l1901-l1905-pp1901-pp1905碟式套利

聚乙烯以其良好的延展性能主要用途是薄膜市场, 而薄膜消费中约30%用于农膜生产,主要有棚膜和地膜,70%左右用于包装膜,包装膜需求与国内经济增速密切相关,周期性不强,而农膜生产及消费具有一定的季节性规律,每年12-3月是地膜的传统消费旺季,而8-11月是棚膜的消费旺季;对聚丙烯来说,其耐热性好,强度、刚性以及透明度都优于聚乙烯,主要用途是生产编制制品、薄膜及注塑,PP消费季节性规律不强。由于PP与L季节性消费的差异性,就必然导致二者价差随一个品种的价格波动而波动,在旺季消费中,塑料价格涨幅应高于PP,而在下跌中,其跌速同样慢于PP,价差即扩大。结合数理统计规律,10-11月价差扩大,验证了农膜的秋季消费旺季;而上半年价差波动较小,主要是春季旺季多在春节后,价差波动相对较小,规律性不强,上半年操作需谨慎。

作为国内化工品种,LLDPE、PP共同受上游石油价格波动影响,理论上价格运行趋势趋同,而在实际交易中,由于波动强弱、资金流动等因素影响,二者价格涨跌存在强弱区别,在此过程中往往会有套利机会出现。

pp1901&pp1905&l1901&l1905网格交易信息(最新差价:-67)

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
pp1901&pp1905&l1901&l1905买入开仓28983.0,8498.0,9065.0,8510.01:1-70-702018-12-14 14:48:02
pp1901&pp1905&l1901&l1905买入开仓28945.0,8445.0,9030.0,8480.01:1-50-402018-12-14 09:34:26
pp1901&pp1905&l1901&l1905卖出平仓29116.0,8593.0,8855.0,8360.01:128262018-12-05 09:03:45
pp1901&pp1905&l1901&l1905卖出平仓29206.0,8683.0,8955.0,8420.01:1-12-42018-12-04 14:59:28
pp1901&pp1905&l1901&l1905卖出平仓29074.0,8557.0,8945.0,8395.01:1-33-342018-12-04 13:42:45
pp1901&pp1905&l1901&l1905卖出平仓28997.0,8525.0,8930.0,8395.01:1-63-642018-12-04 10:37:21
pp1901&pp1905&l1901&l1905买入开仓28801.0,8450.0,8865.0,8380.01:1-134-1302018-12-03 09:36:56
pp1901&pp1905&l1901&l1905买入开仓28716.0,8387.0,8765.0,8335.01:1-101-1002018-11-30 11:02:32
pp1901&pp1905&l1901&l1905买入开仓28670.0,8337.0,8725.0,8325.01:1-67-702018-11-30 09:23:03
pp1901&pp1905&l1901&l1905买入开仓28684.0,8300.0,8710.0,8285.01:1-41-402018-11-29 13:30:59
pp1901&pp1905&l1901&l1905卖出平仓28662.0,8210.0,8640.0,8240.01:152502018-11-28 09:59:27
pp1901&pp1905&l1901&l1905卖出平仓28606.0,8177.0,8635.0,8230.01:124202018-11-28 09:41:23
pp1901&pp1905&l1901&l1905买入开仓28551.0,8378.0,8565.0,8320.01:1-72-702018-11-23 14:30:38
pp1901&pp1905&l1901&l1905卖出平仓28901.0,8590.0,8770.0,8485.01:126202018-11-22 14:55:14
pp1901&pp1905&l1901&l1905买入开仓28879.0,8655.0,8860.0,8565.01:1-71-702018-11-22 09:15:07
pp1901&pp1905&l1901&l1905买入开仓28939.0,8632.0,8820.0,8475.01:1-38-402018-11-21 10:46:46
pp1901&pp1905&l1901&l1905买入平仓29334.0,8832.0,8970.0,8520.01:152602018-11-14 14:26:57
pp1901&pp1905&l1901&l1905买入平仓29314.0,8834.0,8885.0,8500.01:195902018-11-14 09:02:11
pp1901&pp1905&l1901&l1905买入平仓29326.0,8819.0,8880.0,8495.01:11221202018-11-14 09:01:29
pp1901&pp1905&l1901&l1905买入平仓29459.0,8940.0,8945.0,8575.01:11491502018-11-13 14:19:22
pp1901&pp1905&l1901&l1905买入平仓29434.0,8910.0,8835.0,8490.01:11791802018-11-13 09:00:37
pp1901&pp1905&l1901&l1905买入平仓29477.0,8912.0,8885.0,8530.01:12102102018-11-12 11:28:35

标签: