|
商品运行与资金流向跟踪 |
2010年1月20日（星期三） |
一、商品期货价格指数
以2009年10月9日为基期（指数=100）国内各商品指数折算成价格指数
二、 各品种价格变化
|
品种 |
上个交易日 |
今日 |
增减 |
增减率 |
|
橡胶 |
135.98 |
135.57 |
-0.41 |
-0.30% |
|
锌 |
133.30 |
132.24 |
-1.06 |
-0.79% |
|
PTA |
126.74 |
124.99 |
-1.75 |
-1.38% |
|
铜 |
126.39 |
124.97 |
-1.42 |
-1.12% |
|
螺纹 |
120.28 |
119.79 |
-0.49 |
-0.41% |
|
塑料 |
118.57 |
119.57 |
1.00 |
0.84% |
|
线材 |
119.49 |
119.09 |
-0.39 |
-0.33% |
|
铝 |
120.04 |
117.99 |
-2.06 |
-1.71% |
|
白糖 |
117.23 |
117.64 |
0.42 |
0.36% |
|
燃料 |
117.27 |
117.02 |
-0.26 |
-0.22% |
|
PVC |
116.38 |
115.88 |
-0.49 |
-0.42% |
|
棕榈油 |
117.66 |
115.20 |
-2.46 |
-2.09% |
|
棉花 |
114.04 |
112.09 |
-1.96 |
-1.72% |
|
黄金 |
110.05 |
109.61 |
-0.44 |
-0.40% |
|
玉米 |
109.55 |
109.25 |
-0.29 |
-0.27% |
|
大豆 |
109.70 |
108.17 |
-1.53 |
-1.40% |
|
菜籽油 |
108.92 |
107.32 |
-1.60 |
-1.47% |
|
豆油 |
108.25 |
106.49 |
-1.77 |
-1.63% |
|
豆粕 |
106.39 |
105.05 |
-1.33 |
-1.25% |
|
早籼稻 |
105.05 |
104.75 |
-0.30 |
-0.29% |
|
强麦 |
104.71 |
104.34 |
-0.37 |
-0.36% |
三、商品资金总量
各品种投入资金：各品种价格指数和持仓量及每手吨数，再乘以交易所保证金比例（价格指数由各品种所有合约按照持仓量加权平均计算产生）
四、品种资金变化情况
品种资金及其市场占比
|
|
上一交易日 |
今日 |
占比 |
日增幅 |
日增率 |
|
|
铜 |
7393854856 |
7709560043 |
20.19% |
315705187 |
4.27% |
|
|
螺纹 |
4570301189 |
4369374130 |
11.44% |
-200927059.2 |
-4.40% |
|
|
白糖 |
4479248928 |
4364035763 |
11.43% |
-115213165.2 |
-2.57% |
|
|
豆油 |
3976867440 |
3967158208 |
10.39% |
-9709232.4 |
-0.24% |
|
|
豆粕 |
3074031702 |
3117113126 |
8.16% |
43081424.4 |
1.40% |
|
|
橡胶 |
2360827824 |
2479977584 |
6.49% |
119149760 |
5.05% |
|
|
铝 |
2555128839 |
2458809108 |
6.44% |
-96319730.5 |
-3.77% |
|
|
锌 |
2020442011 |
2001580067 |
5.24% |
-18861943.8 |
-0.93% |
|
|
黄金 |
1451037504 |
1449348823 |
3.80% |
-1688681.4 |
-0.12% |
|
|
棕榈油 |
1489314432 |
1436183820 |
3.76% |
-53130611.8 |
-3.57% |
|
|
棉花 |
1326093718 |
1401919947 |
3.67% |
75826229.4 |
5.72% |
|
|
大豆 |
932442187.6 |
965636708.4 |
2.53% |
33194520.8 |
3.56% |
|
|
燃料油 |
605474355.2 |
598167916.8 |
1.57% |
-7306438.4 |
-1.21% |
|
|
PTA |
641217438 |
576254979 |
1.51% |
-64962459 |
-10.13% |
|
|
塑料 |
339619049 |
338654454.6 |
0.89% |
-964594.4 |
-0.28% |
|
|
玉米 |
284315622 |
274105818 |
0.72% |
-10209804 |
-3.59% |
|
|
菜籽油 |
191809531.2 |
193093303.2 |
