黑色套利跟踪-20190613-信达期货-14页.pdf

类型品种配比06-1206-13类型品种配比06-1206-131:1-403-4101:12602661:1-293-3011:11551611:1-135.5-134.51:18079.51:1-96.5-90.51:141401:1-182.5-1861:152.551.51:1-26.4-22.41:110.46.81:1-46-461:1-156-1551:1-130#N/A2:15.366746 5.2272022:14.942408 4.8522072:14.742867 4.6950782:51.483301 1.4952452:51.511437 1.531317联系人：陈敏华投资咨询号：Z0012670跨期RB跨期RBRB05-RB10-474,817观望RB10-RB01-405,623黑色套利跟踪2019-06-13黑色套利跟踪2019-06-13系人：张鹏程 联系人：吕明执业资格证号：F3034110 执业资格证号：F3051847手机/微信同号：17816854143 电话：0571-28132639 邮箱： 邮箱：正套减持HCHCHC05-HC10-372,454观望HC10-HC01-116,410正套减持策略组合历史区间操作建议JM策略组合历史区间操作建议JMJM05-JM09-168.5,323.5观望JM09-JM01-228.5,122观望I II05-I09-24.5,125观望I09-I01-32,86.5观望ZCZCZC05-ZC09-39.2,107观望ZC09-ZC01-121.8,51.4观望J JJ05-J09-236,487.5观望J09-J01-228,267.5观望观望HC10-RB10-172,548多卷螺价差现货HC-RB-580,660观望煤焦比煤焦比J05/JM051.13,2.02观望J09/JM091.16,2.30观望观望螺矿比螺矿比RB05/I053.73,8.72观望RB10/I093.86,9.10观望现货RB/I3.33,9.17跨品种卷螺价差跨品种卷螺价差HC05-RB05-214,447第 1 页，共 14 页06-1306-13现货价格 期货价格基差405235265264052338267040523792260383034763543830333649438303637193862.9702161862.9647216862.9781.581142513656014251314.511114251405202200210010022001965.523522002151.549591582.49591566.824591589.225.31%黑色品种基差跟踪黑色品种基差跟踪基差率螺纹RB2001基差14.90%RB2005基差19.80%RB1910基差6.84%焦煤JM2001基差4.40%JM2005基差8.41%JM1909基差1.42%铁矿I2001基差22.93%I2005基差33.37%I1909基差10.42%热卷HC2001基差10.18%HC2005基差14.81%HC1910基差动力煤ZC2001基差1.48%ZC2005基差4.27%ZC1909基差0.31%焦炭J2001基差4.76%J2005基差11.93%J1909基差2.25%第 2 页，共 14 页跨期套利跟踪：螺纹钢跨期套利跟踪：螺纹钢-150-75075150225300375450525600675元元/吨吨螺纹钢跨期价差：螺纹钢跨期价差：RB10RB10-RB01RB01RB1410-RB1501RB1510-RB1601RB1610-RB1701RB1710-RB1801RB1810-RB1901RB1910-RB2001-150-75075150225300375450525600元元/吨吨螺纹钢跨期价差：螺纹钢跨期价差：RB01RB01-RB05RB05RB1501-RB1505RB1601-RB1605RB1701-RB1705RB1801-RB1805RB1901-RB1905RB2001-RB2005-200-1000100200300400500元元/吨吨螺纹钢跨期价差：螺纹钢跨期价差：RB05RB05-RB10RB10RB1405-RB1410RB1505-RB1510RB1605-RB1610RB1705-RB1710RB1805-RB1810RB1905-RB1910-300-150015030045060075090010501200135015001650元元/吨吨螺纹钢螺纹钢1010合约基差：上海合约基差：上海HRB400 HRB400 