金 融 期 货 研 究 2026 年 3 月 5 日 期货研究 | | | 毛磊 | | | 投资咨询从业资格号：Z0011222 | | maolei@gtht.com | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 【期指期现数据跟踪】 | | | | | | | | | | 期指数据 | | | | | | | | | | | 收盘价 | 涨跌幅% | 基 差 | 成交额-亿 | 成交量 | 变 动 | 持仓量 | 变 动 | | 沪深300 | 4602.62 | ↓1.14 | | 6089.2 | | | | | | IF2603 | 4591 | ↓1.16 | -11.62 | 1215.9 | 88154 | ↓18914 | 140207 | ↓5696 | | IF2604 | 4580.4 | ↓1.19 | -22.22 | 86.1 | 6258 | ↓949 | 7968 | ↑846 | | IF2606 | 4540 | ↓1.28 | -62.62 | 434.3 | 31815 | ↓5482 | ...

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货品种套利数据日报（2026 年 3 月 3 日） 一、动力煤 | 商品 | | 动力煤 （元/吨） | | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2026/03/02 | -48.4 | 0.0 | 0.0 | 0.0 | | 2026/02/27 | -56.4 | 0.0 | 0.0 | 0.0 | | 2026/02/26 | -62.4 | 0.0 | 0.0 | 0.0 | | 2026/02/25 | -69.4 | 0.0 | 0.0 | 0.0 | | 2026/02/24 | -74.4 | 0.0 | 0.0 | 0.0 | www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙楼1-5层 期货研究报告 www.bcqhgs.com 2 杭州市求是路8号公元大厦东南裙楼1-5层 期货研究报告 二、能源化工 www.bcqhgs.com 3 杭州市求是路8号公元大厦东南裙楼1-5层 2026/03/02 ...

| 项目类别 | 数据指标 | 最新 | 环比 数据指标 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | | IF主力合约（2603） IH主力合约（2603） | 4711.2 3045.8 | +3.2↑ IF次主力合约（2606） +2.4↑ IH次主力合约（2606） | 4665.2 3038.4 | -3.0↓ -0.4↓ | | | IC主力合约（2603） | 8627.0 | -6.0↓ IC次主力合约（2606） | 8502.0 | -10.0↓ | | | IM主力合约（2603） | 8423.8 | -97.8↓ IM次主力合约（2606） | 8230.6 | -94.0↓ | | | IF-IH当月合约价差 | 1665.4 | -3.0↓ IC-IF当月合约价差 | 3915.8 | -15.8↓ | | 期货盘面 | IM-IC当月合约价差 | -203.2 | -89.2↓ IC-IH当月合约价差 | 5581.2 | -18.8↓ | | | IM-IF当月合约价差 | 3712.6 | -105.0↓ IM-IH ...

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货品种套利数据日报（2026 年 3 月 2 日） 一、动力煤 | 商品 | | 动力煤 | （元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2026/02/27 | -56.4 | 0.0 | 0.0 | 0.0 | | 2026/02/26 | -62.4 | 0.0 | 0.0 | 0.0 | | 2026/02/25 | -69.4 | 0.0 | 0.0 | 0.0 | | 2026/02/24 | -74.4 | 0.0 | 0.0 | 0.0 | | 2026/02/13 | -83.4 | 0.0 | 0.0 | 0.0 | www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙楼1-5层 期货研究报告 二、能源化工 www.bcqhgs.com 2 杭州市求是路8号公元大厦东南裙楼1-5层 2026/02/27 2026/02/26 2026/02/25 2026/02/24 2026/02/13 2 ...

图为商品期货主连合约资金流向（亿元） 单品种看，昨日资金主要流入的商品期货（主连合约）品种有铜、镍、锌、焦煤和碳酸锂，分别流入92.26 亿元、66.18 亿元、19.48 亿元、8.00 亿 元和7.17 亿元；主要流出的品种有白银、黄金、锡、螺纹钢和沥青，分别流出19.13 亿元、17.66 亿元、6.53 亿元、2.47 亿元和1.87 亿元。从主力合 约看，有色金属、化工、黑色和农产品板块呈流入状态，金融板块呈流出状态。 整体看，昨日受主力合约换月影响商品期货（主连合约）资金呈大幅流入状态。化工和有色金属板块呈大幅流入状态，重点关注流入较多的铜、 镍、碳酸锂和甲醇，同时关注逆势流出的白银、黄金、锡和原油。黑色和农产品板块呈中幅流入状态，重点关注流入较多的焦煤、棉花和白糖，同 时关注逆势流出的螺纹钢和菜油。金融板块重点关注中证1000股指期货和30年期国债期货。（徽商期货 方正） 图为商品期货资金流入前十名（亿元） 图为商品期货资金流出前十名（亿元） 图为板块资金流入额（亿元） 图为金融期货主连合约资金流向（亿元） ...

