The three arbitrage modes are:
1) Cross-variety arbitrage
Cross-variety arbitrage refers to the arbitrage form between two varieties with high correlation, such as wheat and corn (which can be substituted for each other as grain and feed), soybean and corn (whose price ratio is in a dynamic equilibrium range under the condition of consistent sowing benefit theory), copper and aluminum (because their substitution fields are not suitable at present), strong wheat and hard wheat (the latter includes the former) and so on. There is also arbitrage between upstream raw materials and downstream products, such as oil extraction arbitrage and anti-oil extraction arbitrage between soybeans and soybean meal, and the upcoming soybean oil contract, which is a very mature arbitrage method in CBOT market.
Let's take soybean oil arbitrage as an example:
The activity of soybean meal contract in Dashang Institute provides the market with new opportunities for cross-variety arbitrage of soybean meal, soybean oil and soybean. Because there is a relationship between soybean, soybean meal and soybean oil of "100% soybean = 18.5% soybean meal +3% loss", there is also a relationship of "100% soybean * purchase price+processing cost+profit = 18.5". The purpose is to prevent the risk of sudden increase in soybean prices or sudden decline in soybean oil and soybean meal prices. Its practice is to buy soybean futures contracts and sell soybean oil and soybean meal futures contracts at the same time. Reverse soybean oil arbitrage is an arbitrage method used by investors when the market price is abnormal. When the soybean price rises sharply due to some factors, they sell soybean futures contracts and buy soybean oil and soybean meal futures contracts. Since the soybean oil futures contract is planned to be launched in China, investors can refer to the spot price to calculate the price relationship between soybean and soybean meal/soybean oil, so as to determine the specific method and opportunity to enter the market.
2) Intertemporal arbitrage
Intertemporal arbitrage refers to arbitrage trading by using the price difference of the same commodity on the same exchange but different futures contracts in different delivery months. For example, in Dalian Commodity Exchange, I bought 1 soybean futures and sold the same amount of May soybean futures, expecting to sell the 1 contract at a favorable price in the future and make a profit by buying the May contract.
In view of the characteristics of profit sources of intertemporal arbitrage, it is necessary to have a clear understanding of the price relationship in different delivery months to do intertemporal arbitrage well. Every futures contract that is listed and traded has more than two delivery months, among which, those close to the spot monthly share are called near-term contracts, and those far away from the spot monthly share are called forward contracts. Whether it is a recent contract or a forward contract, with the approach of their respective delivery months, the difference between them and the spot price will gradually narrow until it converges. However, as long as the spread between the recent contract price and the forward contract price fluctuates within a reasonable range (arbitrage range), there is no convergence problem of the spread. The best arbitrage products are generally those whose prices fluctuate seasonally.
3) Cross-market arbitrage
Cross-market arbitrage refers to the activities that speculators use the futures prices of the same commodity in different exchanges and buy and sell futures contracts in two exchanges at the same time to make profits. The specific operation method is that the futures exchange buys futures contracts for one delivery month and sells futures contracts for the same delivery month at another exchange. When the price difference of the same commodity in two exchanges exceeds the transportation cost of the commodity from the delivery warehouse of one exchange to the delivery warehouse of another exchange, it can be expected that their prices will shrink, reflecting the real cross-market delivery cost in a certain period in the future. For example, if the price of wheat is much higher than that of Kansas City Futures Exchange, which exceeds the transportation cost and delivery cost, then a spot dealer will buy wheat from Kansas City Futures Exchange and transport it to Chicago Futures Exchange for delivery. In China, the listed products of the three exchanges are different, and there is no way to connect with foreign exchanges. Therefore, cross-market arbitrage cannot be achieved.
1. Futures can be bought and sold on the same day, which is a T+0 transaction. Buy low and sell high, or sell high first.
Buy at a low price and close the position.
2. The master contract refers to the contract in the most active month.
3. In addition to the above three kinds of arbitrage and unilateral quotation (buy up or buy down), you can also make a firm offer.
Li. Buy futures (note: futures are just a contract) and sell the spot. Buy spot and sell futures.