宝城期货品种套利数据日报-20250516

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the provided report. 2. Report's Core View The report is a daily data report on commodity arbitrage from Baocheng Futures on May 16, 2025, presenting the basis, inter - period spreads, and inter - commodity spreads of various commodities in multiple sectors including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. 3. Summary by Directory 3.1 Power Coal - The basis of power coal on May 15, 2025, was - 187.4 yuan/ton, showing a continuous decline compared to previous days [2]. - The 5 - month to 1 - month, 9 - month to 1 - month, and 9 - month to 5 - month spreads were all 0.0 [2]. 3.2 Energy Chemicals - Energy Commodities - For crude oil, the basis is presented through a graph, with the basis calculated as the difference between the spot price of Chinese Shengli crude oil and the closing price of the active contract of INE crude oil [6]. - For fuel oil, the basis is shown as the difference between the FOB Singapore spot price and the closing price of the active contract of fuel oil [7]. - The ratio of crude oil to asphalt on May 15, 2025, was 0.1386 [9]. - Chemical Commodities - The basis of various chemical commodities such as natural rubber, methanol, PTA, LLDPE, and PP on different dates from May 9 to May 15, 2025, is provided. For example, the basis of natural rubber on May 15 was - 90 yuan/ton [10]. - The inter - period spreads (5 - month to 1 - month, 9 - month to 1 - month, 9 - month to 5 - month) and inter - commodity spreads (e.g., LLDPE - PVC, LLDPE - PP) of chemical commodities are also given [10]. 3.3 Black Metals - Basis - The basis of rebar, iron ore, coke, and coking coal on different dates from May 9 to May 15, 2025, is presented. For example, the basis of rebar on May 15 was 102.0 yuan/ton [15]. - Inter - period Spreads - The inter - period spreads of rebar (5 - month to 1 - month, 10 - month to 1 - month, 10 - month to 5 - month) and other black metals are provided [15]. - Inter - commodity Ratios and Spreads - Ratios such as rebar to iron ore, rebar to coke, coke to coking coal, and spreads like rebar - hot rolled coil on different dates are given [15]. 3.4 Non - ferrous Metals - Domestic Market - The basis of copper, aluminum, zinc, lead, nickel, and tin in the domestic market on different dates from May 9 to May 15, 2025, is provided. For example, the basis of copper on May 15 was 980 yuan/ton [24]. - London Market - Information about LME non - ferrous metals including LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profits and losses for copper, aluminum, zinc, lead, nickel, and tin on May 15, 2025, is presented. For example, the LME spread of copper was 39.74, and the import loss was - 318.78 yuan/ton [30]. 3.5 Agricultural Products - Basis - The basis of soybeans (No. 1 and No. 2), soybean meal, soybean oil, and other agricultural products on different dates from May 9 to May 15, 2025, is given. For example, the basis of soybean No. 1 on May 15 was - 232 yuan/ton [39]. - Inter - period Spreads - The inter - period spreads of various agricultural products are provided, such as the 5 - month to 1 - month, 9 - month to 1 - month, and 9 - month to 5 - month spreads of soybeans, soybean meal, etc. [39]. - Inter - commodity Spreads - Ratios and spreads like soybean No. 1 to corn, soybean oil to soybean meal, and soybean meal - rapeseed meal on different dates are presented [37]. 3.6 Stock Index Futures - Basis - The basis of CSI 300, SSE 50, CSI 500, and CSI 1000 on different dates from May 9 to May 15, 2025, is provided. For example, the basis of CSI 300 on May 15 was 34.40 [47]. - Inter - period Spreads - The inter - period spreads (e.g., next month - current month, current quarter - current month) of CSI 300, SSE 50, CSI 500, and CSI 1000 are given [47].