Report Industry Investment Rating No information provided in the report. Core Viewpoint The report is a daily report on futures variety arbitrage data, presenting the basis, inter - period spreads, and inter - variety spreads of various futures varieties on different dates, which helps investors understand the price relationships and market conditions of different futures varieties. Summary by Directory 1.动力煤 - The basis values of thermal coal on different dates from February 12 to February 26, 2026 are - 90.4, - 83.4, - 74.4, - 69.4, - 62.4 respectively, and the 5 - month to 1 - month, 9 - month to 1 - month, and 9 - month to 5 - month spreads are all 0.0 [1][2] 2.能源化工 (1) Energy Commodities - The basis values of fuel oil, INE crude oil, and the ratio of crude oil to asphalt on different dates from February 12 to February 26, 2026 are presented, such as the basis of INE crude oil on February 26 is 51.60 [7] (2) Chemical Commodities - **Basis**: The basis values of rubber, methanol, PTA, LLDPE, V, and PP on different dates from February 12 to February 26, 2026 are provided. For example, the basis of rubber on February 26 is - 175 [9] - **Inter - period spreads**: The 5 - month to 1 - month, 9 - month to 1 - month, and 9 - month to 5 - month spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For example, the 5 - month to 1 - month spread of rubber is - 475 [11] - **Inter - variety spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol on different dates from February 12 to February 26, 2026 are presented. For example, the LLDPE - PVC spread on February 26 is 1844 [11] 3.黑色 - **Basis**: The basis values of rebar, iron ore, coke, and coking coal on different dates from February 12 to February 26, 2026 are provided. For example, the basis of rebar on February 26 is 137.0 [21] - **Inter - period spreads**: The 5 - month to 1 - month, 9 - month (10) to 1 - month, and 9 - month (10) to 5 - month spreads of rebar, iron ore, coke, and coking coal are given. For example, the 5 - month to 1 - month spread of rebar is - 64.0 [20] - **Inter - variety spreads**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil on different dates from February 12 to February 26, 2026 are presented. For example, the rebar/iron ore ratio on February 26 is 4.10 [20] 4.有色金属 (1) Domestic Market - The domestic basis values of copper, aluminum, zinc, lead, nickel, and tin on different dates from February 12 to February 26, 2026 are provided. For example, the basis of copper on February 26 is - 1010 [30] (2) London Market - The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss of copper, aluminum, zinc, lead, nickel, and tin on February 26, 2026 are presented. For example, the LME spread of copper is (69.53) [35] 5.农产品 - **Basis**: The basis values of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn on different dates from February 12 to February 26, 2026 are provided. For example, the basis of soybeans No.1 on February 26 is - 542 [41] - **Inter - period spreads**: The 5 - month to 1 - month, 9 - month to 1 - month, and 9 - month to 5 - month spreads of soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are given. For example, the 5 - month to 1 - month spread of soybeans No.1 is - 21 [41] - **Inter - variety spreads**: 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 February 12 to February 26, 2026 are presented. For example, the soybeans No.1/corn ratio on February 26 is 2.00 [41] 6.股指期货 - **Basis**: The basis values of CSI 300, SSE 50, CSI 500, and CSI 1000 on different dates from February 12 to February 26, 2026 are provided. For example, the basis of CSI 300 on February 26 is - 1.44 [53] - **Inter - period spreads**: The spreads of the next - month to the current - month and the next - quarter to the current - quarter of CSI 300, SSE 50, CSI 500, and CSI 1000 are given. For example, the next - month to the current - month spread of CSI 300 is - 6.6 [51]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents the daily arbitrage data of various futures varieties on February 26, 2026, including basis, inter - month spreads, and inter - commodity spreads for different sectors such as power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. 3. Summary by Category Power Coal - **Basis Data**: The basis of power coal on February 25, 2026, was - 69.4 yuan/ton, improving from - 74.4 yuan/ton on February 24 and - 90.4 yuan/ton on February 12. The spreads of 5 - 1, 9 - 1, and 9 - 5 months were all 0.0 [2]. Energy Chemicals - **Energy Commodities**: For fuel oil, the basis on February 25 was - 2.96 yuan/ton. The ratio of crude oil to asphalt and other relevant data are also presented, with the ratio on February 25 being 0.1420 [8]. - **Chemical Commodities**: - **Basis**: On February 25, the basis of rubber was - 140 yuan/ton, methanol was 6 yuan/ton, PTA was - 52 yuan/ton, LLDPE was 223 yuan/ton, V was - 223 yuan/ton, and PP was - 10 yuan/ton [10]. - **Inter - month Spreads**: For example, the 5 - 1 month spread of rubber was - 480 yuan/ton, and the 9 - 1 month spread of methanol was - 48 yuan/ton [12]. - **Inter - commodity Spreads**: On February 25, the spread of LLDPE - PVC was 1842 yuan/ton, and LLDPE - PP was 66 yuan/ton [12]. Black Metals - **Inter - month Spreads**: The 5 - 1 month spread of rebar was - 69.0 yuan/ton, and for iron ore, it was 29.0 yuan/ton. The 9(10) - 1 month spread of coke was - 83.0 yuan/ton [21]. - **Inter - commodity Spreads**: On February 25, the ratio of rebar to iron ore was 4.08, and the spread of rebar - hot rolled coil was - 158.0 yuan/ton [21]. - **Basis**: On February 25, the basis of rebar was 124.0 yuan/ton, iron ore was - 7.5 yuan/ton, coke was - 169.0 yuan/ton, and coking coal was 104.0 yuan/ton [22]. Non - ferrous Metals - **Domestic Market**: On February 25, the domestic basis of copper was - 160 yuan/ton, aluminum was - 475 yuan/ton, zinc was - 125 yuan/ton, lead was - 205 yuan/ton, nickel was 4340 yuan/ton, and tin was - 9160 yuan/ton [31]. - **London Market**: On February 25, the LME copper's LME spread was (76.52), the LME aluminum's was (20.40), and the import profit and loss of copper was (474.40) yuan/ton [36]. Agricultural Products - **Basis**: On February 25, the basis of soybeans No.1 was - 519 yuan/ton, soybeans No.2 was 120.45 yuan/ton, soybean meal was 269 yuan/ton, soybean oil was 452 yuan/ton, and corn was - 12 yuan/ton [42]. - **Inter - month Spreads**: The 5 - 1 month spread of soybeans No.1 was - 22 yuan/ton, and for soybean meal, it was - 165 yuan/ton [42]. - **Inter - commodity Spreads**: On February 25, the ratio of soybeans No.1 to corn was 2.00, and the spread of soybean meal - rapeseed meal was 512 yuan/ton [42]. Stock Index Futures - **Basis**: On February 25, the basis of CSI 300 was 21.31, SSE 50 was 4.49, CSI 500 was 28.77, and CSI 1000 was 14.35 [53]. - **Inter - month Spreads**: The spread of the next - month to the current - month contract of CSI 300 was - 14.0, and for the next - quarter to the current - quarter contract of CSI 1000 was - 180.0 [53].

