Business Club: Basis rate distribution monitoring (20210823)
Business community definition: Basis rate = main basis/spot price × 100%. According to the monitoring of the basis rate by the Business Society for more than 10 years, it was found that the basis rate in a longer period conforms to the normal distribution and has the following characteristics:
1. There is a certain trend in basis rate changes;
2. When the basis rate is enlarged to a certain extent, it will inevitably return.
SunSirs has calculated the distribution of the latest basis rates of various commodity futures in different periods (see the following tables). Based on the normal distribution theory: outside 1σ (meaning that the basis rate is distributed outside the mean ± 1 standard deviation), the investment opportunity is greater; outside 2σ, the investment opportunity is greater.
2021-08-23 Distribution of basis rates within 6 months
| Product name | Daily basis rate | 1σOutside | 2σOutside |
| Soybeans (period) | 1.87% | Yes | |
| Corn | 9.05% | Yes | |
| Cornstarch | 13.18% | Yes | |
| Styrene | 1.60% | ||
| Ethylene glycol | 8.02% | ||
| Iron Ore(Australia) | 25.10% | Yes | |
| Metallurgical coke | 5.65% | ||
| Egg | 13.41% | Yes | |
| Coking coal | 12.63% | Yes | |
| LLDPE | 2.30% | ||
| Pig | -17.25% | ||
| Soybean meal | 4.27% | Yes | |
| Palm oil(period) | 10.46% | ||
| Liquefied gas | -5.82% | ||
| PP(brushed) | 1.85% | ||
| PVC | |||
| Rapeseed(issue) | -1.70% | ||
| Heavy soda ash | -10.67% | ||
| Ferrosilicon | -9.16% | Yes | |
| Manganese silicon | -7.23% | Yes | |
| Sugar | -3.50% | Yes | |
| PTA | 0.07% | ||
| Urea | 17.53% | Yes | |
| Thermal coal | 19.94% | Yes | |
| Copper (Yangtze River Nonferrous) | 1.17% | Yes | |
| Aluminum (Yangtze River Nonferrous) | 0.32% | ||
| Zinc (Yangtze River Nonferrous) | 3.65% | ||
| Lead (Yangtze River Nonferrous) | 1.03% | ||
| Nickel (Yangtze River Nonferrous) | 2.62% | Yes | |
| Tin(Yangtze River Nonferrous) | 3.25% | Yes | |
| Gold | -0.04% | Yes | |
| Silver | -0.94% | ||
| Rebar | -0.65% | ||
| Wire | -5.75% | ||
| Hot rolled coil | 4.35% | ||
| Stainless steel | 6.42% | ||
| Fuel oil | 48.93% | ||
| Asphalt | 11.36% | ||
| Natural rubber | -10.03% | ||
| Softwood pulp | 4.24% | Yes |
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Disclaimer:
Disclaimer: Some of the texts, pictures, audios, and videos of some articles published on this site are from the Internet and do not represent the views of this site. The copyrights belong to the original authors. If you find that the information reproduced on this website infringes upon your rights and interests, please contact us and we will change or delete it as soon as possible.
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