The monthly cost of rebar can be divided into two situations: one is the cost of closing the position before the delivery month and the other is the cost of not delaying delivery; Second, the recent contract will be delivered to the delivery month without warehouse receipt, and the cost analysis will be postponed until the delivery next month. (Rebar cost analysis is based on 4500 yuan/ton, 13% deposit, 5.3 1% one-year loan interest rate and 2.25% one-year deposit interest rate) 1. Cost analysis in the case of non-delivery.

Transaction fee: for opening and closing positions in recent month and far month, the fee = 2% * 4,500 * 2 * 2 = 3.6 yuan/ton;

Interest occupied by self-owned funds (monthly bilateral) =13% * 2.25%12 * 4,500 yuan/ton =2. 1 yuan/ton, and interest occupied by loan funds (monthly bilateral).

=13% × 2× 5.31%12× 4,500 yuan/ton =5.2 yuan/ton; Therefore, if the goods are not delivered, the monthly cost per ton will be at least around 10 yuan. The main reason why the basis difference between contracts can be reduced is the existence of delivery mechanism, so according to the theory of "position fee", the reasonable price difference should be estimated according to the delivery situation. 2. Cost analysis at the time of delivery

1, storage fee: 0. 15 yuan/ton/day, calculated at 30 days per month, and the storage fee for 1 month is 4.5 yuan/ton. 2. Delivery fee: 2 yuan/ton, twice delivery fee 4 yuan/ton.

3. Transaction fee: 2% of the total amount of each transaction, and the handling fee is 0.9 yuan/ton, which is equivalent to 1.8 yuan/ton for two transactions. 4. Fund interest: the one-year loan interest rate is 5.3 1%, and the interest expense is = 4,500 * 5.31%*1/60.

5. Value-added tax: Value-added tax is calculated according to the settlement price on the matching day of the delivery month, so the value-added tax is uncertain. At the price difference of 100 yuan/ton,100/(1+17%) ×17% =14.5 yuan/ton.

Theoretical price difference: 4.5+4+1.8+20+14.5 = 44.8 yuan/ton, which is about 45 yuan/ton.

There are two problems in arbitrage every other month: first, the rebar contract design stipulates that "from production to termination, the physical validity of futures delivery is 90 days, and it will enter the registration library within 30 days after production". In this way, the actual validity of the warehouse receipt is only over 2 months. When you receive the warehouse receipt, your warehouse receipt may have exceeded the validity period of one month, so you can't postpone the sale and delivery until next month; Second, when arbitraging every other month, generally, one of the contracts is the main contract and the other contract is the non-main contract, so the positions are small, the trading is inactive, the price fluctuation is difficult, and the capacity of the non-main contract is limited, which is not suitable for large capital arbitrage. Only need to consider the arbitrage between the main contracts. Need more information /p/4537285348