0.51% |
1283772 |
0.67% |
|
|
PVC |
185661960 |
178961160 |
0.47% |
-6700800 |
-3.61% |
|
|
早籼稻 |
128938782 |
126854112 |
0.33% |
-2084670 |
-1.62% |
|
|
线材 |
89847654.4 |
89971728 |
0.24% |
124073.6 |
0.14% |
|
|
强麦 |
89615400 |
86575687.2 |
0.23% |
-3039712.8 |
-3.39% |
|
|
总资金 |
38186090421 |
38183336486 |
100% |
-2753935.7 |
-0.01% |
|
|
|
|
|
|
|
各品种资金市场占比及其变化
|
品种 |
上一交易日保证金占比 |
本交易日占比 |
保证金占比变化率 |
|
棉花 |
3.47% |
3.67% |
5.73% |
|
橡胶 |
6.18% |
6.49% |
5.05% |
|
铜 |
19.36% |
20.19% |
4.28% |
|
大豆 |
2.44% |
2.53% |
3.57% |
|
豆粕 |
8.05% |
8.16% |
1.41% |
|
菜籽油 |
0.50% |
0.51% |
0.68% |
|
线材 |
0.24% |
0.24% |
0.15% |
|
黄金 |
3.80% |
3.80% |
-0.11% |
|
豆油 |
10.41% |
10.39% |
-0.24% |
|
塑料 |
0.89% |
0.89% |
-0.28% |
|
锌 |
5.29% |
5.24% |
-0.93% |
|
燃料油 |
1.59% |
1.57% |
-1.20% |
|
早籼稻 |
0.34% |
0.33% |
-1.61% |
|
白糖 |
11.73% |
11.43% |
-2.57% |
|
强麦 |
0.23% |
0.23% |
-3.38% |
|
棕榈油 |
3.90% |
3.76% |
-3.56% |
|
玉米 |
0.74% |
0.72% |
-3.58% |
|
PVC |
0.49% |
0.47% |
-3.60% |
|
铝 |
6.69% |
6.44% |
-3.76% |
|
螺纹 |
11.97% |
11.44% |
-4.39% |
|
PTA |
1.68% |
1.51% |
-10.12% |
五、 各品种资金占比周变化情况
|
品种 |
上周四 |
上周五 |
周一 |
周二 |
今日 |
周涨跌幅 |
|
棕榈油 |
3.30% |
3.41% |
4.03% |
3.90% |
3.76% |
13.93% |
|
PTA |
1.33% |
1.17% |
1.51% |
1.68% |
1.51% |
13.87% |
|
塑料 |
0.78% |
0.70% |
0.85% |
0.89% |
0.89% |
13.69% |
|
大豆 |
2.29% |
2.35% |
2.41% |
2.44% |
2.53% |
10.29% |
|
铜 |
18.88% |
19.37% |
19.53% |
19.36% |
20.19% |
6.97% |
|
豆油 |
9.90% |
10.32% |
10.22% |
10.41% |
10.39% |
4.92% |
|
菜籽油 |
0.49% |
0.49% |
0.49% |
0.50% |
0.51% |
3.52% |
|
燃料油 |
1.52% |
1.46% |
1.56% |
1.59% |
1.57% |
2.98% |
|
早籼稻 |
0.33% |
0.33% |
0.33% |
0.34% |
0.33% |
1.65% |
|
黄金 |
3.77% |
3.68% |
3.73% |
3.80% |
3.80% |
0.79% |
|
豆粕 |
8.14% |
8.07% |
8.12% |
8.05% |
8.16% |
0.24% |
|
线材 |
0.24% |
0.24% |
0.23% |
0.24% |
0.24% |
-0.05% |
|
玉米 |
0.73% |
0.72% |
0.73% |
0.74% |
0.72% |
-0.99% |
|
棉花 |
3.72% |
3.65% |
3.50% |
3.47% |
3.67% |
-1.35% |
|
锌 |
5.36% |
5.38% |
5.02% |
5.29% |
5.24% |
-2.28% |
|
铝 |
6.60% |
6.75% |
6.59% |
6.69% |
6.44% |
-2.49% |
|
白糖 |
11.93% |
11.40% |
11.81% |
11.73% |
11.43% |
-4.20% |
|
强麦 |
0.24% |
0.24% |
0.24% |
0.23% |
0.23% |
-5.83% |
|
橡胶 |
7.03% |
7.13% |
5.94% |
6.18% |
6.49% |
-7.67% |
