國(guo)外(wai)疫情繼續蔓延，歐美股(gu)市(shi)和原(yuan)油暴(bao)跌，但螺紋(wen)(wen)(wen)鋼價(jia)格(ge)(ge)卻非(fei)常堅挺，被(bei)市(shi)場賦予“螺紋(wen)(wen)(wen)金”的稱號。主(zhu)要原(yuan)因是螺紋(wen)(wen)(wen)進出口占消費(fei)比重(zhong)較小(xiao)，價(jia)格(ge)(ge)漲跌主(zhu)要取決于(yu)國(guo)內宏(hong)觀環(huan)境和供需狀況。3月(yue)13日，螺紋(wen)(wen)(wen)鋼05合約基差8元(yuan)/噸(dun)，16日基差擴大至117元(yuan)/噸(dun)，目前市(shi)場比較關注期貨接近(jin)平水后，鋼價(jia)將何(he)去(qu)何(he)從？為此(ci)筆者對歷年螺紋(wen)(wen)(wen)05和10合約3月(yue)中(zhong)旬接近(jin)平水或(huo)升水合約的基差走(zou)勢進行了分析研究。

核心觀點

螺紋(wen)鋼(gang)期(qi)貨上市以(yi)來(lai)，3月(yue)(yue)中(zhong)旬接近平水或(huo)升(sheng)水的螺紋(wen)05和10合(he)(he)約基差隨后(hou)(hou)兩個月(yue)(yue)均(jun)走強(qiang)(qiang)(qiang)，后(hou)(hou)期(qi)現貨將(jiang)強(qiang)(qiang)(qiang)于期(qi)貨。自2016年鋼(gang)鐵供(gong)給(gei)側改革(ge)以(yi)來(lai)，鋼(gang)廠利(li)(li)潤大(da)幅增加(jia)(jia)，資產(chan)負債表(biao)持(chi)續(xu)修復，雖(sui)目前(qian)鋼(gang)廠庫(ku)存銷(xiao)售壓力(li)非常大(da)，資金周轉面臨一定壓力(li)，但(dan)尚(shang)未達到急需采(cai)取降(jiang)價(jia)(jia)(jia)銷(xiao)售以(yi)緩解資金周轉的地(di)步，鋼(gang)廠挺價(jia)(jia)(jia)意愿較強(qiang)(qiang)(qiang)。政策(ce)逆(ni)周期(qi)調節加(jia)(jia)強(qiang)(qiang)(qiang)預期(qi)較高，貿易商虧(kui)損(sun)出(chu)貨意愿偏低(di)，挺價(jia)(jia)(jia)意愿較高。目前(qian)建(jian)(jian)材消(xiao)費大(da)幅增加(jia)(jia)，建(jian)(jian)筑工(gong)(gong)地(di)復工(gong)(gong)仍(reng)有空(kong)間，為按期(qi)完成工(gong)(gong)期(qi)或(huo)盡量少(shao)延后(hou)(hou)工(gong)(gong)期(qi)，建(jian)(jian)筑工(gong)(gong)地(di)必將(jiang)采(cai)取趕工(gong)(gong)措施，而且今年消(xiao)費旺季將(jiang)主要體現在4月(yue)(yue)和5月(yue)(yue)，消(xiao)費仍(reng)有增長空(kong)間。漲(zhang)價(jia)(jia)(jia)去庫(ku)概率較大(da)。電(dian)爐虧(kui)損(sun)產(chan)能利(li)(li)用率較低(di)，若鋼(gang)價(jia)(jia)(jia)大(da)漲(zhang)，電(dian)爐利(li)(li)潤修復產(chan)量釋放(fang)將(jiang)使(shi)供(gong)給(gei)端(duan)壓力(li)加(jia)(jia)大(da)。同時螺紋(wen)鋼(gang)坯價(jia)(jia)(jia)差高位，盤(pan)面壓力(li)增加(jia)(jia)。因(yin)此綜(zong)合(he)(he)來(lai)看，后(hou)(hou)期(qi)鋼(gang)價(jia)(jia)(jia)將(jiang)上漲(zhang)，但(dan)空(kong)間將(jiang)受到限制。

單邊策略：螺紋鋼2010合約仍可輕倉試(shi)多關注3700—3800的壓力位。

期(qi)(qi)現(xian)策略：做多基差(cha)策略，買現(xian)貨空期(qi)(qi)貨。

套利策略(lve)：螺紋(wen)(wen)(wen)10-01正套：1.四季(ji)度仍有(you)3862萬噸的鋼(gang)鐵置換產(chan)能投(tou)產(chan)，01合約(yue)(yue)供給壓力大于10合約(yue)(yue)。2.逆(ni)周期調節主要(yao)受益(yi)合約(yue)(yue)為2010合約(yue)(yue)。3.螺紋(wen)(wen)(wen)10為消費旺季(ji)合約(yue)(yue)而01為淡季(ji)合約(yue)(yue)。推薦螺紋(wen)(wen)(wen)10—01正套投(tou)資策略(lve)。

