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Monitoring Of The Basis Rate Distribution Of Commodity Futures
Definition of business agency: basis rate = main basis / spot price × 100%。 According to the business community's monitoring of the basis rate for more than 10 years, the basis rate conforms to the normal distribution in a long period, and has the following characteristics:
1. The change of base rate has a certain trend;
2. When the base ratio is enlarged to a certain extent, it will return.
? ? The distribution of the latest basis rate of each commodity futures in different periods has been calculated by the business association (see the following tables). Based on normal distribution theory: 1 σ The investment opportunity is larger than the average value of ± 1 standard deviation; two σ There are more opportunities for foreign investment.
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Distribution of basis rate in 6 months on August 23, 2021
| Trade name | Daily basis rate | one σ Outside | two σ Outside |
| Soybean (stage) | 1.87% | yes | ? |
| Corn | 9.05% | ? | yes |
| corn starch | 13.18% | yes | ? |
| styrene | 1.60% | ? | ? |
| 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% | ? | ? |
| Live pig | -17.25% | ? | ? |
| Soybean meal | 4.27% | yes | ? |
| Palm oil (phase) | 10.46% | ? | ? |
| liquid gas | -5.82% | ? | ? |
| PP (drawing) | 1.85% | ? | ? |
| PVC | 1.21% | ? | ? |
| soybean oil | 5.66% | ? | ? |
| lint | 3.34% | yes | ? |
| Cotton yarn 32S | 4.04% | ? | ? |
| Glass | 11.57% | yes | ? |
| Methanol (phase) | -10.12% | yes | ? |
| Rapeseed oil | 2.67% | yes | ? |
| Polyester staple fiber | 1.99% | ? | ? |
| Wheat | 5.85% | ? | yes |
| Rapeseed meal | 7.15% | ? | yes |
| Rapeseed (stage) | -1.70% | yes | ? |
| Heavy soda ash | -10.67% | ? | ? |
| ferrosilicon | -9.16% | ? | ? |
| Manganese silicon | -7.23% | yes | ? |
| White sugar | -3.50% | ? | yes |
| PTA | 0.07% | ? | ? |
| urea | 17.53% | yes | ? |
| Steam coal | 19.94% | yes | ? |
| Copper (Changjiang nonferrous metals) | 1.17% | ? | yes |
| Aluminum (Changjiang nonferrous metals) | 0.32% | ? | ? |
| Zinc (Changjiang nonferrous metals) | 3.65% | yes | ? |
| Lead (Changjiang nonferrous metals) | 1.03% | yes | ? |
| Nickel (Changjiang nonferrous metals) | 2.62% | ? | yes |
| Tin (Changjiang nonferrous metals) | 3.25% | ? | yes |
| gold | -0.04% | ? | ? |
| silver | -0.94% | ? | ? |
| Screw thread steel | -0.65% | yes | ? |
| wire rod | -5.75% | ? | ? |
| Hot rolled coil | 4.35% | yes | ? |
| stainless steel | 6.42% | ? | ? |
| fuel oil | 48.93% | yes | ? |
| asphalt | 11.36% | yes | ? |
| Natural rubber | -10.03% | ? | yes |
| softwood pulp | 4.24% | yes | ? |
Note: 1 σ It means that the distribution of base deviation rate is beyond ± 1 standard deviation of the average value;
two σ It means that the distribution of base deviation rate is beyond ± 2 standard deviations of the average value.
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The distribution of basis rate in 2021-08-23 in one year
| Trade name | Daily basis rate | one σ Outside | two σ Outside |
| Soybean (stage) | 1.87% | ? | ? |
| Corn | 9.05% | yes | ? |
| corn starch | 13.18% | yes | ? |
| styrene | 1.60% | ? | ? |
| glycol | 8.02% | yes | ? |
| Iron ore (Australia) | 25.10% | yes | ? |
| Metallurgical coke | 5.65% | yes | ? |
| egg | 13.41% | yes | ? |
| coking coal | 12.63% | yes | ? |
| LLDPE | 2.30% | ? | ? |
| Live pig | -17.25% | ? | ? |
| Soybean meal | 4.27% | ? | ? |
| Palm oil (phase) | 10.46% | ? | ? |
| liquid gas | -5.82% | ? | ? |
| PP (drawing) | 1.85% | ? | ? |
| PVC | 1.21% | ? | ? |
| soybean oil | 5.66% | ? | ? |
| lint | 3.34% | yes | ? |
| Cotton yarn 32S | 4.04% | ? | ? |
| Glass | 11.57% | yes | ? |
| Methanol (phase) | -10.12% | ? | ? |
| Rapeseed oil | 2.67% | yes | ? |
| Polyester staple fiber | 1.99% | yes | ? |
| Wheat | 5.85% | yes | ? |
| Rapeseed meal | 7.15% | ? | yes |
| Rapeseed (stage) | -1.70% | yes | ? |
| Heavy soda ash | -10.67% | ? | ? |
| ferrosilicon | -9.16% | ? | ? |
| Manganese silicon | -7.23% | yes | ? |
| White sugar | -3.50% | yes | ? |
| PTA | 0.07% | yes | ? |
| urea | 17.53% | ? | yes |
| Steam coal | 19.94% | yes | ? |
| Copper (Changjiang nonferrous metals) | 1.17% | ? | yes |
| Aluminum (Changjiang nonferrous metals) | 0.32% | ? | ? |
| Zinc (Changjiang nonferrous metals) | 3.65% | ? | ? |
| Lead (Changjiang nonferrous metals) | 1.03% | ? | ? |
| Nickel (Changjiang nonferrous metals) | 2.62% | yes | ? |
| Tin (Changjiang nonferrous metals) | 3.25% | ? | yes |
| gold | -0.04% | ? | ? |
| silver | -0.94% | ? | ? |
| Screw thread steel | -0.65% | ? | ? |
| wire rod | -5.75% | ? | ? |
| Hot rolled coil | 4.35% | yes | ? |
| stainless steel | 6.42% | ? | ? |
| fuel oil | 48.93% | ? | ? |
| asphalt | 11.36% | yes | ? |
| Natural rubber | -10.03% | yes | ? |
| softwood pulp | 4.24% | yes | ? |
?