20mm20mmRB1410RB1510RB1610RB1710RB1810RB1910第 3 页，共 14 页跨期套利跟踪：热卷跨期套利跟踪：热卷-120-60060120180240300360420元元/吨吨热卷夸期价差：热卷夸期价差：HC10HC10-HC01HC01HC1410-HC1501HC1510-HC1601HC1610-HC1701HC1710-HC1801HC1810-HC1901HC1910-HC2001-150-75075150225300375450元元/吨吨热卷跨期价差：热卷跨期价差：HC01HC01-HC05HC05HC1501-HC1505HC1601-HC1605HC1701-HC1705HC1801-HC1805HC1901-HC1905HC2001-HC2005-150-100-50050100150200250300350400450500元元/吨吨热卷跨期价差：热卷跨期价差：HC05HC05-HC10HC10HC1505-HC1510HC1605-HC1610HC1705-HC1710HC1805-HC1810-200-1000100200300400500600700元元/吨吨热卷热卷1010合约基差：上海合约基差：上海Q235B 4.75mmQ235B 4.75mmHC1410HC1510HC1610HC1710HC1810HC1910第 4 页，共 14 页跨期套利跟踪：铁矿石跨期套利跟踪：铁矿石-20-100102030405060708090元元/吨吨铁矿跨期价差：铁矿跨期价差：I09I09-I01I01I1409-I1501I1509-I1601I1609-I1701I1709-I1801I1809-I1901I1909-I2001-40-20020406080100120元元/吨吨铁矿跨期价差：铁矿跨期价差：I01I01-I05I05I1501-I1505I1601-I1605I1701-I1705I1801-I1805I1901-I1905I2001-I2005-20020406080100元元/吨吨铁矿跨期价差：铁矿跨期价差：I05I05-I09I09I1505-I1509I1605-I1609I1705-I1709I1805-I1809I1905-I1909-40-20020406080100120140160180元元/吨吨铁矿铁矿0909合约基差：青岛港合约基差：青岛港61.5%PB61.5%PB粉粉矿矿I1409I1509I1609I1709I1809I1909第 5 页，共 14 页跨期套利跟踪：焦煤跨期套利跟踪：焦煤-80-60-40-20020406080100元元/吨吨焦煤跨期价差：焦煤跨期价差：JM09JM09-JM01JM01JM1409-JM1501JM1509-JM1601JM1609-JM1701JM1709-JM1801JM1809-JM1901JM1909-JM2001-80-4004080120160200240280320360400440元元/吨吨焦煤跨期价差：焦煤跨期价差：JM01JM01-JM05JM05JM1501-JM1505JM1601-JM1605JM1701-JM1705JM1801-JM1805JM1901-JM1905JM2001-JM2005-120-80-4004080120160200元元/吨吨焦煤跨期价差：焦煤跨期价差：JM05JM05-JM09JM09JM1405-JM1409JM1505-JM1509JM1605-JM1609JM1705-JM1709JM1805-JM1809JM1905-JM1909-120-60060120180240300360420480元元/吨吨焦煤焦煤0909合约基差：高硫混煤合约基差：高硫混煤JM1509JM1609JM1709JM1809JM1909第 6 页，共 14 页跨期套利跟踪：焦炭跨期套利跟踪：焦炭-90-60-300306090120150180元元/吨吨焦炭跨期价差：焦炭跨期价差：J09J09-J01J01J1409-J1501J1509-J1601J1609-J1701J1709-J1801J1809-J1901J1909-J2001-100-50050100150200250300350400450500550元元/吨吨焦炭跨期价差：焦炭跨期价差：J01J01-J05J05J1501-J1505J1601-J1605J1701-J1705J1801-J1805J1901-J1905J2001-J2005-100-50050100150200250300350400450元元/吨吨焦炭跨期价差：焦炭跨期价差：J05J05-J09J09J1405-J1409J1505-J1509J1605-J1609J1705-J1709J1805-J1809J1905-J1909-300-200-1000100200300400500600700800元元/吨吨焦炭焦炭0909合约基差：天津港准一级合约基差：天津港准一级J1409J1509J1609J1709J1809J1909第 