豆油-菜油-棕榈油y1909-OI909-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。

y1909&OI909&p1909网格交易信息(最新差价:-4360)

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
y1909&OI909&p1909卖出平仓15446.0,7042.0,7042.0,4414.01:1-4224-42252019-06-05 11:16:01
y1909&OI909&p1909买入开仓15418.0,7079.0,7079.0,4402.01:1-4338-43402019-06-03 22:38:01
y1909&OI909&p1909买入开仓15400.0,7045.0,7045.0,4380.01:1-4310-43102019-06-03 14:59:20
y1909&OI909&p1909买入开仓15408.0,7041.0,7041.0,4392.01:1-4282-42802019-06-03 14:16:22
y1909&OI909&p1909买入开仓15396.0,7022.0,7022.0,4386.01:1-4262-42602019-06-03 11:06:07
y1909&OI909&p1909买入开仓15452.0,7056.0,7056.0,4420.01:1-4240-42402019-05-31 22:12:34
y1909&OI909&p1909买入开仓15454.0,7048.0,7048.0,4420.01:1-4222-42202019-05-31 21:59:46
y1909&OI909&p1909卖出平仓25460.0,7004.0,7004.0,4442.01:1-4106-41302019-05-31 21:03:31
y1909&OI909&p1909卖出平仓15496.0,7061.0,7061.0,4476.01:1-4150-41502019-05-31 09:00:09
y1909&OI909&p1909卖出平仓15494.0,7065.0,7065.0,4476.01:1-4160-41602019-05-30 22:52:32
y1909&OI909&p1909卖出平仓15522.0,7095.0,7095.0,4490.01:1-4178-41802019-05-29 09:33:12
y1909&OI909&p1909卖出平仓15528.0,7110.0,7110.0,4494.01:1-4198-42002019-05-29 09:32:55
y1909&OI909&p1909买入开仓25408.0,7062.0,7062.0,4414.01:1-4302-42302019-05-28 21:00:04
y1909&OI909&p1909买入开仓25408.0,7062.0,7062.0,4414.01:1-4302-41802019-05-28 21:00:03
y1909&OI909&p1909买入开仓25406.0,7061.0,7061.0,4412.01:1-4304-41402019-05-28 21:00:01
y1909&OI909&p1909买入开仓25474.0,7038.0,7038.0,4488.01:1-4114-39902019-05-17 21:00:03
y1909&OI909&p1909买入开仓15416.0,6905.0,6905.0,4424.01:1-3970-39702019-05-08 21:18:42
y1909&OI909&p1909买入开仓15386.0,6873.0,6873.0,4410.01:1-3950-39502019-05-08 14:54:34
y1909&OI909&p1909卖出平仓15400.0,6875.0,6875.0,4430.01:1-3920-39202019-05-08 14:33:45
y1909&OI909&p1909买入开仓15404.0,6894.0,6894.0,4436.01:1-3948-39502019-05-08 13:49:03
y1909&OI909&p1909卖出平仓15380.0,6854.0,6854.0,4408.01:1-3920-39202019-05-07 14:28:39
y1909&OI909&p1909卖出平仓15386.0,6867.0,6867.0,4410.01:1-3938-39402019-05-07 14:27:10

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