The distribution of the basis rate of 2021-08-23 in three years
| Trade name | Daily basis rate | one σ Outside | two σ Outside |
| Soybean (stage) | 1.87% | ? | ? |
| Corn | 9.05% | ? | yes |
| corn starch | 13.18% | yes | ? |
| styrene | 1.60% | ? | ? |
| glycol | 8.02% | yes | ? |
| Iron ore (Australia) | 25.10% | ? | yes |
| Metallurgical coke | 5.65% | yes | ? |
| egg | 13.41% | yes | ? |
| coking coal | 12.63% | ? | ? |
| LLDPE | 2.30% | ? | ? |
| Live pig | -17.25% | ? | ? |
| Soybean meal | 4.27% | ? | ? |
| Palm oil (phase) | 10.46% | yes | ? |
| liquid gas | -5.82% | ? | ? |
| PP (drawing) | 1.85% | ? | ? |
| PVC | 1.21% | ? | ? |
| soybean oil | 5.66% | ? | ? |
| lint | 3.34% | ? | ? |
| Cotton yarn 32S | 4.04% | ? | ? |
| Glass | 11.57% | ? | ? |
| Methanol (phase) | -10.12% | yes | ? |
| Rapeseed oil | 2.67% | ? | ? |
| Polyester staple fiber | 1.99% | yes | ? |
| Wheat | 5.85% | ? | ? |
| Rapeseed meal | 7.15% | ? | yes |
| Rapeseed (stage) | -1.70% | yes | ? |
| Heavy soda ash | -10.67% | ? | ? |
| ferrosilicon | -9.16% | yes | ? |
| Manganese silicon | -7.23% | yes | ? |
| White sugar | -3.50% | ? | yes |
| PTA | 0.07% | ? | ? |
| urea | 17.53% | ? | yes |
| Steam coal | 19.94% | ? | yes |
| Copper (Changjiang nonferrous metals) | 1.17% | yes | ? |
| Aluminum (Changjiang nonferrous metals) | 0.32% | ? | ? |
| Zinc (Changjiang nonferrous metals) | 3.65% | ? | ? |
| Lead (Changjiang nonferrous metals) | 1.03% | ? | ? |
| Nickel (Changjiang nonferrous metals) | 2.62% | ? | ? |
| Tin (Changjiang nonferrous metals) | 3.25% | yes | ? |
| gold | -0.04% | yes | ? |
| silver | -0.94% | ? | ? |
| Screw thread steel | -0.65% | ? | ? |
| wire rod | -5.75% | ? | ? |
| Hot rolled coil | 4.35% | ? | ? |
| stainless steel | 6.42% | ? | ? |
| fuel oil | 48.93% | ? | ? |
| asphalt | 11.36% | ? | ? |
| Natural rubber | -10.03% | yes | ? |
| softwood pulp | 4.24% | yes | ? |
?
The distribution of basis rate in 2021-08-23 in five years
| Trade name | Daily basis rate | one σ Outside | two σ Outside |
| Soybean (stage) | 1.87% | ? | ? |
| Corn | 9.05% | yes | ? |
| corn starch | 13.18% | ? | ? |
| styrene | 1.60% | ? | ? |
| glycol | 8.02% | yes | ? |
| Iron ore (Australia) | 25.10% | ? | yes |
| Metallurgical coke | 5.65% | ? | ? |
| egg | 13.41% | yes | ? |
| coking coal | 12.63% | ? | ? |
| LLDPE | 2.30% | ? | ? |
| Live pig | -17.25% | ? | ? |
| Soybean meal | 4.27% | ? | ? |
| Palm oil (phase) | 10.46% | yes | ? |
| liquid gas | -5.82% | ? | ? |
| PP (drawing) | 1.85% | ? | ? |
| PVC | 1.21% | ? | ? |
| soybean oil | 5.66% | yes | ? |
| lint | 3.34% | ? | ? |
| Cotton yarn 32S | 4.04% | ? | ? |
| Glass | 11.57% | yes | ? |
| Methanol (phase) | -10.12% | yes | ? |
| Rapeseed oil | 2.67% | ? | ? |
| Polyester staple fiber | 1.99% | yes | ? |
| Wheat | 5.85% | ? | ? |
| Rapeseed meal | 7.15% | yes | ? |
| Rapeseed (stage) | -1.70% | ? | ? |
| Heavy soda ash | -10.67% | ? | ? |
| ferrosilicon | -9.16% | yes | ? |
| Manganese silicon | -7.23% | yes | ? |
| White sugar | -3.50% | yes | ? |
| PTA | 0.07% | ? | ? |
| urea | 17.53% | ? | yes |
| Steam coal | 19.94% | ? | yes |
| Copper (Changjiang nonferrous metals) | 1.17% | yes | ? |
| Aluminum (Changjiang nonferrous metals) | 0.32% | ? | ? |
| Zinc (Changjiang nonferrous metals) | 3.65% | ? | ? |
| Lead (Changjiang nonferrous metals) | 1.03% | ? | ? |
| Nickel (Changjiang nonferrous metals) | 2.62% | yes | ? |
| Tin (Changjiang nonferrous metals) | 3.25% | ? | yes |
| gold | -0.04% | yes | ? |
| silver | -0.94% | ? | ? |
| Screw thread steel | -0.65% | ? | ? |
| wire rod | -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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