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定義：基差率＝主力基差/現(xiàn)貨價(jià)格×100%。據(jù)對(duì)基差率10年以上的監(jiān)測(cè)發(fā)現(xiàn)，較長(zhǎng)周期內(nèi)基差率符合正態(tài)分布，且具有以下的特征：
1、基差率變化有一定的趨勢(shì)；
2、基差率放大到一定程度必然回歸。
測(cè)算了各商品期貨的最新基差率，在不同周期內(nèi)的分布（見以下各表）?；谡龖B(tài)分布理論：1σ外（表示基差率分布在平均值±1個(gè)標(biāo)準(zhǔn)差之外），投資機(jī)會(huì)較大；2σ外投資機(jī)會(huì)更大。
注：期貨通訂閱用戶，可于交易日收盤后，查看最新的基差率分布。
2022-02-08基差率在6個(gè)月內(nèi)的分布
| 商品名稱 | 當(dāng)日基差率 | 均值 | 分布 |
| 大豆(期) | -3.51% | -1.54% | |
| 玉米 | -4.12% | 2.11% | 1σ外 |
| 玉米淀粉 | 3.14% | 10.75% | 2σ外 |
| 苯乙烯 | 0.60% | 1.64% | |
| 乙二醇 | -3.74% | 2.24% | 1σ外 |
| 鐵礦石(澳) | 15.31% | 17.52% | |
| 冶金焦 | -9.97% | 0.44% | |
| 雞蛋 | -1.38% | 10.66% | 2σ外 |
| 煉焦煤 | 9.46% | 17.89% | |
| LLDPE | -3.37% | 1.07% | 1σ外 |
| 生豬 | -6.12% | -2.77% | |
| 豆粕 | 8.56% | 9.32% | |
| 棕櫚油(期) | 8.40% | 9.92% | |
| 液化氣 | 13.09% | 4.82% | |
| PP(拉絲) | -1.77% | -0.20% | |
| PVC | -6.66% | 3.47% | 1σ外 |
| 大豆油 | 4.65% | 7.08% | 1σ外 |
| 皮棉 | 4.51% | 4.90% | |
| 棉紗32S | 5.39% | 6.66% | |
| 玻璃 | -12.72% | 12.26% | 2σ外 |
| 甲醇(期) | -7.07% | -0.75% | |
| 菜籽油 | 3.69% | 2.81% | |
| 滌綸短纖 | -2.92% | 2.96% | 1σ外 |
| 小麥 | 15.64% | 8.01% | 1σ外 |
| 菜籽粕 | -3.27% | 4.83% | 1σ外 |
| 油菜籽(期) | 5.25% | 0.34% | 1σ外 |
| 重質(zhì)純堿 | -10.22% | 9.66% | 1σ外 |
| 硅鐵 | -8.62% | -1.64% | |
| 錳硅 | -3.27% | 0.12% | |
| 白糖 | -0.23% | -2.84% | 1σ外 |
| PTA | -0.74% | -0.60% | |
| 尿素 | -1.96% | 6.16% | 1σ外 |
| 動(dòng)力煤 | 25.93% | 25.02% | |
| 銅(期) | 0.26% | 0.74% | |
| 鋁(期) | 0.42% | -0.36% | 1σ外 |
| 鋅(期) | 0.20% | 2.17% | 2σ外 |
| 鉛(期) | 0.42% | 0.14% | |
| 鎳(期) | 1.86% | 1.44% | |
| 錫(期) | 0.64% | 2.86% | 1σ外 |
| 黃金 | -0.35% | -0.28% | |
| 白銀 | 0.03% | -1.07% | 1σ外 |
| 螺紋鋼 | -2.45% | 4.53% | 1σ外 |
| 線材 | -6.43% | 2.45% | 1σ外 |
| 熱軋板卷 | -0.70% | 4.29% | 1σ外 |
| 不銹鋼 | 1.65% | 5.79% | 1σ外 |
| 燃料油 | 40.33% | 45.53% | 1σ外 |
| 瀝青 | -3.44% | 5.46% | 1σ外 |
| 天然橡膠 | -7.49% | -8.20% | |
| 針葉木漿 | -2.87% | 2.01% | 1σ外 |
注：1σ外，表示基差率分布在平均值±1個(gè)標(biāo)準(zhǔn)差之外；
2σ外，表示基差率分布在平均值±2個(gè)標(biāo)準(zhǔn)差之外。
分布在1σ內(nèi)的，則不予標(biāo)記（即為空）。
2022-02-08基差率在1年內(nèi)的分布
| 商品名稱 | 當(dāng)日基差率 | 均值 | 分布 |
| 大豆(期) | -3.51% | -2.18% | |
| 玉米 | -4.12% | 3.38% | 2σ外 |
| 玉米淀粉 | 3.14% | 10.33% | 2σ外 |
