生意社基差率分布监测（2022/03/30）
网友投稿• 2022-03-30 14:03:33 •阅读63
生意社定义：基差率＝主力基差/现货价格×100%。据生意社对基差率10年以上的监测发现，较长周期内基差率符合正态分布，且具有以下的特征：
1、基差率变化有一定的趋势；
2、基差率放大到一定程度必然回归。
生意社测算了各商品期货的最新基差率，在不同周期内的分布（见以下各表）。基于正态分布理论：1σ外（表示基差率分布在平均值±1个标准差之外），投资机会较大；2σ外投资机会更大。
注：期货通订阅用户，可于交易日收盘后，查看最新的基差率分布。
2022-03-29基差率在6个月内的分布
| 商品名称 | 当日基差率 | 均值 | 分布 |
| 大豆(期) | -1.97% | -1.85% | |
| 玉米 | -3.46% | -1.53% | |
| 玉米淀粉 | 0.97% | 7.45% | 1σ外 |
| 苯乙烯 | -4.22% | 0.48% | 1σ外 |
| 乙二醇 | -1.58% | 1.12% | |
| 铁矿石(澳) | 13.44% | 15.67% | |
| 冶金焦 | -11.33% | -6.18% | |
| 鸡蛋 | 0.68% | 5.90% | |
| 炼焦煤 | -5.88% | 13.60% | 1σ外 |
| LLDPE | -2.83% | 0.95% | 1σ外 |
| 生猪 | -6.65% | -1.00% | |
| 豆粕 | 15.86% | 11.60% | 1σ外 |
| 棕榈油(期) | 11.01% | 10.72% | |
| 液化气 | 0.05% | 8.41% | 1σ外 |
| PP(拉丝) | -1.05% | -0.05% | |
| PVC | -3.08% | 3.03% | |
| 大豆油 | 5.74% | 7.07% | |
| 皮棉 | 5.21% | 6.04% | |
| 棉纱32S | 6.61% | 7.44% | |
| 玻璃 | -6.04% | 9.10% | 1σ外 |
| 甲醇(期) | 1.07% | -0.15% | |
| 菜籽油 | 7.12% | 3.71% | 1σ外 |
| 涤纶短纤 | 2.50% | 3.20% | |
| 小麦 | 26.02% | 13.16% | 1σ外 |
| 菜籽粕 | 3.94% | 2.50% | |
| 油菜籽(期) | 0.78% | 1.66% | |
| 重质纯碱 | -3.24% | 12.90% | 1σ外 |
| 硅铁 | -5.99% | -1.59% | |
| 锰硅 | -2.85% | 0.86% | |
| 白糖 | -0.72% | -1.86% | |
| PTA | 1.43% | -0.42% | 1σ外 |
| 尿素 | 8.25% | 6.01% | |
| 动力煤 | 6.40% | 22.16% | 1σ外 |
| 铜(期) | 0.87% | 0.65% | |
| 铝(期) | -0.08% | -0.36% | |
| 锌(期) | 0.27% | 1.24% | |
| 铅(期) | -0.89% | -0.13% | 1σ外 |
| 镍(期) | -0.01% | 1.77% | |
| 锡(期) | 1.32% | 2.55% | |
| 黄金 | -0.39% | -0.30% | |
| 白银 | -0.60% | -0.93% | |
| 螺纹钢 | -1.07% | 5.11% | 1σ外 |
| 线材 | -9.14% | 1.80% | 1σ外 |
| 热轧板卷 | -1.26% | 3.85% | 1σ外 |
| 不锈钢 | 3.64% | 4.96% | |
| 燃料油 | 36.89% | 44.22% | 1σ外 |
| 沥青 | 1.34% | 3.62% | |
| 天然橡胶 | -3.69% | -7.04% | 2σ外 |
| 针叶木浆 | 0.11% | 0.88% |
注：1σ外，表示基差率分布在平均值±1个标准差之外；
2σ外，表示基差率分布在平均值±2个标准差之外。
分布在1σ内的，则不予标记（即为空）。
2022-03-29基差率在1年内的分布
| 商品名称 | 当日基差率 | 均值 | 分布 |
| 大豆(期) | -1.97% | -1.92% | |
| 玉米 | -3.46% | 2.17% | 1σ外 |
| 玉米淀粉 | 0.97% | 8.67% | 1σ外 |
| 苯乙烯 | -4.22% | 2.05% | 1σ外 |
| 乙二醇 | -1.58% | 2.54% | 1σ外 |
| 铁矿石(澳) | 13.44% | 17.90% | |
| 冶金焦 | -11.33% | -4.93% | |
