宝城期货品种套利数据日报-20250828

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily arbitrage data for multiple futures varieties on August 28, 2025, including power coal, energy - chemical products, black metals, non - ferrous metals, agricultural products, and stock index futures, with data on basis, spreads between different contract months, and price ratios between different varieties [1][5][22][28][41][53]. 3. Summary by Directory 3.1 Power Coal - The basis data for power coal from August 21 to August 27, 2025 is presented, with the basis on August 27 being - 108.4 yuan/ton, showing a decreasing trend compared to previous days. The spreads of 5 - 1, 9 - 1, and 9 - 5 are all 0.0 [1][2]. 3.2 Energy and Chemical Products - Energy Commodities: Basis data for fuel oil, crude oil, and asphalt from August 21 to August 27, 2025 are provided, along with the price ratio of crude oil to asphalt. For example, on August 27, the basis of INE crude oil is 6.20 yuan/ton, and the price ratio of crude oil to asphalt is 0.1412 [7]. - Chemical Commodities: - Basis data for rubber, methanol, PTA, LLDPE, V, and PP from August 21 to August 27, 2025 are given. For instance, on August 27, the basis of rubber is - 860 yuan/ton [9]. - Spread data for different contract months (5 - 1, 9 - 1, 9 - 5) of rubber, methanol, PTA, etc. are presented. For example, the 5 - 1 spread of rubber is 75 yuan/ton [11]. - Price ratio data for different chemical products (LLDPE - PVC, LLDPE - PP, etc.) from August 21 to August 27, 2025 are shown. For example, on August 27, the LLDPE - PVC price ratio is 2399 yuan/ton [11]. 3.3 Black Metals - Basis: Basis data for螺纹钢, iron ore, coke, and coking coal from August 21 to August 27, 2025 are provided. For example, on August 27, the basis of螺纹钢 is 169.0 yuan/ton [21][22]. - Spread: Spread data for different contract months (5 - 1, 9(10) - 1, 9(10) - 5) of螺纹钢, iron ore, etc. are presented. For example, the 5 - 1 spread of螺纹钢 is 41.0 yuan/ton [21]. - Price Ratio: Price ratio data for different black metal products (螺/矿, 螺/焦炭, etc.) from August 21 to August 27, 2025 are shown. For example, on August 27, the螺/矿 price ratio is 4.01 [21]. 3.4 Non - Ferrous Metals - Domestic Market: Basis data for copper, aluminum, zinc, etc. from August 21 to August 27, 2025 are provided. For example, on August 27, the basis of copper is 280 yuan/ton [29]. - London Market: LME premium/discount, Shanghai - London price ratio, CIF price, domestic spot price, and import profit/loss data for copper, aluminum, etc. on August 27, 2025 are presented. For example, the LME premium/discount of copper is (89.93), and the Shanghai - London price ratio is 8.06 [36]. 3.5 Agricultural Products - Basis: Basis data for soybean No.1, soybean No.2, etc. from August 21 to August 27, 2025 are given. For example, on August 27, the basis of soybean No.1 is 125 yuan/ton [42]. - Spread: Spread data for different contract months (5 - 1, 9 - 1, 9 - 5) of soybean No.1, soybean No.2, etc. are presented. For example, the 5 - 1 spread of soybean No.1 is 46 yuan/ton [42]. - Price Ratio: Price ratio data for different agricultural products (豆一/玉米, 豆二/玉米, etc.) from August 21 to August 27, 2025 are shown. For example, on August 27, the 豆一/玉米 price ratio is 1.83 [42]. 3.6 Stock Index Futures - Basis: Basis data for CSI 300, SSE 50, CSI 500, and CSI 1000 from August 21 to August 27, 2025 are provided. For example, on August 27, the basis of CSI 300 is 2.13 [54]. - Spread: Spread data for different contract months (次月 - 当月, 次季 - 当季) of CSI 300, SSE 50, etc. are presented. For example, the 次月 - 当月 spread of CSI 300 is - 21.4 [56].