| 苯乙烯 | 0.60% | 2.76% | |
| 乙二醇 | -3.74% | 3.34% | 1σ外 |
| 鐵礦石(澳) | 15.31% | 16.41% | |
| 冶金焦 | -9.97% | -2.43% | |
| 雞蛋 | -1.38% | -0.53% | |
| 煉焦煤 | 9.46% | 6.70% | |
| LLDPE | -3.37% | 1.50% | 1σ外 |
| 生豬 | -6.12% | -9.60% | |
| 豆粕 | 8.56% | 5.08% | |
| 棕櫚油(期) | 8.40% | 9.90% | |
| 液化氣 | 13.09% | 1.65% | 1σ外 |
| PP(拉絲) | -1.77% | 0.44% | 1σ外 |
| PVC | -6.66% | 2.50% | 1σ外 |
| 大豆油 | 4.65% | 7.62% | 1σ外 |
| 皮棉 | 4.51% | 3.18% | |
| 棉紗32S | 5.39% | 7.32% | |
| 玻璃 | -12.72% | 7.36% | 2σ外 |
| 甲醇(期) | -7.07% | -0.92% | |
| 菜籽油 | 3.69% | 4.32% | |
| 滌綸短纖 | -2.92% | 1.25% | 1σ外 |
| 小麥 | 15.64% | 4.61% | 2σ外 |
| 菜籽粕 | -3.27% | 1.39% | |
| 油菜籽(期) | 5.25% | 2.13% | |
| 重質(zhì)純堿 | -10.22% | 1.38% | |
| 硅鐵 | -8.62% | -3.80% | |
| 錳硅 | -3.27% | -1.71% | |
| 白糖 | -0.23% | -0.79% | |
| PTA | -0.74% | -0.66% | |
| 尿素 | -1.96% | 7.31% | 1σ外 |
| 動(dòng)力煤 | 25.93% | 16.57% | |
| 銅(期) | 0.26% | 0.36% | |
| 鋁(期) | 0.42% | -0.22% | |
| 鋅(期) | 0.20% | 2.41% | 2σ外 |
| 鉛(期) | 0.42% | 0.21% | |
| 鎳(期) | 1.86% | 1.20% | |
| 錫(期) | 0.64% | 1.78% | |
| 黃金 | -0.35% | -0.32% | |
| 白銀 | 0.03% | -1.19% | 1σ外 |
| 螺紋鋼 | -2.45% | 0.40% | |
| 線材 | -6.43% | -1.80% | |
| 熱軋板卷 | -0.70% | 2.83% | 1σ外 |
| 不銹鋼 | 1.65% | 5.91% | 1σ外 |
| 燃料油 | 40.33% | 45.72% | 1σ外 |
| 瀝青 | -3.44% | 4.10% | 1σ外 |
| 天然橡膠 | -7.49% | -6.17% | |
| 針葉木漿 | -2.87% | 1.85% | 1σ外 |
2022-02-08基差率在3年內(nèi)的分布
| 商品名稱 | 當(dāng)日基差率 | 均值 | 分布 |
| 大豆(期) | -3.51% | -0.65% | |
| 玉米 | -4.12% | -1.69% | |
| 玉米淀粉 | 3.14% | 7.75% | 1σ外 |
| 苯乙烯 | 0.60% | 0.73% | |
| 乙二醇 | -3.74% | 2.31% | 1σ外 |
| 鐵礦石(澳) | 15.31% | 9.81% | |
| 冶金焦 | -9.97% | -6.69% | |
| 雞蛋 | -1.38% | -3.38% | |
| 煉焦煤 | 9.46% | 10.44% | |
| LLDPE | -3.37% | 2.04% | 2σ外 |
| 生豬 | -6.12% | -6.58% | |
| 豆粕 | 8.56% | 4.33% | |
| 棕櫚油(期) | 8.40% | 5.32% | |
| 液化氣 | 13.09% | -6.43% | 1σ外 |
| PP(拉絲) | -1.77% | 2.95% | 1σ外 |
| PVC | -6.66% | 1.94% | 2σ外 |
| 大豆油 | 4.65% | 3.76% | |
| 皮棉 | 4.51% | 2.17% | |
| 棉紗32S | 5.39% | 5.73% | |
| 玻璃 | -12.72% | 7.42% | 2σ外 |
| 甲醇(期) | -7.07% | -3.46% | |
| 菜籽油 | 3.69% | 4.89% | |
| 滌綸短纖 | -2.92% | -0.46% | |
| 小麥 | 15.64% | 4.52% | 2σ外 |
| 菜籽粕 | -3.27% | 0.10% | |
| 油菜籽(期) | 5.25% | 8.55% | |
| 重質(zhì)純堿 | -10.22% | 3.61% | 1σ外 |
