研究报告全文：重要商品主力价差套利表现制作日期2023年9月25日板块名称报价单位最新收盘价价差名称价差价差走势图近一年SHFE热轧卷板元吨3863黑色系热卷-螺纹价差84SHFE螺纹钢元吨3779CZCE锰硅黑色系元吨7058锰硅-锰铁价差-496CZCE硅铁元吨7554DCE豆油元吨7938农产品豆油-棕榈油价差696DCE棕榈油元吨7242农产品CZCE菜油元吨8684菜油-棕榈油价差1442DCE棕榈油元吨7242农产品CZCE菜油元吨8684菜油-豆油价差746DCE豆油元吨7938农产品DCE豆一元吨5087豆一-豆粕价差1125DCE豆粕元吨3962DCE玉米淀粉农产品元吨2954玉米淀粉-玉米价差302DCE玉米元吨2652CZCE棉纱元吨23285农产品棉纱-棉花价差6140CZCE棉花元吨17145能化品种DCE塑料元吨8295塑料-PVC价差1992DCEPVC元吨6303DCE塑料能化品种元吨8295塑料-聚丙烯价差406DCE聚丙烯元吨7889CZCEPTA能化品种元吨6254PTA-乙二醇价差1926DCE乙二醇元吨4328CZCE玻璃元吨1742能化品种玻璃-纯碱价差-111CZCE纯碱元吨1853INE低硫燃料油能化品种元吨4734低硫燃料油-高硫燃料油价差971SHFE燃油元吨3763INE低硫燃料油能化品种元吨4734低硫燃料油-沥青价差850SHFE沥青元吨3884SHFE沥青能化品种元吨3884沥青-原油价差7-986INE原油元吨696主要商品期货最新主力价差所处近一年365天历史百分位当前主要商品期货最新主力价差近五年状态2018-202312000沥青原油价差710000燃料油沥青价差908000低硫燃料油-高硫燃料油价差446000FG-SA价差904000CY-CF价差162000CS-C价差660SM-SF价差62-2000TA-EG价差92-4000L-PP价差42-6000LV价差42价差价差价差价差价差价差价差AM价差14卷螺差LV价差AML-PPCS-C豆棕价差菜棕价差菜豆价差CFSAEG---菜豆价差27SM-SFCY2020-20232019-20232021-2023FGTA沥青原油价差菜棕价差33高硫燃料油价差燃料油沥青价差-豆棕价差60卷螺差440102030405060708090100低硫燃料油第1页共6页重要商品主力价差套利表现制作日期2023年9月25日商品价差近年以来走势对比卷螺价差-走势图卷螺价差-季节图80006002018201920202021202220237000600400600040020050002004000003000-200-2002000-4001000-4000-600-60020152015201620162017201720182018201920192020202020212021202220222023卷螺差右轴SHFE热轧卷板SHFE螺纹钢豆棕价差-走势图豆棕价差-季节图20182019202020212022202314000300025002500200012000200015001000015001000100080005005006000004000-500-500-10002000-1000-1500-15000-2000200920102011201220132014201520162017201820192020202120222023-2000豆棕价差右轴DCE豆油DCE棕榈油菜棕价差-走势图菜棕价差-季节图2018201920202021202220231600055004500140004500120003500350010000250080002500600015001500400050020005000-500200920102011201220132014201520162017201820192020202120222023-500菜棕价差右轴CZCE菜油DCE棕榈油第2页共6页重要商品主力价差套利表现制作日期2023年9月25日菜豆价差-走势图菜豆价差-季节图16000500020182019202020212022202345001400040004000120003000350010000200030008000250010006000200004000150010002000-10005000-200020082009201020112012201320142015201620172018201920202021202220230菜豆价差右轴FetchingFetchingAM价差-走势图AM价差-季节图70004000350040002018201920202021202220236000300035005000250030004000200025003000150020001000200015005001000100005000-5000AM价差右轴DCE豆一DCE豆粕LV价差-走势图LV价差-季节图16000800020182019202020212022202314000400060001200030004000200010000100080002000060000-10004000-2000-20002000-30000-400020102011201220132014201520162017201820192020202120222023-4000LV价差右轴DCE塑料DCEPVC第3页共6页重要商品主力价差套利表现制作日期2023年9月25日L-PP价差-走势图L-PP价差-季节图120003000201820192020202120222023250010001000020008000150050010006000050040000-500-5002000-1000-10000-1500-1500L-PP价差右轴DCE塑料DCE聚丙烯TA-EG价差-走势图TA-EG价差-季节图8000300020192020202120222023250030007000200025006000150020005000100015005001000400005003000-5000-5002000-1000-1500-10001000-2000-15000-2500-2000-2500202020202020202020202021202120212021202120212022202220222022202220222023202320232023TA-EG价差右轴CZCEPTADCE乙二醇SM-SF价差-走势图SM-SF价差-季节图20000300020182019202020212022202318000200030001600010002000140000100012000-1000010000-2000-10008000-3000-20006000-30004000-4000-40002000-5000-50000-6000-600020182018201820182019201920192019202020202020202020212021202120212022202220222022202320232023SM-SF价差右轴CZCE锰硅CZCE硅铁第4页共6页重要商品主力价差套利表现制作日期2023年9月25日CS-C价差-走势图CS-C价差-季节图4000800201820192020202120222023350070070000300060060000250050050000200040040000150030030000100020020000500100100000000020162016201620172017201720182018201820192019201920202020202020212021202120222022202220232023CS-C价差右轴DCE玉米淀粉DCE玉米CY-CF价差-走势图CY-CF价差-季节图35000120002018201920202021202220231100030000100002500010000800020000900060001500040008000100007000500020000060005000CY-CF价差右轴CZCE棉纱CZCE棉花FG-SA价差-走势图FG-SA价差-季节图4000100020202021202220233500100050030005000250002000-500-5001500-10001000-1000-1500500-15000-2000-20002021202120212021202120212021202220222022202220222022202220222022202220222022202320232023202320232023202320232023FG-SA价差右轴CZCE玻璃CZCE纯碱低硫燃料油-高硫燃料油价差-走势图低硫燃料油-高硫燃料油价差-季节图第5页共6页重要商品主力价差套利表现制作日期2023年9月25日202120222023300080003000700025002500600020005000200040001500150030001000200050010001000005002020202120212022202220230低硫燃料油-高硫燃料油价差右轴INE低硫燃料油SHFE燃油燃料油-沥青价差-走势图燃料油-沥青价差-季节图8000002000202020212022202370000015002500006000002000001000500000150000400000500100000300000500000000200000-50000100000-500202020212022-100000沥青原油价差右轴INE低硫燃料油SHFE沥青沥青-原油价差-走势图沥青-原油价差-季节图50001000201820192020202120222023450050040001000035005003000-50002500-500-10002000-10001500-1500201820192020202120222023-1500沥青原油价差沥青-7原油右轴SHFE沥青INE原油免责声明本报告中的信息均来源于公开资料我公司对这些信息的准确性和完整性不作任何保证报告中的内容和意见仅供参考并不构成对所述品种买卖的出价或征价我公司及其雇员对使用本报告及其内容所引发的任何直接或间接损失概不负责本报告仅向特定客户传送版权归冠通期货所有未经我公司书面许可任何机构和个人均不得以任何形式翻版复制引用或转载如引用转载刊发须注明出处为冠通期货股份有限公司冠通期货研究咨询部王静执业资格证号F0235424Z0000771联系方式010-85356618第6页共6页