黑色金属衍生品日报-20190605-银河期货-27页.pdf

1/27钢铁事业部 黑色金属研发报告黑色金属衍生品日报 2019 年 6 月 5 日 黑色金属衍生品日报 2019 年 6 月 5 日 黑色金属衍生品日报 第一部分第一部分 市场研判市场研判 研究员：鲁晓静 期货从业证号：F3018746 投资咨询资格编号：Z0013864 研究员：鲁晓静 期货从业证号：F3018746 投资咨询资格编号：Z0013864:021-65789229 luxiaojing_qhluxiaojing_ 宏观：宏观：近三年来首次！澳大利亚联储宣布降息 25 个基点；美联储副主席重复鲍威尔最新表态，称将在经济或通胀低于预期的情况下采取适当的行动；2019 年 5 月份，我国重卡市场共约销售各类车型 10.9 万辆，环比今年 4 月下降 8%，比上年同期的 11.4 万辆小降4%。行业：行业：发改委：加大稀土行业整顿规范力度；东北特钢超大规格锻材填补国内空白；美国钢铁协会（AISI）：自从总统特朗普祭出 232 关税以来，美国的钢铁进口下滑了 30%。钢材：钢材：周三螺纹钢期货主力合约价格小幅波动，rb1910 合约成交清淡，尾盘增仓收于3747。今日市场成交较昨日转弱，期现价格低位小幅盘整，基本面来看，当前由于整体库存去化明显放缓，投机需求表现谨慎，10 月合约跌至独立电弧炉成本附近有所支撑，后期关注现货成交持续性，预计主力合约延续整理态势，短线关注 3700 一线支撑。（仅供参考）铁矿铁矿：I1909 合约小幅增仓收于 719.5。上周建材平均成交量萎靡的情况下，社库去库仍旧良好，建材需求坚挺。但冷轧热卷需求偏弱，粗钢整体需求尚可，短期看铁矿盘面调整空间有限，1909 合约在 710 左右有支撑，盘面短期或有向上可能，关注 750 压力位表现。（仅供参考）焦煤焦炭焦煤焦炭:J1909 合约减仓 10362 手收于 2114.5 元/吨，JM1909 合约增仓 7640 收于 1378 元/吨。河北主流焦企提出第四轮提涨，焦炭自身供需面矛盾较小，但近期由于钢厂螺纹利润承压，部分成本较高热卷已无利润，钢厂压缩成本意愿强烈，目前焦化现货利润 300 元/吨，现货上涨空间预计有限。（仅供参考）2/27钢铁事业部 黑色金属研发报告 第第二部分二部分 基差及策略基差及策略 3/27 钢铁事业部 黑色金属研发报告 第第三三部分部分 行情走势行情走势 钢材钢材 今日今日昨日昨日涨跌涨跌今日今日昨日昨日涨跌涨跌今日今日昨日昨日涨跌涨跌RB1910374737452.00HC10-RB10-140-136-4.00HC191036073609-2.00RB2001349634960.00HC01-RB01-52-520.00HC2001344434440.00RB200533573360-3.00HC05-RB05-47-547.00HC1905331033064.00RB10-RB012512492.00HC10-HC01163165-2.00RB01-RB051391363.00HC01-HC05134138-4.0010合约螺纹盘面利润合约螺纹盘面利润37636511.69RB10/I09RB10/I095.215.200.0110合约热卷盘面利润合约热卷盘面利润2362297.69HC10/I09HC10/I095.015.010.0001合约螺纹盘面利润合约螺纹盘面利润2802718.44RB01/I01RB01/I015.355.360.0001合约热卷盘面利润合约热卷盘面利润2282198.44HC01/I01HC01/I015.275.280.0005合约螺纹盘面利润合约螺纹盘面利润3093017.94RB05/I05RB05/I055.545.530.0205合约热卷盘面利润合约热卷盘面利润26224714.94HC05/I05HC05/I055.475.440.03今日今日昨日昨日涨跌涨跌折标准品折标准品10基差10基差01基差01基差05基差05基差今日今日昨日昨日涨跌涨跌折标准品折标准品10基差10基差01基差01基差05基差05基差上海中天上海中天3970395020.004093346597736天津河钢热卷天津河钢热卷381038100.003900293456590乐从日钢热卷乐从日钢热卷388038800.003880273436570南京西城南京西城4120411010.004247500751890上海日钢热卷上海日钢热卷38703880-10.003870263426560山东石横山东石横4040400040.004165418669808最便宜交割品最便宜交割品3870263426560唐山唐钢唐山唐钢39003910-10.004111364615754最便宜交割品最便宜交割品4093346597736乐从马钢冷轧乐从马钢冷轧424042400.00上海港螺纹出口上海港螺纹出口5055050.00上海马钢冷轧上海马钢冷轧421042100.00唐山钢坯唐山钢坯3550354010.00上海港热卷出口上海港热卷出口5235230.00华东废钢华东废钢230023000.00结算价基差（上海）349.78600.78734.78唐山带钢唐山带钢376037600.00结算价基差（上海）270434566今日今日昨日昨日涨跌涨跌昨日昨日前日前日涨跌涨跌今日今日昨日昨日涨跌涨跌昨日昨日前日前日涨跌涨跌上海螺纹-北京螺纹上海螺纹-北京螺纹401030.00调坯轧材利润调坯轧材利润040-40.00上海热卷-天津热卷上海热卷-天津热卷6070-10.00天津热卷利润天津热卷利润295336-41.06上海螺纹-济南螺纹上海螺纹-济南螺纹-80-70-10.00华东螺纹利润华东螺纹利润289431-141.68上海热卷-乐从热卷上海热卷-乐从热卷-100-10.00华东热卷利润华东热卷利润8183-174.86上海螺纹-广州螺纹上海螺纹-广州螺纹-160-17010.00唐山螺纹利润唐山螺纹利润577610-32.51北京热卷-北京螺纹北京热卷-北京螺纹上海螺纹-杭州螺纹上海螺纹-杭州螺纹-10-100.00山东螺纹利润山东螺纹利润5585525.76上海热卷-上海螺纹上海热卷-上海螺纹-223-192-30.62上海螺纹-南京螺纹上海螺纹-南京螺纹-110-1100.00唐山钢坯利润唐山钢坯利