歷年螺紋05和10合約平水或升水后基差均走強

自(zi)螺(luo)(luo)(luo)紋鋼期(qi)貨上(shang)(shang)市以來，3月(yue)(yue)中旬處(chu)(chu)于平(ping)水(shui)(shui)或(huo)升(sheng)水(shui)(shui)的(de)螺(luo)(luo)(luo)紋05合(he)約分別為：RB1005、RB1105、RB1205、RB1305、RB1505、RB2005。3月(yue)(yue)15日至(zhi)(zhi)4月(yue)(yue)30日（螺(luo)(luo)(luo)紋05合(he)約對應(ying)的(de)年份）：RB1005基(ji)(ji)(ji)(ji)差(cha)由(you)-253元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升(sheng)至(zhi)(zhi)81元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1105基(ji)(ji)(ji)(ji)差(cha)由(you)10元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升(sheng)至(zhi)(zhi)68元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1205基(ji)(ji)(ji)(ji)差(cha)由(you)28元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升(sheng)至(zhi)(zhi)217元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1305基(ji)(ji)(ji)(ji)差(cha)由(you)-54元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升(sheng)至(zhi)(zhi)149元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1505基(ji)(ji)(ji)(ji)差(cha)由(you)-11元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升(sheng)至(zhi)(zhi)194元(yuan)(yuan)(yuan)/噸(dun)(dun)(dun)(dun)(dun)。歷年3月(yue)(yue)中旬處(chu)(chu)于平(ping)水(shui)(shui)或(huo)者升(sheng)水(shui)(shui)的(de)螺(luo)(luo)(luo)紋05合(he)約，在進(jin)入(ru)交割月(yue)(yue)前基(ji)(ji)(ji)(ji)差(cha)均走強。

自螺紋(wen)鋼期(qi)貨上(shang)(shang)市以來(lai)，3月中旬接近平水或升水的螺紋(wen)10合約分別為：RB1010、RB1110、RB1210、RB1310、RB1410、RB1510、RB2010。3月15日至(zhi)(zhi)5月15日（螺紋(wen)10合約對應的年份）：RB1010基(ji)差(cha)(cha)由(you)(you)-687元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)-114元(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1110基(ji)差(cha)(cha)由(you)(you)-7元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)213元(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1210基(ji)差(cha)(cha)由(you)(you)3元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)209元(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1310基(ji)差(cha)(cha)由(you)(you)-107元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)49元(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1410基(ji)差(cha)(cha)由(you)(you)-25元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)96元(yuan)/噸(dun)(dun)(dun)(dun)(dun)，RB1510基(ji)差(cha)(cha)由(you)(you)-118元(yuan)/噸(dun)(dun)(dun)(dun)(dun)上(shang)(shang)升至(zhi)(zhi)-42元(yuan)/噸(dun)(dun)(dun)(dun)(dun)。歷年3月中旬處(chu)于平水或者升水的螺紋(wen)10合約，在隨后(hou)兩個月基(ji)差(cha)(cha)均走強。

綜(zong)合來看：自(zi)螺(luo)紋(wen)鋼期(qi)(qi)(qi)貨上市以(yi)來，3月(yue)(yue)中旬接(jie)近平水或升(sheng)水的螺(luo)紋(wen)05和(he)10合約(yue)基差(cha)隨后(hou)兩個(ge)月(yue)(yue)均(jun)走強。主要原因為3月(yue)(yue)和(he)4月(yue)(yue)是螺(luo)紋(wen)鋼消費旺(wang)季，旺(wang)季初期(qi)(qi)(qi)市場預期(qi)(qi)(qi)強于(yu)現(xian)實供需(xu)，期(qi)(qi)(qi)貨強于(yu)現(xian)貨，期(qi)(qi)(qi)貨接(jie)近平水或者升(sheng)水。旺(wang)季中后(hou)期(qi)(qi)(qi)，現(xian)貨強于(yu)期(qi)(qi)(qi)貨，基差(cha)走強。