|
螺纹 |
12.81% |
12.55% |
12.64% |
11.97% |
11.44% |
-10.68% |
|
PVC |
0.61% |
0.61% |
0.51% |
0.49% |
0.47% |
-23.05% |
六、 各品种近期波动率一览
|
品种 |
上周三v |
上周四 |
上周五 |
周一 |
周二 |
今日 |
标准差 |
|
塑料 |
-3.93% |
2.63% |
-1.86% |
1.45% |
0.15% |
0.84% |
2.39% |
|
锌 |
-4.78% |
0.74% |
-0.71% |
0.56% |
2.05% |
-0.79% |
2.35% |
|
铝 |
-4.38% |
1.05% |
0.16% |
0.57% |
0.54% |
-1.71% |
2.07% |
|
橡胶 |
-2.18% |
1.54% |
-2.45% |
-0.98% |
2.61% |
-0.30% |
2.02% |
|
PTA |
-1.66% |
1.92% |
-1.22% |
2.79% |
0.19% |
-1.38% |
1.87% |
|
铜 |
-3.10% |
1.62% |
-0.38% |
0.59% |
1.29% |
-1.12% |
1.76% |
|
棕榈油 |
-3.42% |
1.41% |
-0.67% |
-0.29% |
0.38% |
-2.09% |
1.74% |
|
白糖 |
-3.21% |
1.16% |
-1.22% |
0.80% |
0.34% |
0.36% |
1.64% |
|
豆油 |
-2.95% |
0.76% |
-0.70% |
-0.57% |
0.34% |
-1.63% |
1.35% |
|
豆粕 |
-2.74% |
0.51% |
-0.03% |
0.51% |
0.24% |
-1.25% |
1.29% |
|
PVC |
-2.30% |
0.75% |
-0.44% |
1.22% |
-0.09% |
-0.42% |
1.22% |
|
黄金 |
-2.50% |
0.90% |
-0.30% |
-0.16% |
0.23% |
-0.40% |
1.15% |
|
菜籽油 |
-2.50% |
0.47% |
-0.45% |
-0.37% |
0.17% |
-1.47% |
1.11% |
|
棉花 |
-2.36% |
0.20% |
-0.73% |
0.19% |
0.05% |
-1.72% |
1.09% |
|
大豆 |
-2.24% |
0.25% |
-0.13% |
-0.15% |
0.25% |
-1.40% |
1.02% |
|
螺纹 |
-1.89% |
0.36% |
-1.31% |
0.64% |
-0.16% |
-0.41% |
0.97% |
|
燃料油 |
-1.60% |
0.70% |
-0.87% |
0.15% |
0.39% |
-0.22% |
0.86% |
|
线材 |
-1.41% |
0.38% |
-1.05% |
0.57% |
0.05% |
-0.33% |
0.79% |
|
玉米 |
-1.06% |
0.43% |
-0.21% |
0.27% |
0.00% |
-0.27% |
0.52% |
|
早籼稻 |
-0.99% |
0.19% |
-0.24% |
-0.05% |
0.14% |
-0.29% |
0.43% |
|
强麦 |
-0.71% |
0.13% |
-0.36% |
-0.13% |
0.22% |
-0.36% |
0.35% |
七、 品种间强弱关系对比
豆油vs.豆粕 30日价格相关系数：0.915
|
品种 |
当日资金增减幅度 |
一周资金增减幅度 |
资金比值 |
上一交易日价差：4526
今日价差：4441
上一交易日价格比：2.535
今日价格比：2.525 |
|
豆油 |
-0.24% |
9.89% |
一周前：1.161
今日：1.273 |
|
豆粕 |
1.40% |
0.72% |
豆油09vs.豆粕09
|
|
上周四 |
上周五 |
周一 |
周二 |
今天 |
|
豆油09收盘价 |
7552 |
7498 |
7456 |
7480 |
7358 |
|
豆粕09收盘价 |
2881 |
2886 |
2904 |
2910 |
2870 |
|
豆油09与豆粕09价差 |
4671 |
4612 |
4552 |
4570 |
4488 |
|
豆油09持仓量变化 |
39614 |
28090 |
-4128 |
13858 |
9242 |
|
豆粕09持仓量变化 |
18348 |
-30288 |
-2890 |
-3330 |
28698 |
|
豆油09资金变化 |
233319791.6 |
122031422.8 |
-42127621.2 |
84252716.8 |
-13017124.4 |
|
豆粕09资金变化 |
45800857.2 |
-57457580.6 |
7172432.4 |
-2446273.2 |