润416439-23.27唐山带钢-唐山热卷唐山带钢-唐山热卷010-10.00唐山带钢-唐山钢坯唐山带钢-唐山钢坯210220-10.00华东电炉利润华东电炉利润1771770.00上海冷轧-上海热卷上海冷轧-上海热卷34033010.00上海线材-上海螺纹上海线材-上海螺纹230240-10.00乐从冷轧-乐从热卷乐从冷轧-乐从热卷3603600.00上海盘螺-上海螺纹上海盘螺-上海螺纹230240-10.00螺纹出口-国内价差螺纹出口-国内价差-327.6-307.6-20.00热卷出口-国内价差热卷出口-国内价差-234-24410.00现货利润现货利润螺纹螺纹热卷热卷期货期货期货期货现货现货现货现货现货地区价差现货地区价差现货利润现货利润现货地区价差现货地区价差库存库存本次本次上次上次涨跌涨跌库存库存本次本次上次上次涨跌涨跌螺纹社会螺纹社会552.47569.83-17.36热卷社会热卷社会205.28202.562.72螺纹钢厂螺纹钢厂211.18204.446.74热卷钢厂热卷钢厂89.5987.951.64螺纹周产量螺纹周产量381.19381.52-0.33热卷周产量热卷周产量330.22333.37-3.15昨日昨日前日前日涨跌涨跌冷轧社会冷轧社会118.32118.47-0.15Mysteel建材日成交Mysteel建材日成交25768718586571823冷轧钢厂冷轧钢厂30.4131.37-0.96冷轧周产量冷轧周产量73.3879.4-6.02基本面数据基本面数据基本面数据基本面数据螺纹螺纹热卷热卷成才价格：成材基本面：铁矿价格：铁矿基本面：煤焦价格：煤焦基本面:成材数据 成材产量 铁矿数据 高低品差 煤焦数据 焦化利润 跨期价差 成材厂库 铁矿跨期 即期利润 煤焦跨期 焦煤库存 基差 成材社库 各品种比 煤焦比 焦化产能利用率 各品种差 期现基差 区域价差 焦炭库存 生产利润 期现价差 盘面利润 盘面利润 区域价差 冷热价差 4/27 钢铁事业部 黑色金属研发报告 图图1 1：螺纹：螺纹0505-1010跨期跨期价差价差 图图2 2：螺纹螺纹1010-1 1跨期价差跨期价差 -200-10001002003004005006007000516052506030612062106300709071807270805081408230901091009190928100710161025110311121121113012091218122701050114螺纹01-05跨期套利价差rb1701-rb1705rb1801-rb1805rb1901-rb1905rb2001-rb2005-200-10001002003004005006007008000116012602050215022503070317032704060416042605060516052606050615062507050715072508040814082409030913092310031013螺纹10-01跨期套利价差rb1610-rb1701rb1710-rb1801rb1810-rb1901rb1910-rb2001 数据来源：银河期货、wind 资讯 图图3 3：热卷热卷5 5-1010套利价差套利价差 图图4 4：热卷热卷1010-1 1跨期套利价差跨期套利价差 -5005010015020025030035040005160523053006060613062006270704071107180725080108080815082208290905091209190926100310101017102410311107111411211128120512121219122601020109热卷01-05跨期套利价差hc1701-hc1705hc1801-hc1805hc1901-hc1905hc2001-hc2005-100-500501001502002503003504004500116012602050215022503070317032704060416042605060516052606050615062507050715072508040814082409030913092310031013热卷10-01跨期套利价差hc1610-hc1701hc1710-hc1801hc1810-hc1901hc1910-hc2001 数据来源：银河期货、wind 资讯 图图5 5：螺纹螺纹0101合约期现基差合约期现基差 图图6 6：热卷：热卷0101合约期现基差合约期现基差 -1000-500050010001500011601300213022703130327041004240508052206050619070307170731081408280911092510091023110611201204121801010115上海螺纹现货-01螺纹价差rb1701rb1801rb1901rb2001-200-10001002003004005006007000116013102150302031704010416050105160531061506300715073008140829091309281013102811121127121212270111上海热卷现货-01热卷价差hc1701hc1801hc1901hc2001 数据来源：银河期货、wind 资讯 5/27 钢铁事业部 黑色金属研发报告 图图7 7：螺纹螺纹0505合约期现基差合约期现基差 图图8 8：热卷：热卷0505合约期现基差合约期现基差 -600-400-20002004006008001000120014000516052806090621070307150727080808200901091309251007101910311112112412061218123001110123020402160228031203240405041704290511上海螺纹现货-05螺纹价差rb1705rb1805rb1905rb2005-200-1000100200300400500600700800051605300613062707110725080808220905091910031017103111141128121212260109012302060220030603200403041705010515上海热卷现货-05热卷价差hc1705hc1805hc1905hc2005 