研究报告全文：重要商品主力价差套利表现制作日期2023年10月12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3718黑色系热卷-螺纹价差99SHFE螺纹钢元吨3619CZCE锰硅黑色系元吨6732锰硅-锰铁价差-414CZCE硅铁元吨7146DCE豆油元吨7790农产品豆油-棕榈油价差704DCE棕榈油元吨7086农产品CZCE菜油元吨8620菜油-棕榈油价差1534DCE棕榈油元吨7086农产品CZCE菜油元吨8620菜油-豆油价差830DCE豆油元吨7790农产品DCE豆一元吨5080豆一-豆粕价差1293DCE豆粕元吨3787DCE玉米淀粉农产品元吨2936玉米淀粉-玉米价差400DCE玉米元吨2536CZCE棉纱元吨23225农产品棉纱-棉花价差6270CZCE棉花元吨16955能化品种DCE塑料元吨8032塑料-PVC价差2102DCEPVC元吨5930DCE塑料能化品种元吨8032塑料-聚丙烯价差574DCE聚丙烯元吨7458CZCEPTA能化品种元吨5866PTA-乙二醇价差1777DCE乙二醇元吨4089CZCE玻璃元吨1624能化品种玻璃-纯碱价差-70CZCE纯碱元吨1694INE低硫燃料油能化品种元吨4505低硫燃料油-高硫燃料油价差1171SHFE燃油元吨3334INE低硫燃料油能化品种元吨4505低硫燃料油-沥青价差725SHFE沥青元吨3780SHFE沥青能化品种元吨3780沥青-原油价差7-857INE原油元吨662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1510000燃料油沥青价差778000低硫燃料油-高硫燃料油价差646000FG-SA价差934000CY-CF价差202000CS-C价差990SM-SF价差73-2000TA-EG价差73-4000L-PP价差62-6000LV价差62价差价差价差价差价差价差价差AM价差35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36SM-SFCY2020-20232019-20232021-2023FGTA沥青原油价差菜棕价差38高硫燃料油价差燃料油沥青价差-豆棕价差63卷螺差60020406080100120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10月12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80006002018201920202021202220237000600400600040020050002004000003000-200-2002000-4001000-4000-600-600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10月12日菜豆价差-走势图菜豆价差-季节图16000500020182019202020212022202345001400040004000120003000350010000200030008000250010006000200004000150010002000-10005000-200020082009201020112012201320142015201620172018201920202021202220230菜豆价差右轴CZCE菜油DCE豆油AM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1400080002018201920202021202220234000120006000300010000400020008000100020006000004000-1000-2000-20002000-30000-400020102011201220132014201520162017201820192020202120222023-4000LV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10月12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8000300020192020202120222023250030007000200025006000150020005000100015005001000400005003000-5000-5002000-1000-1500-10001000-2000-15000-2500-2000-25002020202020202020202020212021202120212021202120222022202220222022202220232023202320232023TA-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10月12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4000100020202021202220233500100050030005000250002000-500-5001500-10001000-1000-1500500-15000-2000-200020212021202120212021202120212022202220222022202220222022202220222022202220222023202320232023202320232023202320232023FG-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10月12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