小幅漲價去庫存概率較大

1.鋼廠和貿易商(shang)挺價意愿較強

截止(zhi)3月(yue)13日(ri)，螺紋鋼(gang)(gang)(gang)(gang)鋼(gang)(gang)(gang)(gang)廠庫存(cun)750萬(wan)噸，較(jiao)前4年(nian)庫存(cun)的歷史(shi)峰值高(gao)96%，庫存(cun)銷(xiao)(xiao)售(shou)壓力(li)非常大(da)。自(zi)2016年(nian)鋼(gang)(gang)(gang)(gang)鐵供給側(ce)改革以來，鋼(gang)(gang)(gang)(gang)廠利(li)潤(run)大(da)幅增加，資產負債表持續修復，雖目前鋼(gang)(gang)(gang)(gang)廠庫存(cun)銷(xiao)(xiao)售(shou)壓力(li)非常大(da)，資金周(zhou)轉面(mian)臨(lin)一定壓力(li)，但尚未達到(dao)急需采取降價銷(xiao)(xiao)售(shou)以緩解資金周(zhou)轉的地步，鋼(gang)(gang)(gang)(gang)廠挺價意愿較(jiao)強，沙鋼(gang)(gang)(gang)(gang)、中天鋼(gang)(gang)(gang)(gang)鐵等鋼(gang)(gang)(gang)(gang)廠公(gong)布(bu)3月(yue)中旬(xun)鋼(gang)(gang)(gang)(gang)材(cai)銷(xiao)(xiao)售(shou)價格維穩(wen)。

2.貿易商挺價意愿強

截止3月16日，螺紋(wen)鋼價格較節(jie)(jie)前下跌200元/噸(dun)，貿(mao)易商冬儲略虧(kui)損(sun)。為對(dui)沖疫情對(dui)經濟的影響，政府在(zai)基建、貨幣流動性等方面逆(ni)周期(qi)(qi)調節(jie)(jie)加(jia)強(qiang)。貿(mao)易商虧(kui)損(sun)出貨意(yi)愿偏低，政策逆(ni)周期(qi)(qi)調節(jie)(jie)加(jia)強(qiang)預期(qi)(qi)較高，挺(ting)價意(yi)愿較強(qiang)。

3.復工仍有空間

截止3月(yue)16日，全(quan)國主(zhu)流貿易商建(jian)(jian)(jian)(jian)材(cai)成(cheng)交量達到(dao)了(le)22.56萬噸(dun)，周環比增(zeng)加58%，同比增(zeng)加18%。住建(jian)(jian)(jian)(jian)部表示，截至(zhi)3月(yue)8日，全(quan)國房(fang)屋建(jian)(jian)(jian)(jian)筑和市政基(ji)礎設施(shi)(shi)工(gong)(gong)(gong)(gong)(gong)程開復工(gong)(gong)(gong)(gong)(gong)率達58.15%，建(jian)(jian)(jian)(jian)筑工(gong)(gong)(gong)(gong)(gong)程復工(gong)(gong)(gong)(gong)(gong)率仍(reng)(reng)有較大提升(sheng)空(kong)(kong)間。受(shou)疫情(qing)影響，建(jian)(jian)(jian)(jian)筑工(gong)(gong)(gong)(gong)(gong)地(di)復工(gong)(gong)(gong)(gong)(gong)延遲(chi)30-40天，為按(an)期完成(cheng)工(gong)(gong)(gong)(gong)(gong)期或盡量少延后(hou)工(gong)(gong)(gong)(gong)(gong)期，建(jian)(jian)(jian)(jian)筑工(gong)(gong)(gong)(gong)(gong)地(di)必將采取趕(gan)(gan)工(gong)(gong)(gong)(gong)(gong)措施(shi)(shi)，消費(fei)(fei)將集(ji)中釋(shi)放(fang)。同時3月(yue)和4月(yue)為傳統(tong)建(jian)(jian)(jian)(jian)材(cai)消費(fei)(fei)旺(wang)季，今年受(shou)疫情(qing)影響建(jian)(jian)(jian)(jian)筑工(gong)(gong)(gong)(gong)(gong)地(di)復工(gong)(gong)(gong)(gong)(gong)延遲(chi)，消費(fei)(fei)旺(wang)季將主(zhu)要體(ti)現在4月(yue)和5月(yue)。綜合(he)來看復工(gong)(gong)(gong)(gong)(gong)仍(reng)(reng)有空(kong)(kong)間，建(jian)(jian)(jian)(jian)筑工(gong)(gong)(gong)(gong)(gong)地(di)趕(gan)(gan)工(gong)(gong)(gong)(gong)(gong)，消費(fei)(fei)旺(wang)季延后(hou)，消費(fei)(fei)仍(reng)(reng)有較大增(zeng)長(chang)空(kong)(kong)間。

電爐彈性大，決定上漲高度有限

截止3月13日，全國電爐產能利用率33.40%，環比增加1.78%，較去年同期（61.23%）低27.83%。3月16日，獨立電弧爐利潤-27元/噸，較3月初已大幅回升250元/噸，若電爐利潤繼續修復，產能利用率必將大幅上升，電爐鋼占鋼材產量的比重在12%左右，電爐鋼產量釋放必將對供給端形成較大壓力，將導致鋼價上漲空間有限。

螺紋與鋼坯價差處于高位，盤面壓力增加

截止3月16日，螺紋鋼(gang)(gang)05合約與鋼(gang)(gang)坯(pi)價差363元/噸，處于高位，短流程(cheng)軋材(cai)廠利潤較高，買鋼(gang)(gang)坯(pi)拋螺紋將增(zeng)加，盤面壓力會增(zeng)加。