数据来源：银河期货、wind 资讯 图图9 9：螺纹螺纹1010合约期现基差合约期现基差 图图1010：热卷：热卷1010合约期现基差合约期现基差 -400-20002004006008001000120014001600101610301113112712111225010801220205021903050319040204160430051405280611062507090723080608200903091710011015上海螺纹现货-10螺纹价差rb1610rb1710rb1810rb1910-200-100010020030040050060070010161029111111241207122001020115012802100223030803210403041604290512052506070620070307160729081108240906091910021015上海热卷现货-10热卷价差hc1610hc1710hc1810hc1910 数据来源：银河期货、wind 资讯 图图1111：0101合约卷螺差合约卷螺差 图图1212：0505合约卷螺差合约卷螺差 -800-600-400-20002004006008000116012902110224030903220404041704300513052606080621070407170730081208250907092010031016102911111124120712200102011501合约卷螺差1601合约1701合约1801合约1901合约2001合约-400-300-200-1000100200300400500051605280609062107030715072708080820090109130925100710191031111211241206121812300111012302040216022803120324040504170429051105合约卷螺差1705合约1805合约1905合约2005合约 数据来源：银河期货、wind 资讯 6/27 钢铁事业部 黑色金属研发报告 图图1313：1010合约卷螺差合约卷螺差 图图1414：现货卷螺差：现货卷螺差 -600-400-2000200400600800101610281109112112031215122701080120020102130225030903210402041404260508052006010613062507070719073108120824090509170929101110合约卷螺差1610合约1710合约1810合约1910合约-1000-800-600-400-2000200400600123456789101112上海现货卷螺差图20152016201720182019 数据来源：银河期货、wind 资讯、Mysteel 图图1515：唐山螺纹现金利润唐山螺纹现金利润 图图1616：山东螺纹现金利润：山东螺纹现金利润 -5000500100015002000123456789101112唐山螺纹现金利润201620172018201905001000150020002500123456789101112山东螺纹现金利润2016201720182019 数据来源：银河期货、Mysteel 图图1717：华东螺纹现金利润华东螺纹现金利润 图图1818：华东电炉现金利润：华东电炉现金利润 -5000500100015002000123456789101112华东螺纹现金利润2016201720182019-1000-5000500100015002000123456789101112华东电炉现金利润2016201720182019 数据来源：银河期货、Mysteel 7/27 钢铁事业部 黑色金属研发报告 图图1 19 9：天津天津热卷现金利润热卷现金利润 图图2020：华东热卷华东热卷现金利润现金利润 -2000200400600800100012001400123456789101112天津热卷现金利润2016201720182019-200020040060080010001200123456789101112华东热卷现金利润2016201720182019 数据来源：银河期货、Mysteel 图图2121：唐山钢坯现金利润：唐山钢坯现金利润 -400-2000200400600800100012001400123456789101112唐山钢坯现金利润2016201720182019 数据来源：银河期货、Mysteel 图图2222：0101螺纹螺纹盘面利润盘面利润 图图2323：0101热卷盘面利润热卷盘面利润 -1000-5000500100015002000011501290212022603120326040904230507052106040618070207160730081308270910092410081022110511191203121712310114螺纹01盘面利润20152016201720182019-50005001000150020000115012702080220030403160328040904210503051505270608062007020714072608070819083109120924100610181030111111231205121712290110热卷01盘面利润20162017201820192019 数据来源：银河期货、Mysteel 8/27 钢铁事业部 黑色金属研发报告 图图2424：0505螺纹盘面利润螺纹盘面利润 图图2525：0505热卷盘面利润热卷盘面利润 -200020040060080010001200140016000516052706070618062907100721080108120823090309140925100610171028110811191130121112220102011301240204021502260309032003310411042205030514螺纹05盘面利润20162017201820192020 