研究报告全文：投资咨询业务资格证监许可20111778号运筹帷幄决胜千里期货品种套利数据日报2023年9月25日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20230922-00000020230921-0000002023092017860000002023091915360000002023091813360000001650700动力煤基差6001450500125040010503002008501006500450-100基差右动力煤现货价秦皇岛期货结算价活跃合约动力煤50200动力煤价差0150-50100-10050-150-2000-250-505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20230922-1306-0179220230921-1108-38780178120230920-925-36880176820230919-1025-77610175320230918-5668-707701833900原油基差120100800807006060040205000400-20-40300-60200-80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40045003002004000100350003000-1002500-2002000-300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PTALLDPEPVCPP20230922-131523112055011120230921-10503370227322420230920-121016551166-5512820230919-1185953330-1232720230918-1235-102070-759商品化工跨期元吨跨期天胶甲醇PTALLDPEPVCPP乙二醇5月-1月-65-101-44-4557-81859月-1月-90-103-92-5952-111-1599月-5月-25-2-48-14-5-30-244商品化工跨品种元吨日期LLDPE-PVCLLDPE-PPPP-PVCPP-3甲醇202309222005409159623720230921195440215522052023092019834311552200202309192066456161012720230918198346015231821550050030014500橡胶基差10013500-10012500-300-50011500-70010500-900-11009500-13008500-1500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500500橡胶价差00-500-500-1000-1000-1500-1500-2000-20005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35004003300甲醇基差35031003002900250270020025001502300100210050190001700-501500-100基差右华东地区甲醇现货价期货收盘价活跃合约甲醇150250甲醇价差100200501500100-5050-100-1500-200-50-250-1005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10000LLDPE基差1000950080060090004008500200800007500-2007000-400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10000PVC基差50095004009000300850080002007500100700006500-10060005500-2005000-300基差右华东地区PVC现货价期货收盘价活跃合约PVC600500PVC价差4003002001000-100-2005月-1月9月-1月9月-5月100006009500PP基差40090008500200800007500-2007000-40065006000-600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202309221801538-1093-390202309212901767-839-36020230920-201572-2677-215020230919601737-2222-166520230918601647-3217-2600商品黑色跨期元吨跨期螺纹钢5月-1月-29010月-1月-66010月-5月-370铁矿石焦炭焦煤5月-1月-445-1240-16909月-1月-1035-1900-23709月-5月-590-660-680商品黑色跨品种日期螺矿螺焦焦焦煤螺-热卷202309224341504413498-840202309214411522813405-810202309204401506713247-900202309194441529613347-1020202309184411525813323-6106000螺纹钢基差500500040030040002003000100200001000-1000-200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1200350铁矿石基差10003002508002006001504001002005000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100022080017060012040070200200-30-200-80-400-130201872201972202042202072202112202142202172202212202242202272202312202342202372201812201842201912201942202012202010220211022022102201910220181025月-1月9月-1月9月-5月45004004000焦炭基差200350003000-2002500-40020001500-6001000-800500-10000-1200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40004003500焦煤基差200300002500-2002000-40015001000-600500-8000-1000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12008001000焦煤价差6008004006002004000200-2000-200-400-400-600-600-800-800-1000-1000-12005月-1月9月-5月9月-1月2018122018422018722019122019722020122020422021122021422022122022422022722023122023422023722019422020722021722018102201910220211022022102202010224比价90228020187016601450121040螺焦焦焦煤螺矿右11001100900价差900700700500500300300100100-100-300-100-500-300-700-500-900201812201842201912201942201972202012202042202072202112202142202172202272202212202242202312202342202372201872螺-热卷线材-螺右20181022021102202210220201022019102wwwbcqhgscom9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20230922100120175-4152990-104020230921300240330-2203420-5020230920270180265-350346078020230919300270240-3251730-29020230918240185265-3552000710800002500沪铜基差750002000150070000100065000500600000-50055000-100050000-1500基差右长江现货价格铜期货收盘价活跃合约阴极铜2500080023000沪铝基差600210004001900020017000015000-20013000-40011000-600基差右长江现货价格铝期货收盘价活跃合约铝17000300沪铅基差16500200160001550010015000014500-1001400013500-20013000-300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20230922LME升贴水-6026-3975-20752575-24500-19400沪伦比830863855766810829CIF66581188762183718758157493229416国内现货68310197402223016700164950217750进口盈亏1729864393-20587457-116668002000700LME基差6001500500100040030050020010000-500-100-200-1000铜铝锌铅镍右锡右95沪伦比9858757656铜铝锌铅镍锡40001000003000进口盈亏200050000100000-1000-2000-3000-50000-4000-5000-100000-6000-7000-150000铜右铝锌铅镍锡右wwwbcqhgscom12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202309223312168848217879220230921714875157617785920230920-13-1047724701767622023091945-458595401908142023091815-142841474184824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-13-420-558-292469月-1月-78-386-527-382-2129月-5月-653431-9098菜油棕榈油玉米白糖郑棉5月-1月-9936-78-47-2559月-1月-119-40-65-91-3209月-5月-20-76-420-44-65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20230922192178200847696746302202309211931771998266886833042023092019318520380476064929420230919192184204813784628290202309181931872048778347152966400黄大