万达期货农产品套利日报

2010-7-20万达期货农产品套利日报 万达期货农产品套利日报万达期货农产品套利日报万达期货农产品套利日报万达期货农产品套利日报远月价近月价最新价差持仓成本价差////持仓成本最低价差最高价差评级套利方向大连商品交易所大豆（元/吨）A1011/A10093,8353,78847.00 84.8 55.42%-313287A1101/A10113,8813,83546.00 90.7 50.73%-361188A1103/A11013,9213,88140.00 94.9 42.17%-361188A1105/A11033,9613,92140.00 102.0 39.20%-131266A1107/A11053,9323,961(29.00)100.1 -28.98%-169203A1109-A11073,9733,93241.00 114.2 35.91%-424146A1111-A11093,9603,973(13.00)113.5 -11.45%-313287A1201-A11113,9923,96032.00 124.4 25.73%-313287A1101/A10093,8813,78893.00 150.53 61.78%-361188A1105/A11013,9613,88180.00 160.8 49.74%-662201A1109-A11053,9733,96112.00 153.0 7.84%-509330A1201-A11093,9923,97319.00 179.5 10.59%-509330大连商品交易所豆油（元/吨）Y1009/Y10087,346NANANANA-10821334Y1011/Y10097,4087,34662.00 163.0 38.00%-1236530Y1012/Y1011NA7,408NANANA-5561974Y1101/Y10127,554NANANANA-2220594Y1103/Y11017,5267,554(28.00)175.0 -16.00%-11661128Y1105/Y11037,5227,526(4.00)185.0 -2.00%-11581030Y1107/Y11057,6187,52296.00 205.0 47.00%-1048748Y1101/Y10097,5547,346208.00 306.7 68.00%-766726Y1105/Y11017,5227,554(32.00)301.0 -11.00%-1264336大连商品交易所豆粕（元/吨）M1009/M10082,9682,9115743133.34%-356177M1011/M10092,9312,968(37.00)68.3 -54.15%-421110M1012/M10112,9632,93132.00 46.9 68.25%-458226M1101/M10122,9342,963(29.00)37.1 -78.07%-623135M1103/M11012,9252,934(9.00)66.8 -13.48%-538274M1105/M11032,9112,925(14.00)83.2 -16.82%-438250M1107/M11052,9202,9119.00 89.3 10.08%-194328M1101/M10092,9342,968(34.00)118.0 -28.81%-529229M1105/M11012,9112,934(23.00)135.5 -16.97%-775322大连商品交易所棕榈油（元/吨）P1009/P10086,4086,4026837.00%-400980P1010/P10096,5046,40896.00 96.0 100.00%-1662320P1011/P10106,4746,504(30.00)89.0 -34.00%-560500P1012/P10116,6006,474126.00 108.0 117.00%-15102986P1101/P10126,5266,600(74.00)98.0 -75.00%-31681798P1102/P1101NA6,526NANANA-3290746P1103/P11026,640NANANANA-3224334P1104/P11036,6966,64056.00 118.0 48.00%-6003046P1105/P11046,7006,6964.00 116.0 3.00%-30001248P1106/P1105NA6,700NANANA-10463310P1107/P11066,700NANANANA-944776P1101/P10096,5266,408118.00 279.6 42.00%-766726P1105/P11016,7006,526174.00 209.4 83.00%-200292大连商品交易所玉米（元/吨）C1011/C10091,9341,973(39.0)60.56 -64.39%-4389C1101/C10111,9321,934(2.00)59.01 -3.39%-6394C1103/C11011,9351,9323.00 61.16 4.91%-5377C1105/C11031,9621,93527.00 69.01 39.12%-42174C1107/C11051,9641,9622.0 70.0 2.86%-20119C1101/C10091,9351,973(38.0)105.7 -35.95%-73178C1105/C11011,9621,93230.00 113.7 26.37%-2161万达期货北京研究中心1 2010-7-20万达期货农产品套利日报远月价近月价最新价差持仓成本价差////持仓成本最低价差最高价差评级套利方向郑州商品交易所强麦（元/吨）WS1009/WS10072302NANANANA-29447WS1011/WS100923002302(2.00)49.20 -4.00%-135109WS1101/WS101123552300.00 55.00 58.40 94.00%-3110关注正向WS1103/WS110123452355(10.00)55.40 -18.00%2124WS1105/WS11032390234545.00 62.70 72.00%3159WS1107/WS110523352390-5558.7 -94.00%4189WS1109/WS11072394233559.00 69.7 85.00%4189WS1111/WS110923802394(14.00)64.5 -22.00%5109关注反向WS1101/WS10092355230253.00 92.8 57.00%-84165WS1101/WS10092304228915.00 91.3 16.00%-84165郑州商品交易所硬麦（元/吨）WT1009/WT10072018NANANANA-186288WT1011/WT10092110.00 201892.00 49.93 184.00%-202148WT1101/WT101121052110.00 (5.00)40.73 -12.00%-202148WT1103/WT11012115.00 210510.00 42.75 0.23 -202148WT1105/WT110320952115.00 (20.00)43.78 -46.00%-168125郑州商品交易所菜油（元/吨）RO011/RO0098,2808,23842137.00 31.00%-1272384RO101/RO0118,3648,28084.00 150.00 56.00%-1006598RO103/RO1018388.00 8,36424.00 152.00 0.16 -760362RO105/RO1038,3948388.00 6.00 157.00 0.04 -12202238RO107/RO1058532.00 8,394138.00 180.00 0.77 -890414RO101/RO0098,3648,238126254.00 50.00%-1154488RO105/RO1018,3948,36430260.0 12.00%-1452410郑州商品交易所早籼稻（元ER1009-ER10072057NANANANA25179ER1011-ER10092101205744.00 58.8 75.00%432ER1101-ER10112146210145.00 60.7 74.00%1118ER1103-ER11012157214611.00 59.2 19.00%1118ER1105-ER11032185215728.00 64.8 43.00%-860ER1101-ER10092146205789.00 104.0 86.00%78164ER1101-ER10092106204858.00 103.1 56.00%78164郑州商品交易所棉花（元/吨）CF1011/CF10091670518390(1685.00)467.9 -360.00%-880365推荐反向CF1101/CF10111632016705(385.00)261.0 -148.00%-925980推荐反向CF1103/CF11011649516320175.00 268.2 65.00%-260500推荐反向CF1105/CF11031666016495165.00 283.7 58.00%-615850CF1107/CF11051680016660140.00 313.2 45.00%-615850关注反向CF1101/CF10091632018390(2070.00)671.1 -308.00%-16051325推荐反向郑州商品交易所白糖（元/吨）SR1011/SR100952895299(10.00)113.0 -8.90%-243128SR1101/SR100950405299(259.00)168.7 -153.50%-427582SR1103/SR11015052504012.00 109.2 11.00%-154193SR1105/SR11015118504078.00 188.4 41.40%-214301SR1109/SR11055202511884.00 142.4 59.00%-116171所有价格为当日收盘价可操作性：1. 双边持仓在5000手以上，合约具备较好的流动性 2. 交割流程上不存在障碍，具备实现交割的基本条件评级：1. 推荐：概率分布上来看价差回归的概率达到90%以上；2. 关注：概率分布上来看价差回归的概率达到75% 注：推荐的前提是具备可操作性，评级完全基于概率分布特征，在具体操作中还需要对当前价差的变动原因以及可持续性进行评判把握套利的时机。套利方向：1.正向套利：买入近月合约同时卖出远月合约；2.反向套利：买入远月合约的同时卖出近月合约注：空白处为我们暂时不予关注的操作策略万达期货北京研究中心2 2010-7-20万达期货农产品套利日报信息披露本研究报告由万达期货有限公司北京研究中心撰写，仅为所服务的特定企业与机构的一般用途而准备，未经书面许可，任何机构和个人不得以任何形式翻版、复制、发布及分发研究报告的全部或部分给任何其他人士。如引用发布，需注明出处为万达期货有限公司北京研究中心，且不得对本报告进行有悖原意的引用、删节和修改。根据国际和行业通行的准则，本报告所引用的信息和数据均来自于公开资料及其他合法渠道，本研究中心力求报告内容和引用资料和数据的客观与公正，尽可能保证可靠、准确和完整，但并不保证报告所述信息的准确性和完整性。本研究中心将随时补充、更正和修订有关信息，但不保证及时发布。本研究报告中所提供的信息仅供参考