020040060080010001200140016000516052806090621070307150727080808200901091309251007101910311112112412061218123001110123020402160228031203240405041704290511热卷05盘面利润20162017201820192020 数据来源：银河期货、Mysteel 图图2626：1010螺纹盘面利润螺纹盘面利润 图图2727：1010热卷盘面利润热卷盘面利润 -500050010001500200010151028111011231206121901010114012702090222030703200402041504280511052406060619070207150728081008230905091810011014螺纹10盘面利润201420152016201720182019-400-2000200400600800100012001400160018001015102711081120120212141226010701190131021202240308032004010413042505070519053106120624070607180730081108230904091609281010热卷10盘面利润201420152016201720182019 数据来源：银河期货、Mysteel 图图2828：现货螺纹上海北京价差现货螺纹上海北京价差 图图2929：现货螺纹上海济南价差：现货螺纹上海济南价差 -400-300-200-1000100200300400500123456789101112上海螺纹-北京螺纹2016201720182019-500-400-300-200-1000100200300123456789101112上海螺纹-济南螺纹2016201720182019 数据来源：银河期货、Mysteel 9/27 钢铁事业部 黑色金属研发报告 图图3030：现货螺纹上海广州价差现货螺纹上海广州价差 图图3131：上海冷轧：上海冷轧-热轧价差热轧价差 -1000-900-800-700-600-500-400-300-200-1000123456789101112上海螺纹-广州螺纹2016201720182019 0200400600800100012001400123456789101112上海冷热价差2016201720182019 数据来源：银河期货、Mysteel 图图3232：乐从冷轧乐从冷轧-热轧价差热轧价差 0200400600800100012001400123456789101112乐从冷热价差2016201720182019 数据来源：银河期货、Mysteel 图图3434：MysteelMysteel螺纹周产量螺纹周产量 图图3535：MysteelMysteel线材周产量线材周产量 2202402602803003203403603804000101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 螺纹周产量2016201720182019 901001101201301401501601700101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 线材周产量2016201720182019 数据来源：银河期货、Mysteel 10/27 钢铁事业部 黑色金属研发报告 图图3636：MysteelMysteel热卷周产量热卷周产量 图图3737：MysteelMysteel冷轧周产量冷轧周产量 2802903003103203303403500101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 热卷周产量2016201720182019 707274767880828486880101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 冷轧周产量2016201720182019 数据来源：银河期货、Mysteel 图图 38：Mysteel 中板周产量中板周产量 图图 39：Mysteel 五大品种五大品种钢材周度总产量钢材周度总产量 951001051101151201251301350101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 中板周产量2016201720182019 800850900950100010500101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel 五大品种钢材周度总产量2016201720182019 数据来源：银河期货、Mysteel 图图4040：MysteelMysteel周度螺纹厂库周度螺纹厂库 图图4141：MysteelMysteel周度线材厂库周度线材厂库 1502002503003504000101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度螺纹厂库2016201720182019 304050607080901001101201300101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度线材厂库2016201720182019 数据来源：银河期货、Mysteel 11/27 钢铁事业部 黑色金属研发报告 图图4242：MysteelMysteel周度热卷厂库周度热卷厂库 图图4343：MysteelMysteel周度冷轧厂库周度冷轧厂库 7080901001101201301400101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度热卷厂库2016201720182019 2025303540455055600101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度冷轧厂库2016201720182019 数据来源：银河期货、Mysteel 图图4444：MysteelMysteel周度中厚板厂库周度中厚板厂库 图图4545：MysteelMysteel周度五大品种钢材厂库总库存周度五大品种钢材厂库总库存 