| 鸡蛋 | 0.68% | 0.98% | |
| 炼焦煤 | -5.88% | 6.24% | |
| LLDPE | -2.83% | 1.30% | 1σ外 |
| 生猪 | -6.65% | -10.72% | |
| 豆粕 | 15.86% | 6.42% | 1σ外 |
| 棕榈油(期) | 11.01% | 10.68% | |
| 液化气 | 0.05% | 2.42% | |
| PP(拉丝) | -1.05% | 0.33% | |
| PVC | -3.08% | 2.28% | 1σ外 |
| 大豆油 | 5.74% | 7.28% | |
| 皮棉 | 5.21% | 3.81% | |
| 棉纱32S | 6.61% | 7.34% | |
| 玻璃 | -6.04% | 7.58% | 1σ外 |
| 甲醇(期) | 1.07% | -0.93% | |
| 菜籽油 | 7.12% | 4.22% | 1σ外 |
| 涤纶短纤 | 2.50% | 1.60% | |
| 小麦 | 26.02% | 7.28% | 2σ外 |
| 菜籽粕 | 3.94% | 1.30% | |
| 油菜籽(期) | 0.78% | 1.91% | |
| 重质纯碱 | -3.24% | 2.48% | |
| 硅铁 | -5.99% | -3.50% | |
| 锰硅 | -2.85% | -1.70% | |
| 白糖 | -0.72% | -0.95% | |
| PTA | 1.43% | -0.42% | 1σ外 |
| 尿素 | 8.25% | 6.96% | |
| 动力煤 | 6.40% | 18.04% | 1σ外 |
| 铜(期) | 0.87% | 0.39% | |
| 铝(期) | -0.08% | -0.24% | |
| 锌(期) | 0.27% | 2.02% | 1σ外 |
| 铅(期) | -0.89% | 0.03% | 1σ外 |
| 镍(期) | -0.01% | 1.36% | |
| 锡(期) | 1.32% | 1.84% | |
| 黄金 | -0.39% | -0.32% | |
| 白银 | -0.60% | -1.10% | |
| 螺纹钢 | -1.07% | 0.70% | |
| 线材 | -9.14% | -1.77% | 1σ外 |
| 热轧板卷 | -1.26% | 2.82% | 1σ外 |
| 不锈钢 | 3.64% | 5.21% | |
| 燃料油 | 36.89% | 44.80% | 2σ外 |
| 沥青 | 1.34% | 4.16% | |
| 天然橡胶 | -3.69% | -6.19% | |
| 针叶木浆 | 0.11% | 1.76% |
2022-03-29基差率在3年内的分布
| 商品名称 | 当日基差率 | 均值 | 分布 |
| 大豆(期) | -1.97% | -0.94% | |
| 玉米 | -3.46% | -1.77% | |
| 玉米淀粉 | 0.97% | 7.32% | 1σ外 |
| 苯乙烯 | -4.22% | 0.51% | |
| 乙二醇 | -1.58% | 2.21% | |
| 铁矿石(澳) | 13.44% | 10.50% | |
| 冶金焦 | -11.33% | -7.26% | |
| 鸡蛋 | 0.68% | -3.11% | |
| 炼焦煤 | -5.88% | 9.30% | 1σ外 |
| LLDPE | -2.83% | 1.91% | 2σ外 |
| 生猪 | -6.65% | -6.98% | |
| 豆粕 | 15.86% | 4.88% | 2σ外 |
| 棕榈油(期) | 11.01% | 5.92% | 1σ外 |
| 液化气 | 0.05% | -5.63% | |
| PP(拉丝) | -1.05% | 2.85% | 1σ外 |
| PVC | -3.08% | 1.96% | 1σ外 |
| 大豆油 | 5.74% | 4.07% | |
| 皮棉 | 5.21% | 2.38% | |
| 棉纱32S | 6.61% | 6.16% | |
| 玻璃 | -6.04% | 7.14% | 1σ外 |
| 甲醇(期) | 1.07% | -3.36% | |
| 菜籽油 | 7.12% | 5.23% | |
| 涤纶短纤 | 2.50% | -0.14% | |
| 小麦 | 26.02% | 5.14% | 2σ外 |
| 菜籽粕 | 3.94% | -0.05% | 1σ外 |
| 油菜籽(期) | 0.78% | 8.56% | 1σ外 |
| 重质纯碱 | -3.24% | 3.58% | |
| 硅铁 | -5.99% | -1.27% | |
| 锰硅 | -2.85% | -2.07% | |