豆1号基差600620050040060003005800200560010005400-1005200-2005000-300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600120040010002008000600-200400200-4000-600-200-800-400-1000-600-120020180102201805022018070220181102201901022019030220190502201909022019110220200502202007022020110220210102202103022021050220210702202109022021110220220102202203022022050220220902202211022023030220230702201809022019070220200102202003022020090220220702202301022023050220230902201803025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120058009005600540060052003005000480004600-3004400-60042004000-900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2000黄大豆2号价差150015001000100050050000-500-500-1000-100020180102201803022018090220181102201901022019030220190502201907022019090220191102202001022020030220200502202007022020110220210102202107022021090220220302202205022022090220221102202301022023030220230502202307022018070220200902202103022021050220211102202201022022070220230902201805025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2000800豆粕价差600150040010002000500-2000-400-600-500-800-1000-10002018030220180502201807022018090220181102201901022019030220190502201907022019090220191102202001022020030220200502202007022020090220201102202101022021030220210502202107022021090220211102202201022022030220220502202207022022090220221102202301022023030220230502202307022023090220180102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12000豆油基差20001100018001600100001400900012008000100070008006006000400500020040000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150015001000100050050000-500-500-1000-1500-1000-2000-15002018010220180302201807022018090220190102201903022019050220190902202003022020050220200902202011022021050220210702202111022022030220220702202211022023010220230302202309022018110220190702201911022020010220200702202101022021030220210902202201022022050220220902202305022023070220180502月月月月月月5-19-19-53200黄玉米基差25030002001502800100260050240002200-502000-100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40040030020020010000-100-200-200-400-300-400-60020180302201805022018070220180902201811022019010220200102202003022020050220200702202009022020110220210102202203022022050220220702202209022022110220230102202307022019030220190502201907022019090220191102202103022021050220210702202109022021110220220102202303022023050220230902201801025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20181114201901142019031420190514201909142019111420200514202007142020091420201114202101142021031420210914202201142022051420220714202211142023011420230314202309142019071420200114202003142021051420210714202111142022031420220914202305142023071420180914300025002500菜油价差20002000150015001000100050050000-500-500-1000-1000-1500-1500-2000-2000-2500-25002018111920190119201905192019071920190919201911192020031920200519202007192020091920210319202111192022011920220519202207192022091920221119202301192023031920230519202307192023091920180719201809192019031920200119202011192021011920210519202107192021091920220319201805195月-1月9月-5月9月-1月2000棕榈油价差50001000400003000-10002000-20001000-30000-4000-1000-5000-200020180302201805022018070220180902201811022019010220200102202003022020050220200702202009022020110220210102202203022022050220220702202209022022110220230102202307022019030220190502201907022019090220191102202103022021050220210702202109022021110220220102202303022023050220230902201801029月-1月9月-5月5月-1月15002000郑棉价差15001000100050050000-500-1000-500-1500-1000-20005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40060003005500200100500004500-1002018010220181002201904022019070220200102202004022020070220201002202101022021040220210702202201022022100220230402201807022019010220191002202110022022040220220702202301022023070220180402基差右现货价白砂糖柳州期货收盘价活跃合约白砂糖700600白砂糖价差5004003002001000-100-200-3005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50008004000价差7003000600200050010004000300-1000200-2000100-30000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100020230922-2427-1762-2778-100720230921-1156-546-1088-21420230920-1451-544-1759-46420230919-1590-912-1970-81620230918-1609-1110-1191037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3008215637274290216上证50268226856242186中证5002682268-26-102-76中证1000-06-104-254-98-248-15047006000沪深300基差500045004000430030002000410010003900000-10003700-20003500-3000基差右沪深300沪深300期货8060沪深300价差40200-20-40-60-80-100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31005000上证50基差40003000300029002000280010000002700-10002600-20002500-3000基差右上证50上证50期货60上证50价差40200-20-40-60次月-当月当季-当月次季-当月当季-次月次季-次月次季-当季6600100006400中证500基差800062006000600040005800200056000005400-20005200-40005000-6000基差右中证500中证500期货500中证500价差-50-100-150-200-250-300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75008000中证1000基差600070004000650020006000000-20005500-40005000-6000基差右中证1000中证1000期货10050中证1000价差0-50-100-150-200-250-300-350-400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