中国铁矿石期货基差复盘

2025/11/28 More English Reports on【CITIC Futures International Service Platform】https://internationalservice.citicsf.com QualificationNo.F3023159从业资格号InvestmentconsultingNo.Z0013632投资咨询号 QualificationNo.F03123846从业资格号InvestmentconsultingNo.Z0019914投资咨询号 GuiChenxi桂晨曦CFAPhD XuKe徐轲 Summary 总结 PB Fines most active contract basis values mostly fall within the range of [0, 200] yuan/ton. The basis is highest when a new contract is first listed and gradually narrows to around zero as the delivery month approaches.There is an expectation for thebasis to strengthen in September, a peak season. Conversely, the basis tends to decline, typicallyat a faster pace during the off-season and invariably as the delivery month approaches.In the delivery month, thebasis for the September and January contracts is slightly higher than that of the May contract.When price spreads betweendifferent ore gradeswiden, the basis may deviate quickly from normal ranges. Risk control isessential. PB粉矿主力合约基差多数落在[0, 200]元/吨区间。新合约上市初期基差处于高位，随着交割月临近逐渐收敛至零值附近。9月旺季存在基差走强预期，而淡季期间基差往往加速回落，临近交割月时则必然收敛。在交割月内，9月与1月合约基差水平略高于5月合约。当不同矿石品位价差扩大时，基差可能快速脱离正常区间，需注意加强风险控制。 China Futures Research Framework 中国期货研究框架系列报告https://internationalservice.citicsf.com * Click on the hyperlink of report titles to read historical reports Energy & Chemicals能化 Macro Economy宏观 20240201 China Crude Oil Futures Framework中国原油期货研究框架20240619 China LPG Research Framework中国液化石油气研究框架20240202 China PTA Futures Framework中国PTA期货研究框架20240725 China LLDPE Research Framework中国塑料期货研究框架20250123 China Methanol Futures Framework中国甲醇期货研究框架20240920 China Urea Research Framework中国尿素期货投研框架20241009 China SCFIS(EUROPE) Research Framework中国集运指数研究框架 20240717 China Macro Economy Framework中国宏观经济研究框架20240814 US Macro Economy Framework美国宏观经济研究框架 Equity Index股指 20250724 Hang Seng Biotech Index Research Framework恒生生物科技指数研究框架20240130 China Equity Index Futures Framework中国股指期货研究框架20241119 H.K. Equity Index Futures Framework港股期货分析框架 National Bond国债 Agricultural Products农业 20240131 China Government Bond Futures Framework中国国债期货研究框架20241016 US Treasury Bond Research Framework美国国债研究框架 20250811 China Soybean Meal Research Framework中国豆粕期货研究框架20251015 China Soybean Oil Research Framework中国豆油期货研究框架20250425 China Rapeseed Meal Research Framework中国菜粕研究框架20250521 China Rapeseed Oil Research Framework中国菜油研究框架20250826 China Palm Oil Futures Research Framework中国棕榈油期货研究框架20240208 China Live Hog Futures Framework中国生猪期货研究框架20250425 China Corn Price Long-cycle Review中国玉米价格长周期复盘20250722 China Natural Rubber Research Framework中国天然橡胶期货研究框架 Exchange Rate汇率 20250124 Exchange Rate Analysis Framework汇率分析框架20250221 Long-Term Framework of The US Dollar Index美元指数长周期框架 Risk Management风险管理 20250924 China Steel Futures钢材期货/20250701 China Iron Ore Futures铁矿石期货20250618 China Plastic Futures塑料期货/China Freight & Fuel Oil Futures航运和船燃期货 Metals金属 Cross Border Arbitrage跨境套利 This report is not a service under the futures trading consulting business. The opinions and information provided are for reference only and do not constituteinvestment advice to anyone. CITIC Futures do not consider relevant personnel as client due to the attention, receipt, or reading of this report20240205 China Gold Futures Framework中国黄金期货研究框架20240206 China Copper Futures Framework中国铜期货研究框架20240207 China Iron Ore Futures Framework中国铁矿石期货研究框架20240808 China Steels Research Framework中国钢材产业研究框架20240618 China Lithium Research Framework中国锂产业研究框架20241209 Silicon Metal Research Framework工业硅研究框架 20251031 Metal钢材/20250912 Palm Oil棕油/20250325 Natural Rubber天然橡胶/20250116 Soybean豆类/20250115 Copper铜/20250114 Iron Ore铁矿石/20221104Crude Oil原油20240830 Statistical Regression Strategy Model中国期货跨境套利统计回归/20250731China Equity Index and ETF Options中国股指期权与ETF期权套利 目录CONTENT Concept 概念 2.1 Basis-related Concepts基差相关概念 ✓Basis = Adjusted SpotFuturesEquivalentPrice–Futures Price; Spread = Spot Price–Futures Price. ✓The divergence in spot-futures price movements arises from:(1) different pricing benchmarks—quality variation, regionaldifferences, trade and other fees, and transmission lags; (2) futures prices reflect both spot fundamentals and market expectations. ✓In this report,spot priceis defined as thelowest tax-included PB FINES price across all ports;futures priceis the DCE iron ore maincontract closing price forJanuary, May, and September. ✓If the delivery system is well-designed, futures and spot should converge at delivery, with basis near zero. However, multipledeliverable brands with varying quality cause basis to reflect both spot-futures spread and the price premium/discount between thespot brand and the lowest-cost deliverable. ✓During 2020–2021, a surge in export demand and domestic crude steel cuts led mills to favor high-grade ore, pushing inter-productspreads to record highs. The PB FINES basis in that period includes these product spreads and far exceeds other years. We exclude2021 data in our analysis to illustrate the normal seasonal p