7 页，共 14 页跨期套利跟踪：动力煤跨期套利跟踪：动力煤-60-50-40-30-20-100102030405060元元/吨吨动力煤跨期价差：动力煤跨期价差：ZC09ZC09-ZC01ZC01ZC1409-ZC1501ZC1509-ZC1601ZC1609-ZC1701ZC1709-ZC1801ZC1809-ZC1901ZC1909-ZC2001-100102030405060708090100元元/吨吨动力煤跨期价差：动力煤跨期价差：ZC01ZC01-ZC05ZC05ZC1501-ZC1505ZC1601-ZC1605ZC1701-ZC1705ZC1801-ZC1805ZC1901-ZC1905ZC2001-ZC2005-40-20020406080100120元元/吨吨动力煤跨期价差：动力煤跨期价差：ZC05ZC05-ZC09ZC09ZC1405-ZC1409ZC1505-ZC1509ZC1605-ZC1609ZC1705-ZC1709ZC1805-ZC1809ZC1905-ZC1909-60-300306090120150180元元/吨吨动力煤动力煤0909合约基差：秦皇岛港动力末合约基差：秦皇岛港动力末煤煤ZC1409ZC1509ZC1609ZC1709ZC1809ZC1909第 8 页，共 14 页跨品种套利跟踪：HC-RB跨品种套利跟踪：HC-RB-700-500-300-100100300500700900元元/吨吨热轧热轧-螺纹（现货）螺纹（现货）2013201420152016201720182019-300-200-1000100200300400500600元元/吨吨0101卷螺价差卷螺价差HC-RB1501HC-RB1601HC-RB1701HC-RB1801HC-RB1901HC-RB2001-300-100100300500元元/吨吨1010卷螺价差卷螺价差HC-RB1510HC-RB1610HC-RB1710HC-RB1810HC-RB1910-200-1000100200300400500元元/吨吨0505卷螺价差卷螺价差HC-RB1405HC-RB1505HC-RB1605HC-RB1705HC-RB1805HC-RB1905第 9 页，共 14 页跨品种套利跟踪：RB/I跨品种套利跟踪：RB/I345678910元元/吨吨螺纹螺纹/铁矿石（现货）铁矿石（现货）20132014201520162017201820193.854.354.855.355.856.356.857.357.858.358.859.35元元/吨吨螺矿比螺矿比RB10/I09RB10/I09RB1410/I1409RB1510/I1509RB1610/I1609RB1710/I1709RB1810/I1809RB1910/I19094.154.655.155.656.156.657.157.658.158.659.15元元/吨吨0101螺矿比螺矿比RB1501/I1501RB1601/I1601RB1701/I1701RB1801/I1801RB1901/I1901RB2001/I20014.354.855.355.856.356.857.357.858.358.85元元/吨吨0505螺矿比螺矿比RB1405/I1405RB1505/I1505RB1605/I1605RB1705/I1705RB1805/I1805RB1905/I1905第 10 页，共 14 页跨品种套利跟踪：J/JM跨品种套利跟踪：J/JM1.151.251.351.451.551.651.751.851.952.05元元/吨吨0909煤焦比煤焦比J/JM1409J/JM1509J/JM1609J/JM1709J/JM1809J/JM19091.151.251.351.451.551.651.751.851.952.05元元/吨吨0101煤焦比煤焦比J/JM1501J/JM1601J/JM1701J/JM1801J/JM1901J/JM20011.151.251.351.451.551.651.751.851.952.05元元/吨吨0505煤焦比煤焦比J/JM1405J/JM1505J/JM1605J/JM1705J/JM1805J/JM1905第 11 页，共 14 页第 12 页，共 14 页第 13 页，共 14 页第 14 页，共 14 页扫码关注：金融干货精选获取更多干货资料