生意社基差率分布监测(2022/03/23)
网友投稿• 2022-03-23 12:56:41 •阅读67
生意社定义:基差率=主力基差/现货价格×100%。据生意社对基差率10年以上的监测发现,较长周期内基差率符合正态分布,且具有以下的特征:
1、基差率变化有一定的趋势;
2、基差率放大到一定程度必然回归。
生意社测算了各商品期货的最新基差率,在不同周期内的分布(见以下各表)。基于正态分布理论:1σ外(表示基差率分布在平均值±1个标准差之外),投资机会较大;2σ外投资机会更大。
注:期货通订阅用户,可于交易日收盘后,查看最新的基差率分布。
2022-03-22基差率在6个月内的分布
商品名称 | 当日基差率 | 均值 | 分布 |
大豆(期) | -3.99% | -1.88% | |
玉米 | -4.80% | -1.10% | 1σ外 |
玉米淀粉 | 0.09% | 7.87% | 1σ外 |
苯乙烯 | -7.33% | 0.75% | 2σ外 |
乙二醇 | -0.61% | 1.17% | |
铁矿石(澳) | 16.04% | 15.67% | |
冶金焦 | -5.10% | -5.05% | |
鸡蛋 | 4.36% | 6.24% | |
炼焦煤 | 2.80% | 14.62% | |
LLDPE | -0.74% | 0.91% | |
生猪 | -10.30% | -1.33% | |
豆粕 | 18.52% | 11.29% | 2σ外 |
棕榈油(期) | 12.58% | 10.74% | |
液化气 | 8.88% | 7.66% | |
PP(拉丝) | 0.46% | -0.20% | |
PVC | -1.14% | 3.14% | |
大豆油 | 5.35% | 7.16% | |
皮棉 | 4.92% | 5.93% | |
棉纱32S | 6.89% | 7.52% | |
玻璃 | 2.42% | 10.27% | |
甲醇(期) | -6.03% | 0.04% | |
菜籽油 | 6.99% | 3.55% | 1σ外 |
涤纶短纤 | 1.88% | 3.11% | |
小麦 | 26.11% | 12.08% | 2σ外 |
菜籽粕 | -2.42% | 2.79% | 1σ外 |
油菜籽(期) | 1.37% | 1.55% | |
重质纯碱 | 12.65% | 12.54% | |
硅铁 | -3.05% | -1.72% | |
锰硅 | -1.71% | 0.58% | |
白糖 | -0.22% | -1.95% | |
PTA | 0.18% | -0.44% | |
尿素 | 3.66% | 5.58% | |
动力煤 | 6.07% | 22.92% | 1σ外 |
铜(期) | 0.52% | 0.66% | |
铝(期) | -1.07% | -0.36% | 1σ外 |
锌(期) | -0.27% | 1.35% | 1σ外 |
铅(期) | -0.36% | -0.06% | |
镍(期) | 2.35% | 1.79% | |
锡(期) | 1.91% | 2.56% | |
黄金 | -0.06% | -0.29% | |
白银 | -0.50% | -0.94% | |
螺纹钢 | -0.45% | 5.27% | 1σ外 |
线材 | -10.69% | 2.31% | 1σ外 |
热轧板卷 | -0.53% | 4.01% | 1σ外 |
不锈钢 | 2.17% | 5.13% | |
燃料油 | 37.38% | 44.43% | 1σ外 |
沥青 | 3.85% | 3.86% | |
天然橡胶 | -4.51% | -7.15% | 1σ外 |
针叶木浆 | -0.79% | 1.09% |
注:1σ外,表示基差率分布在平均值±1个标准差之外;
2σ外,表示基差率分布在平均值±2个标准差之外。
分布在1σ内的,则不予标记(即为空)。
2022-03-22基差率在1年内的分布
商品名称 | 当日基差率 | 均值 | 分布 |
大豆(期) | -3.99% | -1.84% | |
玉米 | -4.80% | 2.36% | 1σ外 |
玉米淀粉 | 0.09% | 8.90% | 2σ外 |
苯乙烯 | -7.33% | 2.18% | 2σ外 |
乙二醇 | -0.61% | 2.76% | |
铁矿石(澳) | 16.04% | 17.72% | |
冶金焦 | -5.10% | -4.84% | |
鸡蛋 | 4.36% | 0.66% | |
炼焦煤 | 2.80% | 6.22% | |
LLDPE | -0.74% | 1.40% | |
生猪 | -10.30% | -10.65% | |
豆粕 | 18.52% | 6.03% | 2σ外 |
棕榈油(期) | 12.58% | 10.55% | |
液化气 | 8.88% | 2.31% | |
PP(拉丝) | 0.46% | 0.38% | |
PVC | -1.14% | 2.36% | |
大豆油 | 5.35% | 7.31% | |
皮棉 | 4.92% | 3.78% | |
棉纱32S | 6.89% | 7.49% | |
玻璃 | 2.42% | 7.76% | |
甲醇(期) | -6.03% | -0.92% | |
菜籽油 | 6.99% | 4.21% | 1σ外 |
涤纶短纤 | 1.88% | 1.63% | |
小麦 | 26.11% | 6.77% | 2σ外 |
菜籽粕 | -2.42% | 1.27% | |
油菜籽(期) | 1.37% | 2.03% | |
重质纯碱 | 12.65% | 2.38% | |
硅铁 | -3.05% | -3.40% | |
锰硅 | -1.71% | -1.67% | |
白糖 | -0.22% | -0.90% | |
PTA | 0.18% | -0.41% | |
尿素 | 3.66% | 6.99% | |
动力煤 | 6.07% | 17.92% | 1σ外 |
铜(期) | 0.52% | 0.38% | |
铝(期) | -1.07% | -0.23% | 1σ外 |
锌(期) | -0.27% | 2.08% | 2σ外 |
铅(期) | -0.36% | 0.06% | |
镍(期) | 2.35% | 1.37% | |
锡(期) | 1.91% | 1.82% | |
黄金 | -0.06% | -0.32% | |
白银 | -0.50% | -1.11% | |
螺纹钢 | -0.45% | 0.66% | |
线材 | -10.69% | -1.68% | 1σ外 |
热轧板卷 | -0.53% | 2.84% | 1σ外 |
不锈钢 | 2.17% | 5.34% | |
燃料油 | 37.38% | 45.10% | 2σ外 |
沥青 | 3.85% | 4.31% | |
天然橡胶 | -4.51% | -6.20% | |
针叶木浆 | -0.79% | 1.76% |
2022-03-22基差率在3年内的分布
商品名称 | 当日基差率 | 均值 | 分布 |
大豆(期) | -3.99% | -0.88% | |
玉米 | -4.80% | -1.77% | |
玉米淀粉 | 0.09% | 7.38% | 1σ外 |
苯乙烯 | -7.33% | 0.56% | 1σ外 |
乙二醇 | -0.61% | 2.25% | |
铁矿石(澳) | 16.04% | 10.42% | |
冶金焦 | -5.10% | -7.26% | |
鸡蛋 | 4.36% | -3.13% | |
炼焦煤 | 2.80% | 9.49% | |
LLDPE | -0.74% | 1.94% | 1σ外 |
生猪 | -10.30% | -6.98% | |
豆粕 | 18.52% | 4.76% | 2σ外 |
棕榈油(期) | 12.58% | 5.84% | 1σ外 |
液化气 | 8.88% | -5.75% | 1σ外 |
PP(拉丝) | 0.46% | 2.87% | |
PVC | -1.14% | 1.97% | |
大豆油 | 5.35% | 4.03% | |
皮棉 | 4.92% | 2.36% | |
棉纱32S | 6.89% | 6.10% | |
玻璃 | 2.42% | 7.26% | |
甲醇(期) | -6.03% | -3.38% | |
菜籽油 | 6.99% | 5.17% | |
涤纶短纤 | 1.88% | -0.18% | |
小麦 | 26.11% | 5.01% | 2σ外 |
菜籽粕 | -2.42% | -0.05% | |
油菜籽(期) | 1.37% | 8.61% | |
重质纯碱 | 12.65% | 3.59% | |
硅铁 | -3.05% | -1.22% | |
锰硅 | -1.71% | -2.06% | |