28834610 |
大豆vs.豆粕 30日价格相关系数：0.879
|
品种 |
当日资金增减幅度 |
一周资金增减幅度 |
资金比值 |
上一交易日价差：985
今日价差：967
上一交易日价格比：1.334
今日价格比：1.332 |
|
大豆 |
3.56% |
8.89% |
一周前：0.285
今日：0.310 |
|
豆粕 |
1.40% |
0.72% |
大豆09vs.豆粕09
|
|
上周四 |
上周五 |
周一 |
周二 |
今天 |
|
大豆09收盘价 |
3919 |
3915 |
3909 |
3919 |
3861 |
|
豆粕09收盘价 |
2881 |
2886 |
2904 |
2910 |
2870 |
|
大豆09与豆粕09价差 |
1038 |
1029 |
1005 |
1009 |
991 |
|
大豆09持仓量变化 |
-1466 |
5624 |
4208 |
4870 |
15886 |
|
豆粕09持仓量变化 |
18348 |
-30288 |
-2890 |
-3330 |
28698 |
|
大豆09资金变化 |
-2194915.8 |
14685972 |
10400829.6 |
15245195 |
31802491 |
|
豆粕09资金变化 |
45800857.2 |
-57457580.6 |
7172432.4 |
-2446273.2 |
28834610 |
八、 日内波动统计
|
品种 |
五天前 |
四天前 |
三天前 |
两天前 |
上个交易日 |
今日 |
近20个交易日收盘高于开盘概率 |
|
铜 |
1509 |
519 |
798 |
949 |
500 |
1120 |
0.7 |
|
天胶 |
814 |
383 |
725 |
333 |
593 |
357 |
0.6 |
|
白糖 |
247 |
142 |
97 |
98 |
56 |
76 |
0.45 |
|
棕榈油 |
143 |
72 |
155 |
113 |
81 |
195 |
0.55 |
|
PTA |
159 |
109 |
125 |
239 |
89 |
178 |
0.7 |
|
燃料油 |
160 |
53 |
58 |
71 |
51 |
54 |
0.6 |
|
大豆 |
38 |
24 |
40 |
31 |
25 |
66 |
0.55 |
|
品种 |
五天前 |
四天前 |
三天前 |
两天前 |
上个交易日 |
今日 |
日内波动率标准差 |
|
铜 |
0.0256 |
0.0086 |
0.0133 |
0.0158 |
0.0082 |
0.0184 |
0.0066 |
|
天胶 |
0.0328 |
0.0150 |
0.0293 |
0.0136 |
0.0239 |
0.0141 |
0.0084 |
|
白糖 |
0.0469 |
0.0272 |
0.0184 |
0.0187 |
0.0105 |
0.0142 |
0.0131 |
|
棕榈油 |
0.0213 |
0.0105 |
0.0229 |
0.0168 |
0.0119 |
0.0291 |
0.0071 |
|
PTA |
0.0197 |
0.0132 |
0.0152 |
0.0292 |
0.0106 |
0.0213 |
0.0067 |
|
燃料油 |
0.0361 |
0.0116 |
0.0128 |
0.0158 |
0.0112 |
0.0118 |
0.0097 |
|
大豆 |
0.0097 |
0.0061 |
0.0102 |
0.0079 |
0.0064 |
0.0170 |
0.0040 |
日内波动幅度=（日内最高价-日内最低价）/日内最低价
今日多个品种盘中波动较前几个交易日剧烈加剧，且往往与周边因素如证券市场或美元走势等联系紧密，商品市场自身的资金面对价格的影响力似乎暂时转而居于从属地位，这是由于，盘中的突发性变化可能改变前一日入场的资金对于后市的期望，从而导致基于前一天的数据做出预测变得更为困难。
昨日建议的投资组合为：按照PTA 14%，锌11%，塑料11%，棕榈油12%，PVC28%，螺纹23%的资金配比做多棕榈油，PVC，螺纹，做空PTA，锌，塑料，若据此操作，则今日会产生5.34%的亏损，亏损主要产生于PVC这样的传统上波动率比较小但今日价格下跌却比较多的品种。若将资金六等分操作，则最终的亏损幅度则会在5.31%左右。
今日资金增幅的前三位为棉花5.72%，天胶5.05%，铜4.27%，资金跌幅的前三位分别是PTA-10.13%,螺纹-4.40%,铝-3.77%.可以看到其中绝大多数品种的资金波动幅度还是非常吻合,这种情况下资金的波动对价格的指向性还是处于一个比较弱的水平上.这些品种中,天胶和铜一直是长期以来波动隔夜波动较为剧烈的品种,因此在配置头寸时应考虑以较少的资金参与。具体的头寸之比为:棉花26%,天胶10%,铜10%,铝15%,螺纹24%,PTA15%。操作方向为：做多天胶，铝，螺纹，做空棉花，铜，PTA。
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