| 硅鐵 | -8.62% | -1.17% | 1σ外 |
| 錳硅 | -3.27% | -2.00% | |
| 白糖 | -0.23% | 3.79% | |
| PTA | -0.74% | -0.02% | |
| 尿素 | -1.96% | 4.56% | 1σ外 |
| 動(dòng)力煤 | 25.93% | 7.51% | 1σ外 |
| 銅(期) | 0.26% | 0.29% | |
| 鋁(期) | 0.42% | 0.57% | |
| 鋅(期) | 0.20% | 3.24% | 2σ外 |
| 鉛(期) | 0.42% | 0.71% | |
| 鎳(期) | 1.86% | 1.19% | |
| 錫(期) | 0.64% | 1.33% | |
| 黃金 | -0.35% | -0.54% | |
| 白銀 | 0.03% | -1.07% | 1σ外 |
| 螺紋鋼 | -2.45% | 1.92% | |
| 線材 | -6.43% | -2.16% | |
| 熱軋板卷 | -0.70% | 4.02% | 1σ外 |
| 不銹鋼 | 1.65% | 4.57% | |
| 燃料油 | 40.33% | 48.33% | 1σ外 |
| 瀝青 | -3.44% | 4.08% | |
| 天然橡膠 | -7.49% | -5.35% | |
| 針葉木漿 | -2.87% | 0.23% |
2022-02-08基差率在5年內(nèi)的分布
| 商品名稱 | 當(dāng)日基差率 | 均值 | 分布 |
| 大豆(期) | -3.51% | -0.42% | |
| 玉米 | -4.12% | -1.89% | |
| 玉米淀粉 | 3.14% | 8.11% | 1σ外 |
| 苯乙烯 | 0.60% | 0.73% | |
| 乙二醇 | -3.74% | 2.70% | 1σ外 |
| 鐵礦石(澳) | 15.31% | 7.64% | 1σ外 |
| 冶金焦 | -9.97% | -4.40% | |
| 雞蛋 | -1.38% | -7.32% | |
| 煉焦煤 | 9.46% | 11.59% | |
| LLDPE | -3.37% | 2.19% | 2σ外 |
| 生豬 | -6.12% | -6.58% | |
| 豆粕 | 8.56% | 4.20% | 1σ外 |
| 棕櫚油(期) | 8.40% | 4.04% | |
| 液化氣 | 13.09% | -6.43% | 1σ外 |
| PP(拉絲) | -1.77% | 2.30% | 1σ外 |
| PVC | -6.66% | 0.81% | 1σ外 |
| 大豆油 | 4.65% | 1.91% | |
| 皮棉 | 4.51% | 1.88% | |
| 棉紗32S | 5.39% | 4.64% | |
| 玻璃 | -12.72% | 5.86% | 2σ外 |
| 甲醇(期) | -7.07% | -1.92% | |
| 菜籽油 | 3.69% | 2.70% | |
| 滌綸短纖 | -2.92% | -0.46% | |
| 小麥 | 15.64% | 2.51% | 2σ外 |
| 菜籽粕 | -3.27% | 1.42% | 1σ外 |
| 油菜籽(期) | 5.25% | 5.15% | |
| 重質(zhì)純堿 | -10.22% | 3.61% | 1σ外 |
| 硅鐵 | -8.62% | -0.40% | 1σ外 |
| 錳硅 | -3.27% | 0.04% | |
| 白糖 | -0.23% | 4.34% | 1σ外 |
| PTA | -0.74% | 1.02% | |
| 尿素 | -1.96% | 4.56% | 1σ外 |
| 動(dòng)力煤 | 25.93% | 6.11% | 2σ外 |
| 銅(期) | 0.26% | 0.11% | |
| 鋁(期) | 0.42% | -0.21% | |
| 鋅(期) | 0.20% | 3.39% | 2σ外 |
| 鉛(期) | 0.42% | 0.86% | |
| 鎳(期) | 1.86% | 0.97% | |
| 錫(期) | 0.64% | 0.61% | |
| 黃金 | -0.35% | -0.69% | |
| 白銀 | 0.03% | -1.36% | 1σ外 |
| 螺紋鋼 | -2.45% | 4.10% | 1σ外 |
| 線材 | -6.43% | 7.32% | |
| 熱軋板卷 | -0.70% | 4.82% | 1σ外 |
| 不銹鋼 | 1.65% | 4.57% | |
| 燃料油 | 40.33% | 31.95% | |
| 瀝青 | -3.44% | 5.36% | |
| 天然橡膠 | -7.49% | -7.22% | |
| 針葉木漿 | -2.87% | 0.68% |
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