP09-012SC09-136-132-004-069SA09100SP09-141SA09-141-136-004-078CF09100SP09-072CF09012016-005-083RB10100SP09-15RB10-055-048-008-144SS09100SP09-077SS09-003006-008-149HC10100SP09-152HC10-075-066-009-162FU09100SP09-224FU09-157-148-009-166NI09100SP09-043NI09-177-167-010-179LU09100SP09-179LU09-190-177-013-247SR09100SP09-097SR09-108-094-014-252428能化投资研究部商品研发报告四贵金属图表3100SP08-02AU08万元货值差变动1年周期18-1819-1920-2021-2122-2223-230700-07-14-21-28-35-42-4991923101511611281220111222243174843052261375727资料来源上海期货交易所Wind银河期货图表4100SP08-091AG08万元货值差变动1年周期18-1819-1920-2021-2122-2223-2324160800-08-16-24-32-4091923101511611281220111222243174843052261375727资料来源上海期货交易所Wind银河期货528能化投资研究部商品研发报告五有色金属图表5100SP09-021CU09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2318120600-06-12-18-24-30101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表6100SP09-071AL09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2324160800-08-16-24-32-40101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表7100SP09-054ZN09万元货值差变动1年周期18-1819-1920-2021-2122-2223-232418120600-06-12-18-24101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货628能化投资研究部商品研发报告图表8100SP09-07PB09万元货值差变动1年周期18-1819-1920-2021-2122-2223-232419140904-01-06-11-16101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表9100SP09-043NI09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表10100SP09-032SN09万元货值差变动1年周期18-1819-1920-2021-2122-2223-23221100-11-22-33-44-55-66101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货728能化投资研究部商品研发报告图表11100SP09-081SI09万元货值差变动1年周期22-2223-2300-02-04-06-08-10-12-14-16101102111101130122019129218393294185852861777727816资料来源上海期货交易所Wind银河期货828能化投资研究部商品研发报告六黑色金属图表12100SP10-15RB10万元货值差变动1年周期18-1819-1920-2021-2122-2223-2321140700-07-14-21-28-3511111211211123112029229320494295196862871887827916资料来源上海期货交易所Wind银河期货图表13100SP09-078I09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表14100SP10-152HC10万元货值差变动1年周期18-1819-1920-2021-2122-2223-2324160800-08-16-24-32-4011111211211123112029229320494295196862871887827916资料来源上海期货交易所Wind银河期货928能化投资研究部商品研发报告图表15100SP09-077SS09万元货值差变动1年周期19-1920-2021-2122-2223-232418120600-06-12-18-24101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表16100SP09-166SF09万元货值差变动1年周期18-1819-1920-2021-2122-2223-23201000-10-20-30-40-50-60101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货图表17100SP09-164SM09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2324160800-08-16-24-32-40101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货1028能化投资研究部商品研发报告七煤炭图表18100SP09-060JM09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2333221100-11-22-33-44-55101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表19100SP09-026J09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2327180900-09-18-27-36-45101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货1128能化投资研究部商品研发报告八轻工图表20100SP09-175FG09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货1228能化投资研究部商品研发报告九石油图表21100SP05-012SC05万元货值差变动1年周期18-1819-1920-2021-2122-2223-233124171003-04-11-18-25101102311141261228119210333254165853062171384826资料来源上海期货交易所上海国际能源交易中心Wind银河期货图表22100SP09-224FU09万元货值差变动1年周期18-1819-1920-2021-2122-2223-233224160800-08-16-24-32101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货图表23100SP09-179LU09万元货值差变动1年周期20-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源上海期货交易所上海国际能源交易中心Wind银河期货1328能化投资研究部商品研发报告图表24100SP09-181BU09万元货值差变动1年周期18-1819-1920-2021-2122-2223-232418120600-06-12-18-24101102111101130122019129218393294185852861777727816资料来源上海期货交易所Wind银河期货图表25100SP09-067PG09万元货值差变动1年周期20-2021-2122-2223-233224160800-08-16-24-32101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货1428能化投资研究部商品研发报告十化工图表26100SP09-204TA09万元货值差变动1年周期18-1819-1920-2021-2122-2223-23352821140700-07-14-21101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货图表27100SP09-163V09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表28100SP09-041RU09万元货值差变动1年周期18-1819-1920-2021-2122-2223-232822161004-02-08-14-20101102311141261228119210333254165853062171384826资料来源上海期货交易所Wind银河期货1528能化投资研究部商品研发报告图表29100SP09-052NR09万元货值差变动1年周期19-1920-2021-2122-2223-232822161004-02-08-14-20101102311141261228119210333254165853062171384826资料来源上海期货交易所上海国际能源交易中心Wind银河期货图表30100SP09-125L09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2330252015100500-05-10101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表31100SP09-147PF09万元货值差变动1年周期20-2021-2122-2223-23221814100602-02-06-10101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货1628能化投资研究部商品研发报告图表32100SP09-101EG09万元货值差变动1年周期18-1819-1920-2021-2122-2223-23403224160800-08-16-24101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表33100SP09-228MA09万元货值差变动1年周期18-1819-1920-2021-2122-2223-232418120600-06-12-18-24101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货图表34100SP09-130PP09万元货值差变动1年周期18-1819-1920-2021-2122-2223-23252015100500-05-10-15101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货1728能化投资研究部商品研发报告图表35100SP09-12EB09万元货值差变动1年周期19-1920-2021-2122-2223-2330252015100500-05-10101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表36100SP09-148UR09万元货值差变动1年周期19-1920-2021-2122-2223-2326191205-02-09-16-23-30101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货图表37100SP09-141SA09万元货值差变动1年周期19-1920-2021-2122-2223-2330201000-10-20-30-40-50101102311141261228119210333254165853062171384826资料来源郑州商品交易所Wind银河期货1828能化投资研究部商品研发报告十一谷物图表38100SP09-239C09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2314100602-02-06-10-14-18101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表39100SP09-205CS09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2314100602-02-06-10-14-18101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货1928能化投资研究部商品研发报告十二油脂油料图表40100SP09-118A09万元货值差变动1年周期18-1819-1920-2021-2122-2223-2318120600-06-12-18-24-30101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表41100SP09-146B09万元货值差变动1年周期18-1819-1920-2021-2122-2223-231915110703-01-05-09-13101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货图表42100SP09-183M09万元货值差变动1年周期18-1819-1920-2021-2122-2223-231612080400-04-08-12-16101102311141261228119210333254165853062171384826资料来源大连商品交易所Wind银河期货2028