| 白糖 | -0.72% | 3.56% | |
| PTA | 1.43% | -0.09% | |
| 尿素 | 8.25% | 4.62% | |
| 动力煤 | 6.40% | 7.94% | |
| 铜(期) | 0.87% | 0.27% | 1σ外 |
| 铝(期) | -0.08% | 0.54% | |
| 锌(期) | 0.27% | 3.06% | 2σ外 |
| 铅(期) | -0.89% | 0.65% | 1σ外 |
| 镍(期) | -0.01% | 1.22% | |
| 锡(期) | 1.32% | 1.37% | |
| 黄金 | -0.39% | -0.54% | |
| 白银 | -0.60% | -1.10% | |
| 螺纹钢 | -1.07% | 1.86% | |
| 线材 | -9.14% | -2.52% | 1σ外 |
| 热轧板卷 | -1.26% | 3.88% | 1σ外 |
| 不锈钢 | 3.64% | 4.41% | |
| 燃料油 | 36.89% | 48.36% | 1σ外 |
| 沥青 | 1.34% | 3.82% | |
| 天然橡胶 | -3.69% | -5.33% | |
| 针叶木浆 | 0.11% | -0.02% |
2022-03-29基差率在5年内的分布
| 商品名称 | 当日基差率 | 均值 | 分布 |
| 大豆(期) | -1.97% | -0.28% | |
| 玉米 | -3.46% | -1.84% | |
| 玉米淀粉 | 0.97% | 7.96% | 1σ外 |
| 苯乙烯 | -4.22% | 0.51% | |
| 乙二醇 | -1.58% | 2.58% | |
| 铁矿石(澳) | 13.44% | 8.08% | |
| 冶金焦 | -11.33% | -4.85% | |
| 鸡蛋 | 0.68% | -6.35% | |
| 炼焦煤 | -5.88% | 11.50% | 1σ外 |
| LLDPE | -2.83% | 2.13% | 1σ外 |
| 生猪 | -6.65% | -6.98% | |
| 豆粕 | 15.86% | 4.38% | 2σ外 |
| 棕榈油(期) | 11.01% | 4.24% | 1σ外 |
| 液化气 | 0.05% | -5.63% | |
| PP(拉丝) | -1.05% | 2.30% | 1σ外 |
| PVC | -3.08% | 0.83% | 1σ外 |
| 大豆油 | 5.74% | 1.97% | |
| 皮棉 | 5.21% | 2.00% | |
| 棉纱32S | 6.61% | 4.75% | |
| 玻璃 | -6.04% | 6.11% | 1σ外 |
| 甲醇(期) | 1.07% | -2.06% | |
| 菜籽油 | 7.12% | 2.79% | 1σ外 |
| 涤纶短纤 | 2.50% | -0.14% | |
| 小麦 | 26.02% | 3.11% | 2σ外 |
| 菜籽粕 | 3.94% | 1.31% | |
| 油菜籽(期) | 0.78% | 5.16% | |
| 重质纯碱 | -3.24% | 3.58% | |
| 硅铁 | -5.99% | -0.35% | |
| 锰硅 | -2.85% | 0.00% | |
| 白糖 | -0.72% | 4.31% | 1σ外 |
| PTA | 1.43% | 1.06% | |
| 尿素 | 8.25% | 4.62% | |
| 动力煤 | 6.40% | 6.40% | |
| 铜(期) | 0.87% | 0.14% | 1σ外 |
| 铝(期) | -0.08% | -0.14% | |
| 锌(期) | 0.27% | 3.34% | 2σ外 |
| 铅(期) | -0.89% | 0.84% | 1σ外 |
| 镍(期) | -0.01% | 1.05% | |
| 锡(期) | 1.32% | 0.63% | |
| 黄金 | -0.39% | -0.68% | |
| 白银 | -0.60% | -1.31% | |
| 螺纹钢 | -1.07% | 3.97% | |
| 线材 | -9.14% | 6.31% | 1σ外 |
| 热轧板卷 | -1.26% | 4.69% | 1σ外 |
| 不锈钢 | 3.64% | 4.41% | |
| 燃料油 | 36.89% | 33.73% | |
| 沥青 | 1.34% | 5.38% | |
| 天然橡胶 | -3.69% | -7.17% | |
| 针叶木浆 | 0.11% | 0.63% |
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