宝城期货品种套利数据日报（2026年1月27日）-20260127

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Report Core View The report presents the arbitrage data of various futures varieties on January 27, 2026, including basis, inter - month spreads, and inter - commodity spreads of power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to offer data references for investors [1][5][20][26][35][47]. 3. Summary by Directory 3.1 Power Coal - Basis and Inter - month Spreads: The basis on January 26, 2026, was - 116 yuan/ton, consistent with January 23 and 22, and slightly different from January 21 (- 115 yuan/ton) and January 20 (- 112 yuan/ton). The 5 - 1 and 9 - 1, 9 - 5 inter - month spreads remained at zero during this period [2]. 3.2 Energy Chemicals 3.2.1 Energy Commodities - Basis and Ratios: For example, on January 26, 2026, the basis of fuel oil was - 4.21 yuan/ton, and the ratio of crude oil to asphalt was 0.1395. Different energy commodities had different basis and ratio values on different dates [7]. 3.2.2 Chemical Commodities - Inter - month Spreads: For rubber, the 5 - 1 inter - month spread was - 595 yuan/ton, the 9 - 1 was - 670 yuan/ton, and the 9 - 5 was - 75 yuan/ton. Different chemical products had different inter - month spread values [9]. - Inter - commodity Spreads: On January 26, 2026, the LLDPE - PVC spread was 1977 yuan/ton, and the LLDPE - PP spread was 209 yuan/ton. These spreads changed on different dates [9]. - Basis: The basis of different chemical products such as rubber, methanol, etc., varied on different dates. For example, the basis of rubber on January 26, 2026, was - 280 yuan/ton [10]. 3.3 Black Metals - Inter - month Spreads: For rebar, the 5 - 1 inter - month spread was - 74 yuan/ton, the 9(10) - 1 was - 24 yuan/ton, and the 9(10) - 5 was 50 yuan/ton. Different black metal products had different inter - month spread values [19]. - Inter - commodity Spreads: On January 26, 2026, the ratio of rebar to iron ore was 3.98, and the rebar - hot - rolled coil spread was - 158 yuan/ton. These spreads changed on different dates [19]. - Basis: The basis of rebar, iron ore, coke, and coking coal varied on different dates. For example, the basis of rebar on January 26, 2026, was 147 yuan/ton [20]. 3.4 Non - ferrous Metals 3.4.1 Domestic Market - Basis: The basis of copper, aluminum, zinc, lead, nickel, and tin in the domestic market varied on different dates. For example, the basis of copper on January 26, 2026, was 220 yuan/ton [27]. 3.4.2 London Market - LME Premiums and Discounts, Shanghai - London Ratios, Import Profits and Losses: On January 23, 2026, the LME premium/discount of copper was 66.06, the Shanghai - London ratio was 7.85, and the import loss was 638.66. Different non - ferrous metals had different values in these aspects [31]. 3.5 Agricultural Products - Basis: The basis of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn varied on different dates. For example, the basis of soybeans No.1 on January 26, 2026, was - 224 yuan/ton [35]. - Inter - month Spreads: For soybeans No.1, the 5 - 1 inter - month spread was - 29 yuan/ton, the 9 - 1 was - 3 yuan/ton, and the 9 - 5 was 26 yuan/ton. Different agricultural products had different inter - month spread values [35]. - Inter - commodity Spreads: On January 26, 2026, the ratio of soybeans No.1 to corn was 1.91, and the soybean meal - rapeseed meal spread was 505 yuan/ton. These spreads changed on different dates [35]. 3.6 Stock Index Futures - Basis: The basis of CSI 300, SSE 50, CSI 500, and CSI 1000 varied on different dates. For example, the basis of CSI 300 on January 26, 2026, was - 68.03 [47]. - Inter - month Spreads: The spreads between the next - month and the current - month, and the next - quarter and the current - quarter contracts of different stock index futures varied. For example, for CSI 300, the next - month minus the current - month spread was - 12.4 [47].