5560657075808590951000101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度中板厂库2016201720182019 3003504004505005506006507007508000101011401270209022203070320040204150428051105240607062007030716072908110824090609191002101510281110112312061219Mysteel周度五大品种钢材厂库总库存2016201720182019 数据来源：银河期货、Mysteel 图图4646：MysMysteelteel螺纹社会库存螺纹社会库存 图图4747：MysteelMysteel螺纹社库环比变化量螺纹社库环比变化量 250350450550650750850950105011500101011301250206021803020314032604070419050105130525060606180630071207240805081708290910092210041016102811091121120312151227Mysteel螺纹社会库存20152016201720182019-100-500501001502002503000101011301250206021803020314032604070419050105130525060606180630071207240805081708290910092210041016102811091121120312151227螺纹社会库存环比变化量2013201420152016201720182019 数据来源：银河期货、Mysteel 12/27 钢铁事业部 黑色金属研发报告 图图4848：MysteelMysteel线材社会库存线材社会库存 图图4949：MysteelMysteel线材社库环比变线材社库环比变化量化量 501001502002503003504000101011301250206021803020314032604070419050105130525060606180630071207240805081708290910092210041016102811091121120312151227Mysteel线材社会库存2013201420152016201720182019-35-155254565851050101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227线材社会库存环比变化量20122013201420152016201720182019 数据来源：银河期货、Mysteel 图图5050：MysteelMysteel热卷社会库存热卷社会库存 图图5151：MysteelMysteel热卷社库环比变化量热卷社库环比变化量 1001502002503003504004505005506000101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227Mysteel热卷社会库存20122013201420152016201720182019-25-15-55152535450101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227热卷社会库存环比变化量20122013201420152016201720182019 数据来源：银河期货、Mysteel 图图5252：MysteelMysteel冷轧社会库存冷轧社会库存 图图5353：MysteelMysteel冷轧社库环比变化量冷轧社库环比变化量 1001101201301401501601701800101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227Mysteel冷轧社会库存20122013201420152016201720182019-10-50510152025300101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227冷轧社会库存环比变化量20122013201420152016201720182019 数据来源：银河期货、Mysteel 13/27 钢铁事业部 黑色金属研发报告 图图5454：MysteelMysteel中厚板社会库存中厚板社会库存 图图5555：MysteelMysteel中厚板社库环比变化量中厚板社库环比变化量 70901101301501700101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227Mysteel中厚板社会库存20122013201420152016201720182019-5-3-11357911130101011101210131021002200302031203220401041104210501051105210531061006200630071007200730080908190829090809180928100810181028110711171127120712171227中厚板社会库存环比变化量20122013201420152016201720182019 数据来源：银河期货、Mysteel 图图5656：MysteelMysteel五大品种钢材社会库存五大品种钢材社会库存 700900110013001500170019002100230025000101011301250206021803020314032604070419050105130525060606180630071207240805081708290910092210041016102811091121120312151227Mysteel五大品种钢材社会库存2013201420152016201720182019 数据来源：银河期货、Mysteel 14/27 钢铁事业部 黑色金属研发报告 铁矿铁矿 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