万达期货农产品套利日报

2010-8-12万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/A10093890381872.0086.083.74%-313287A1101/A10113932389042.0088.847.30%-361188A1103/A11013991393259.0095.761.68%-361188A1105/A11034037399146.00101.745.25%-131266A1107/A1105403740370.00102.60.00%-169203A1109-A110740254037(12.00)107.6-11.16%-424146A1111-A110940234025(2.00)113.7-1.76%-313287A1201-A11114041402318.00121.814.78%-313287A1101/A100939323818114.00151.5375.23%-361188A1105/A110140373932105.00162.864.48%-662201A1109-A110540254037(12.00)149.4-8.03%-509330A1201-A11094041402516.00178.58.96%-509330大连商品交易所豆油（元/吨）Y1009/Y10087808NANANANA-10821334Y1011/Y10097876780868.00165.541.09%-1236530Y1012/Y10117900787624.00105.022.85%-5561974Y1101/Y101280447900144.00125.9114.38%-2220594Y1103/Y11018134804490.00190.047.36%-11661128Y1105/Y11038146813412.00196.76.10%-11581030Y1107/Y1105NA8146NANANA-1048748Y1101/Y100980447808236.00317.074.45%-766726Y1105/Y110181468044102.00323.931.49%-1264336大连商品交易所豆粕（元/吨）M1009/M10083149NANANANA-356177M1011/M100931383149(11.00)68.3-16.10%-421110M1012/M1011314531387.0043.616.07%-458226M1101/M101231153145(30.00)36.4-82.32%-623135M1103/M110130523115(63.00)66.9-94.20%-538274M1105/M110330023052(50.00)83.2-60.11%-438250M1107/M11053014300212.0089.413.43%-194328M1101/M100931153149(34.00)119.5-28.46%-529229M1105/M110130023115(113.00)137.5-82.18%-775322大连商品交易所棕榈油（元/吨）P1009/P10086996NANANANA-400980P1010/P1009NA6996NANANA-1662320P1011/P10107000NANANANA-560500P1012/P101171647000164.00113.9143.99%-15102986P1101/P101270707164(94.00)100.3-93.73%-31681798P1102/P1101NA7070NANANA-3290746P1103/P11027264NANANANA-3224334P1104/P1103NA7264NANANA-6003046P1105/P11047298NANANANA-30001248P1106/P11057322729824.00127.118.89%-10463310P1107/P11067340732218.00131.213.72%-944776P1101/P10097070699674.00284.925.97%-766726P1105/P110172987070228.00218.6104.29%-200292大连商品交易所玉米（元/吨）C1011/C100919742009(35.0)59.65-58.68%-4489C1101/C101119631974(11.00)58.20-18.90%-6394C1103/C1101196819635.0060.538.26%-5377C1105/C11031997196829.0068.4742.35%-42174C1107/C1105200019973.069.44.32%-20119C1101/C100919682009(41.0)105.1-39.00%-73178C1105/C11011997196334.00113.729.92%-2161万达期货有限公司（总部） 总部市场部门 地址：郑州市郑东新区商务内环路27号楼 交易一部：0371-69106665 市场二部： 0371-69106616 2单元3层 交易二部：0371-65613575 市场三部： 0371-69106606 电话：0371-69106666 市场一部：0371-69106602 金融事业部：0371-69106595 乌鲁木齐营业部 长春营业部 地址：乌鲁木齐市新华北路90号金谷大厦七层 地址：长春市西安大路1688号新润天国际1807-1808室 电话：0991-6555111 0991-2306626 电话：0431-87069517 全疆免长途费客服电话：4006876999 上海营业部 大连营业部 地址：上海浦东新区松林路300号期货大厦 地址：大连市沙河口区会展路18号大连商品交易所东区 2803室 317室 电话：021-68400611 021-68400622 电话：0411-84806755 021-68402159 021-68402159 北京营业部 广州营业部 地址：北京市西城区德外大街123号德胜尚城 地址：广州市天河北路189号中国市长大厦1606室 G座2层 电话：010-59321087 电话：020-87550687 南宁营业部 温州营业部 地址：广西南宁市金湖路地王国际商会中心 地址：温州市人民东路浦发大楼2层 36层1室 电话：0771-5539418 电话：0577-88896360 昆明营业部 武汉营业部 地址：昆明市三市街6号柏联广场9楼 地址：武汉市江汉区台北一路26号环亚大厦B座1401室 909-910号 电话：0871-3613876 电话：027-85740699 兰州营业部 地址：兰州市城关区张掖路1号保利大厦14楼 1401、1402室 电话：0931-8461999 万达期货北京研究中心1 2010-8-12万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）WS1011/WS1009242223913153.1658.32%-135109WS1101/WS1011244624222455.5943.18%-3110WS1103/WS11012460244614.0057.5824.31%2124WS1105/WS1103250424604463.5669.23%3159WS1107/WS110524422504-6259.66-103.92%4189WS1109/WS1107252224428073.3109.15%4189WS1111/WS1109252625224.0066.66.01%5109WS1201/WS1111253825261270.617.00%-3110WS1101/WS1009244623915593.558.80%-84165郑州商品交易所硬麦（元/吨）WT1011/WT10092132193120161.213.28-202148WT1101/WT1011215421322243.1451.00%-202148WT1103/WT110121462154-841.80-19.14%-202148WT1105/WT110321512146544.370.11-168125WT1107/WT1105216221511144.4024.77%-18098郑州商品交易所菜油（元/吨）RO011/RO00986348504130148.8387.35%-1272384RO101/RO0118728863494153.1161.39%-1006598RO103/RO101NA8728NANANA-760362RO105/RO1038812NANANANA-12202238RO107/RO105NA8812NANANA-890414RO101/RO00987288504224268.9483.29%-1154488RO105/RO1018812872884271.9330.89%-1452410郑州商品交易所早籼稻（元/吨）ER1011-ER10092121206952.0059.287.82%432ER1101-ER10112168212147.0060.577.70%1118ER1103-ER11012184216816.0059.426.93%1118ER1105-ER11032237218453.0067.478.60%-860ER1107-ER1105224122374.0062.36.42%-2128ER1101-ER10092168206999.00104.394.95%78164郑州商品交易所棉花（元/吨）CF1011/CF10091703518590(1555.00)463.3-335.60%-2075365推荐反向CF1101/CF10111687017035(165.00)259.0-63.71%-925980推荐反向CF1103/CF11011706016870190.00270.070.38%-260500CF1105/CF11031728517060225.00291.377.23%-615850CF1107/CF11051743017285145.00316.245.86%-615850CF1101/CF10091687018590(1720.00)669.0-257.08%-24351325推荐反向郑州商品交易所白糖（元/吨）SR1011/SR100954495340109.00125.886.62%-243128SR1101/SR100952575340(83.00)166.2-49.93%-427582SR1103/SR110152555257(2.00)107.1-1.87%-154193SR1105/SR11015327525770.00188.837.08%-214301SR1109/SR11055409532782.00142.357.62%-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