白糖 | -0.22% | 3.60% | |
PTA | 0.18% | -0.07% | |
尿素 | 3.66% | 4.60% | |
动力煤 | 6.07% | 7.94% | |
铜(期) | 0.52% | 0.28% | |
铝(期) | -1.07% | 0.56% | 1σ外 |
锌(期) | -0.27% | 3.09% | 2σ外 |
铅(期) | -0.36% | 0.67% | 1σ外 |
镍(期) | 2.35% | 1.24% | |
锡(期) | 1.91% | 1.37% | |
黄金 | -0.06% | -0.54% | |
白银 | -0.50% | -1.09% | |
螺纹钢 | -0.45% | 1.88% | |
线材 | -10.69% | -2.43% | 1σ外 |
热轧板卷 | -0.53% | 3.92% | 1σ外 |
不锈钢 | 2.17% | 4.44% | |
燃料油 | 37.38% | 48.40% | 1σ外 |
沥青 | 3.85% | 3.85% | |
天然橡胶 | -4.51% | -5.35% | |
针叶木浆 | -0.79% | 0.01% |
2022-03-22基差率在5年内的分布
商品名称 | 当日基差率 | 均值 | 分布 |
大豆(期) | -3.99% | -0.27% | |
玉米 | -4.80% | -1.86% | |
玉米淀粉 | 0.09% | 7.95% | 1σ外 |
苯乙烯 | -7.33% | 0.56% | 1σ外 |
乙二醇 | -0.61% | 2.60% | |
铁矿石(澳) | 16.04% | 8.08% | 1σ外 |
冶金焦 | -5.10% | -4.86% | |
鸡蛋 | 4.36% | -6.47% | |
炼焦煤 | 2.80% | 11.51% | |
LLDPE | -0.74% | 2.15% | 1σ外 |
生猪 | -10.30% | -6.98% | |
豆粕 | 18.52% | 4.34% | 2σ外 |
棕榈油(期) | 12.58% | 4.23% | 1σ外 |
液化气 | 8.88% | -5.75% | 1σ外 |
PP(拉丝) | 0.46% | 2.31% | |
PVC | -1.14% | 0.84% | |
大豆油 | 5.35% | 1.95% | |
皮棉 | 4.92% | 2.00% | |
棉纱32S | 6.89% | 4.74% | |
玻璃 | 2.42% | 6.14% | |
甲醇(期) | -6.03% | -2.05% | |
菜籽油 | 6.99% | 2.76% | 1σ外 |
涤纶短纤 | 1.88% | -0.18% | |
小麦 | 26.11% | 3.01% | 2σ外 |
菜籽粕 | -2.42% | 1.33% | |
油菜籽(期) | 1.37% | 5.17% | |
重质纯碱 | 12.65% | 3.59% | |
硅铁 | -3.05% | -0.35% | |
锰硅 | -1.71% | 0.02% | |
白糖 | -0.22% | 4.32% | 1σ外 |
PTA | 0.18% | 1.05% | |
尿素 | 3.66% | 4.60% | |
动力煤 | 6.07% | 6.38% | |
铜(期) | 0.52% | 0.13% | |
铝(期) | -1.07% | -0.15% | |
锌(期) | -0.27% | 3.35% | 2σ外 |
铅(期) | -0.36% | 0.84% | 1σ外 |
镍(期) | 2.35% | 1.05% | |
锡(期) | 1.91% | 0.62% | |
黄金 | -0.06% | -0.68% | 1σ外 |
白银 | -0.50% | -1.32% | |
螺纹钢 | -0.45% | 4.03% | |
线材 | -10.69% | 6.41% | 1σ外 |
热轧板卷 | -0.53% | 4.72% | 1σ外 |
不锈钢 | 2.17% | 4.44% | |
燃料油 | 37.38% | 33.51% | |
沥青 | 3.85% | 5.41% | |
天然橡胶 | -4.51% | -7.19% | |
针叶木浆 | -0.79% | 0.63% |
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