菜油-豆油-棕榈油OI909-y1909-p1909蝶式套利

在中国的植物油消费市场中,豆油和菜籽油是第一和第二大消费品种,分别占总消费的38%和24%。虽然他们有不同的基本面,但两者具有很强的可替代性,使得两者的价格高度相关。据统计,现货市场上,豆油和菜籽油之间的价格相关性走势高达95%以上,但在不同时期他们之间的波动率会有差异,价差会偏离正常区域。
豆油、棕榈油同属我国重要食用油,其价格变化高度趋同。而且理论上,豆油与棕榈油属于可替代商品,当其中之一价格过高时,另一种商品的替代性开始显现,其价格也将跟随上涨。这一特性决定了两种商品之间价差将存在一定的合理区间。而棕榈油较高的熔点又造成了其所特有的季节性淡旺季变化,从而使得豆油–棕榈油价差变化具备一定的季节性规律。这些因素使得豆油–棕榈油套利存在一些规律可循。

OI909&y1909&p1909网格交易信息(最新差价:-142)

套利组合 交易方向 数量 价格 配比 成交差价 预期差价 交易时间
OI909&y1909&p1909买入平仓17110.0,5502.0,5502.0,4402.01:15085202019-06-14 09:00:04
OI909&y1909&p1909买入平仓17084.0,5466.0,5466.0,4388.01:15405402019-06-10 21:38:56
OI909&y1909&p1909买入平仓17038.0,5446.0,5446.0,4414.01:15605602019-06-05 11:16:54
OI909&y1909&p1909买入平仓17087.0,5470.0,5470.0,4432.01:15795802019-06-04 21:27:03
OI909&y1909&p1909买入平仓17093.0,5454.0,5454.0,4416.01:16016002019-06-04 14:49:11
OI909&y1909&p1909卖出开仓17070.0,5408.0,5408.0,4398.01:16526502019-06-03 21:04:24
OI909&y1909&p1909卖出开仓17035.0,5392.0,5392.0,4378.01:16296302019-06-03 14:47:46
OI909&y1909&p1909卖出开仓17024.0,5402.0,5402.0,4390.01:16106102019-06-03 11:05:41
OI909&y1909&p1909卖出开仓17050.0,5448.0,5448.0,4438.01:15925902019-05-31 21:10:26
OI909&y1909&p1909买入平仓17128.0,5544.0,5544.0,4500.01:15405402019-05-29 09:27:21
OI909&y1909&p1909买入平仓17112.0,5520.0,5520.0,4488.01:15605602019-05-29 09:26:38
OI909&y1909&p1909买入平仓17122.0,5514.0,5514.0,4482.01:15765802019-05-29 09:20:54
OI909&y1909&p1909买入平仓17115.0,5498.0,5498.0,4480.01:15996002019-05-29 09:20:36
OI909&y1909&p1909买入平仓17085.0,5472.0,5472.0,4480.01:16216202019-05-29 09:06:31
OI909&y1909&p1909卖出开仓17062.0,5408.0,5408.0,4412.01:16586602019-05-28 21:00:04
OI909&y1909&p1909卖出开仓27076.0,5378.0,5378.0,4382.01:17026202019-05-27 21:20:50
OI909&y1909&p1909买入平仓17042.0,5488.0,5488.0,4494.01:15605602019-05-20 09:05:11
OI909&y1909&p1909卖出开仓17058.0,5476.0,5476.0,4484.01:15905902019-05-17 21:42:10
OI909&y1909&p1909卖出开仓17036.0,5474.0,5474.0,4484.01:15725702019-05-17 21:00:04
OI909&y1909&p1909卖出开仓27036.0,5474.0,5474.0,4486.01:15745302019-05-17 21:00:03
OI909&y1909&p1909买入平仓16835.0,5368.0,5368.0,4400.01:14995002019-05-06 21:25:05
OI909&y1909&p1909卖出开仓16833.0,5344.0,5344.0,4384.01:15295302019-05-06 21:03:06

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