宝城期货品种套利数据日报（2026年1月20日）-20260120

Report Summary 1. Reported Industry Investment Rating No investment rating provided in the report [1][5][21][27][38][48] 2. Core Viewpoint The report is a daily data report on futures variety arbitrage from Baocheng Futures on January 20, 2026, presenting basis, inter - period, and inter - variety data for multiple futures varieties [1] 3. Summary by Category 3.1 Power Coal - Basis: On January 19, 2026, the basis was - 108 yuan/ton, showing a slight change compared to previous days [2] - Inter - period Spread: The spreads of "5 - month - 1 - month", "9 - month - 1 - month", and "9 - month - 5 - month" were all 0 [2] 3.2 Energy and Chemicals 3.2.1 Energy Commodities - Basis: The basis data for fuel oil, crude oil, and asphalt on different dates from January 13 to January 19, 2026, were provided, such as the basis of INE crude oil being 1.71 on January 19 [7] - Price Ratio: The price ratio data of relevant energy commodities were presented, like the price ratio of crude oil to asphalt being 1.01 on January 19 [7] 3.2.2 Chemical Commodities - Inter - period Spread: For rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol, the inter - period spreads of "5 - month - 1 - month", "9 - month - 1 - month", and "9 - month - 5 - month" were given, e.g., the "5 - month - 1 - month" spread of rubber was - 635 yuan/ton [9] - Inter - variety Spread: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol on different dates from January 13 to January 19, 2026, were provided, such as the LLDPE - PVC spread being 1905 yuan/ton on January 19 [9] - Basis: The basis data of rubber, methanol, PTA, LLDPE, PVC, and PP on different dates from January 13 to January 19, 2026, were presented, like the rubber basis being - 45 yuan/ton on January 19 [10] 3.3 Black Metals - Inter - period Spread: For rebar, iron ore, coke, and coking coal, the inter - period spreads of "5 - month - 1 - month", "9 - month(10) - 1 - month", and "9 - month(10) - 5 - month" were given, e.g., the "5 - month - 1 - month" spread of rebar was - 79 yuan/ton [20] - Inter - variety Spread: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil on different dates from January 13 to January 19, 2026, were provided, such as the rebar/iron ore ratio being 3.95 on January 19 [20] - Basis: The basis data of rebar, iron ore, coke, and coking coal on different dates from January 13 to January 19, 2026, were presented, like the rebar basis being 140 yuan/ton on January 19 [21] 3.4 Non - ferrous Metals 3.4.1 Domestic Market - Basis: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin on different dates from January 13 to January 19, 2026, were provided, such as the copper basis being - 160 yuan/ton on January 19 [31] 3.4.2 London Market - LME Premium/Discount: The LME premium/discount data of copper, aluminum, zinc, lead, nickel, and tin on January 19, 2026, were given, e.g., the copper LME premium was 67.55 [34] - Shanghai - London Ratio: The Shanghai - London ratio data of relevant non - ferrous metals on January 19, 2026, were presented, like the copper Shanghai - London ratio being 7.83 [34] - CIF Price, Domestic Spot Price, and Import Profit/Loss: The CIF price, domestic spot price, and import profit/loss data of copper, aluminum, zinc, lead, nickel, and tin on January 19, 2026, were provided, such as the copper import loss being 1357.81 [34] 3.5 Agricultural Products - Basis: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn on different dates from January 13 to January 19, 2026, were presented, like the soybeans No.1 basis being - 161 yuan/ton on January 19 [38] - Inter - period Spread: For soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton, the inter - period spreads of "5 - month - 1 - month", "9 - month - 1 - month", and "9 - month - 5 - month" were given, e.g., the "5 - month - 1 - month" spread of soybeans No.1 was - 6 [38] - Inter - variety Spread: The inter - variety spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, and corn - corn starch on different dates from January 13 to January 19, 2026, were provided, such as the soybeans No.1/corn ratio being 1.89 on January 19 [38] 3.6 Stock Index Futures - Basis: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 on different dates from January 13 to January 19, 2026, were presented, like the CSI 300 basis being 5.86 on January 19 [49] - Inter - period Spread: For CSI 300, SSE 50, CSI 500, and CSI 1000, the inter - period spreads of "next - month - current - month" and "next - quarter - current - quarter" were given, e.g., the "next - month - current - month" spread of CSI 300 was - 46 [49]