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宝城期货品种套利数据日报-20250911
Bao Cheng Qi Huo·2025-09-11 01:44
  1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The report presents the daily arbitrage data of various futures varieties on September 11, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - variety spreads [1][5][21][27][41][53]. 3. Summary by Directory Power Coal - The basis of power coal on September 10, 2025, was - 126.4 yuan/ton, and the spreads of 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month were all 0.0 yuan/ton, remaining unchanged compared to the previous few days [2]. Energy Chemicals - Energy Commodities: For fuel oil, the basis on September 10, 2025, was 14.61 yuan/ton; for INE crude oil, the basis was 137.45 yuan/ton. The ratio of crude oil to asphalt on September 4 was 76.04, and it changed in the following days [7]. - Chemical Commodities - Basis: On September 10, 2025, the basis of rubber was - 930 yuan/ton, methanol was - 97 yuan/ton, PTA was - 68 yuan/ton, LLDPE was 124 yuan/ton, V was - 132 yuan/ton, and PP was - 48 yuan/ton [9]. - Inter - period Spreads: For example, the 5 - month minus 1 - month spread of rubber was 40 yuan/ton, and the 9 - month minus 1 - month spread was - 980 yuan/ton [11]. - Inter - variety Spreads: On September 10, 2025, the LLDPE - PVC spread was 2384 yuan/ton, LLDPE - PP was 282 yuan/ton, PP - PVC was 2102 yuan/ton, and PP - 3*methanol was - 258 yuan/ton [11]. Black Metals - Inter - period Spreads: For example, the 5 - month minus 1 - month spread of rebar was 46.0 yuan/ton, and the 9 - month(10) minus 1 - month spread was - 83.0 yuan/ton [20]. - Inter - variety Spreads: On September 10, 2025, the rebar/iron ore ratio was 3.88, rebar/coke was 1.9413, coke/coking coal was 1.4352, and rebar - hot rolled coil was - 227.0 yuan/ton [20]. - Basis: On September 10, 2025, the basis of rebar was 101.0 yuan/ton, iron ore was - 7.0 yuan/ton, coke was - 98.0 yuan/ton, and coking coal was 53.0 yuan/ton [21]. Non - ferrous Metals - Domestic Market: On September 10, 2025, the basis of copper was - 50 yuan/ton, aluminum was - 50 yuan/ton, zinc was - 115 yuan/ton, lead was - 115 yuan/ton, nickel was 860 yuan/ton, and tin was - 330 yuan/ton [28]. - London Market: On September 10, 2025, the LME copper's spread was (56.61), aluminum was 2.92, zinc was 23.01, lead was (44.17), nickel was (182.88), and tin was 27.00. The Shanghai - London ratios were 8.03 for copper, 7.92 for aluminum, 7.74 for zinc, 8.53 for lead, 7.97 for nickel, and 7.89 for tin. The import profit and loss for copper was (161.10) yuan/ton, aluminum was (1267.65) yuan/ton, zinc was (2588.01) yuan/ton, lead was 741.13 yuan/ton, nickel was 702.62 yuan/ton, and tin was (5849.65) yuan/ton [35]. Agricultural Products - Basis: On September 10, 2025, the basis of soybeans No.1 was 149 yuan/ton, soybeans No.2 was 335.52 yuan/ton, soybean meal was - 36 yuan/ton, soybean oil was 284 yuan/ton, and corn was 103 yuan/ton [42]. - Inter - period Spreads: For example, the 5 - month minus 1 - month spread of soybeans No.1 was 47 yuan/ton, and the 9 - month minus 1 - month spread was 104 yuan/ton [42]. - Inter - variety Spreads: On September 10, 2025, the ratio of soybeans No.1 to corn was 1.79, soybeans No.2 to corn was 1.69, soybean oil to soybean meal was 2.72, soybean meal - rapeseed meal was 522 yuan/ton, soybean oil - palm oil was - 1018 yuan/ton, rapeseed oil - soybean oil was 1501 yuan/ton, and corn - corn starch was - 292 yuan/ton [42]. Stock Index Futures - Basis: On September 10, 2025, the basis of CSI 300 was 12.96, SSE 50 was 1.79, CSI 500 was 68.71, and CSI 1000 was 79.17 [54]. - Inter - period Spreads: The spread of the next - month minus the current - month for CSI 300 was - 7.4, for SSE 50 was - 0.8, for CSI 500 was - 62.0, and for CSI 1000 was - 64.2. The spread of the next - quarter minus the current - quarter for CSI 300 was - 21.2, for SSE 50 was 2.6, for CSI 500 was - 153.4, and for CSI 1000 was - 187.6 [54].