豆粕-菜粕m1909-m2001-RM909-RM001蝶式套利

豆粕和菜粕作为重要的饲料,主要提供动物营养所需的蛋白,豆粕蛋白含量大约在42%-46%,菜粕蛋白含量在35%-38%,两者需求主要受养殖业需求影响,其中豆粕主要用作猪、牛与家禽饲料的原料,受猪类养殖的影响较大,菜粕因含有硫苷、植酸等成分,在畜牧和家禽的应用比例中受限制,大部分应用在水产饲料中。

但当两者价差出现明显偏差时,饲料配方中会有很强的替代性,豆菜粕价差关系一般在300-1800区间运行,在价差高于800时,由于经济性菜粕添加比例增加。价差低于800则会考虑多用豆粕,甚至在低于500-700时,考虑完全用豆粕代替菜粕作为蛋白原料。正是由于这种替代消费关系,两者价格走势相关性高达80%以上,这也为盘面豆菜粕套利提供了理论基础。

m1909&m2001&RM909&RM001网格交易信息(最新差价:-110)

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
m1909&m2001&RM909&RM001卖出平仓12882.0,2873.0,2478.0,2314.01:1-155-155.52019-08-07 14:27:40
m1909&m2001&RM909&RM001卖出平仓12805.0,2850.0,2391.0,2271.01:1-165-165.52019-07-22 21:00:06
m1909&m2001&RM909&RM001卖出平仓12824.0,2855.0,2412.0,2266.01:1-177-176.52019-07-19 21:29:19
m1909&m2001&RM909&RM001卖出平仓12832.0,2863.0,2432.0,2276.01:1-187-186.52019-07-19 21:26:02
m1909&m2001&RM909&RM001卖出平仓12817.0,2846.0,2428.0,2261.01:1-196-196.52019-07-19 09:41:34
m1909&m2001&RM909&RM001卖出平仓12847.0,2869.0,2455.0,2271.01:1-206-206.52019-07-17 21:47:05
m1909&m2001&RM909&RM001卖出平仓12830.0,2872.0,2437.0,2263.01:1-216-216.52019-07-17 09:08:00
m1909&m2001&RM909&RM001卖出平仓12819.0,2874.0,2438.0,2267.01:1-226-226.52019-07-16 21:09:42
m1909&m2001&RM909&RM001卖出平仓12801.0,2848.0,2452.0,2263.01:1-236-236.52019-07-05 21:05:54
m1909&m2001&RM909&RM001卖出平仓22869.0,2913.0,2513.0,2312.01:1-245-256.52019-07-01 21:00:03
m1909&m2001&RM909&RM001卖出平仓12874.0,2915.0,2545.0,2319.01:1-267-266.52019-06-27 21:29:38
m1909&m2001&RM909&RM001买入开仓12917.0,2946.0,2590.0,2324.01:1-295-2962019-06-24 21:01:20
m1909&m2001&RM909&RM001买入开仓12913.0,2943.0,2571.0,2321.01:1-280-2812019-06-24 14:23:12
m1909&m2001&RM909&RM001买入开仓12880.0,2923.0,2525.0,2303.01:1-265-2662019-06-21 14:42:07
m1909&m2001&RM909&RM001买入开仓12887.0,2930.0,2519.0,2312.01:1-250-2512019-06-20 21:30:54
m1909&m2001&RM909&RM001买入开仓12884.0,2926.0,2497.0,2302.01:1-237-2362019-06-20 21:00:17
m1909&m2001&RM909&RM001买入开仓12865.0,2914.0,2478.0,2295.01:1-232-2262019-06-20 09:58:22
m1909&m2001&RM909&RM001买入开仓22937.0,2984.0,2524.0,2346.01:1-225-2062019-06-18 21:00:02
m1909&m2001&RM909&RM001卖出平仓12863.0,2903.0,2456.0,2311.01:1-185-1842019-06-11 09:31:37
m1909&m2001&RM909&RM001卖出平仓12877.0,2905.0,2468.0,2302.01:1-194-1942019-06-06 14:30:15
m1909&m2001&RM909&RM001卖出平仓12965.0,2988.0,2539.0,2357.01:1-205-2042019-06-05 11:10:52
m1909&m2001&RM909&RM001买入开仓12913.0,2957.0,2527.0,2345.01:1-226-2262019-06-03 09:05:32

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