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents the daily arbitrage data of various futures varieties on February 25, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to provide data support for market participants to understand the price differences and relationships between different varieties and different contract periods [1][5][21][27][41][52] 3. Summary by Directory 3.1 Power Coal - The report shows the basis data of power coal from February 10 to February 24, 2026. The basis values are - 102.4, - 96.4, - 90.4, - 83.4, and - 74.4 respectively, and the spreads of 5 - 1, 9 - 1, and 9 - 5 are all 0 [1][2] 3.2 Energy and Chemicals 3.2.1 Energy Commodities - The report provides the basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from February 10 to February 24, 2026, including basis values and price ratios [7] 3.2.2 Chemical Commodities - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from February 10 to February 24, 2026 are presented, showing different price differences between the spot and futures prices of each commodity [9] - **Inter - period spreads**: The inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given, reflecting the price differences between different contract periods [11] - **Inter - variety spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3 * methanol from February 10 to February 24, 2026 are provided, showing the price relationships between different chemical commodities [11] 3.3 Black Metals - **Inter - period spreads**: The inter - period spreads of 5 - 1, 9(10) - 1, and 9(10) - 5 for rebar, iron ore, coke, and coking coal are presented, with the main contracts of rebar being January, May, and October. The data shows the price differences between different contract periods of black metals [20] - **Inter - variety spreads**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from February 10 to February 24, 2026 are given, reflecting the price relationships between different black metal commodities [20] - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from February 10 to February 24, 2026 are provided, showing the price differences between the spot and futures prices of black metals [21] 3.4 Non - ferrous Metals 3.4.1 Domestic Market - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from February 10 to February 24, 2026 are presented, showing the price differences between the spot and futures prices of non - ferrous metals in the domestic market [30] 3.4.2 London Market - The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on February 24, 2026 are provided, reflecting the price relationships and import situations of non - ferrous metals in the London market [36] 3.5 Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from February 10 to February 24, 2026 are presented, showing the price differences between the spot and futures prices of agricultural products [42] - **Inter - period spreads**: The inter - period spreads of 5 - 1, 9 - 1, and 9 - 5 for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are given, reflecting the price differences between different contract periods of agricultural products [42] - **Inter - variety spreads**: 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 from February 10 to February 24, 2026 are provided, showing the price relationships between different agricultural products [42] 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from February 10 to February 24, 2026 are presented, showing the price differences between the spot and futures prices of stock index futures [53] - **Inter - period spreads**: The inter - period spreads of the next - month - current - month and next - quarter - current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are given, reflecting the price differences between different contract periods of stock index futures [53]

单品种看，昨日资金主要流入的商品期货（主连合约）品种有黄金、白银、碳酸锂、棉花和橡胶，分别流入48.84 亿元、26.28 亿元、26.17 亿元、17.77 亿元 和13.22 亿元；主要流出的品种有铜、铝、锡、纸浆和镍，分别流出11.20 亿元、4.49 亿元、2.34 亿元、2.05 亿元和1.97 亿元。从主力合约看，有色金属、化 工、农产品和黑色板块呈流入状态，金融板块呈流出状态。 图为金融期货主连合约资金流向（亿元） 整体看，昨日商品期货（主连合约）资金呈大幅流入状态。有色金属和化工板块呈大幅流入状态，重点关注流入较多的黄金、白银、碳酸锂、橡胶和原油， 同时关注逆势流出的铜、铝、锡、纸浆、镍和苯乙烯。黑色和农产品板块呈中幅流入状态，重点关注流入较多的棉花和焦煤，同时关注逆势流出的苹果和豆 一。金融板块重点关注中证1000股指期货和10年期国债期货。（徽商期货 方正） 图为商品期货资金流入前十名（亿元） 图为商品期货资金流出前十名（亿元） 图为商品期货主连合约资金流向（亿元） 图为板块资金流入额（亿元） ...

1. Report Summary - This is the Baocheng Futures variety arbitrage data daily report for February 24, 2026, covering multiple sectors including thermal coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1] 2. Thermal Coal - **Base Price Data**: From February 9 to February 13, 2026, the base price of thermal coal showed a trend of narrowing negative values, from -104.4 yuan/ton to -83.4 yuan/ton [2] 3. Energy Chemicals 3.1 Energy Commodities - **Base Price**: Data for fuel oil, crude oil, and asphalt base prices are provided from February 9 to February 13, 2026 [7] 3.2 Chemical Commodities - **Base Price**: Base price data for rubber, methanol, PTA, LLDPE, PVC, and PP from February 9 to February 13, 2026 are shown [9] - **Inter - period**: Inter - period data such as 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month for rubber, methanol and other chemicals are provided [10] - **Inter - variety**: Inter - variety data such as LLDPE - PVC, LLDPE - PP from February 9 to February 13, 2026 are presented [10] 4. Black Metals 4.1 Base Price - Base price data for rebar, iron ore, coke, and coking coal from February 9 to February 13, 2026 are given [21] 4.2 Inter - period - Inter - period data such as 5 - month minus 1 - month, 9(10) - month minus 1 - month, and 9(10) - month minus 5 - month for rebar, iron ore and other black metals are provided [20] 4.3 Inter - variety - Inter - variety data such as rebar/iron ore, rebar/coke from February 9 to February 13, 2026 are presented [20] 5. Non - Ferrous Metals 5.1 Domestic Market - Domestic base price data for copper, aluminum, zinc, lead, nickel, and tin from February 9 to February 13, 2026 are shown [29] 5.2 London Market - Data on LME non - ferrous metals, including LME premium/discount, Shanghai - London ratio, CIF, domestic spot price, and import profit/loss on February 13, 2026 are provided [34] 6. Agricultural Products 6.1 Base Price - Base price data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, and corn from February 9 to February 13, 2026 are given [41] 6.2 Inter - period - Inter - period data for soybeans No.1, soybeans No.2 and other agricultural products are provided [41] 6.3 Inter - variety - Inter - variety data such as soybeans No.1/corn, soybeans No.2/corn from February 9 to February 13, 2026 are presented [40][41] 7. Stock Index Futures 7.1 Base Price - Base price data for CSI 300, SSE 50, CSI 500, and CSI 1000 from February 9 to February 13, 2026 are given [54] 7.2 Inter - period - Inter - period data such as next - month minus current - month, next - quarter minus current - quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are provided [52]