It can not only avoid the risks faced by unilateral positions, but also obtain relatively stable returns.

Advantage analysis of futures spread trading

Specific classification

Futures spread trading refers to buying (selling) a futures contract, selling (buying) another related futures contract, and hedging both contracts at a certain time. In terms of trading form, futures spread trading is the same as spot spread trading, but spot spread trading is the reverse operation of buying or selling in two markets at the same time. But futures spread trading is an operation of buying and selling two contracts at the same time in the futures market. Traders can use the price difference between different months, different markets and different commodities to conduct futures price difference trading.

Generally speaking, the spread in the futures market is divided into intertemporal spread trading, cross-variety spread trading and cross-market spread trading.

The first type is intertemporal spread trading, which refers to the spread trading of futures contracts in different delivery months of the same commodity on the same exchange. Specifically, when the same exchange buys (sells) a commodity futures contract in a certain delivery month, it sells (buys) a futures contract of the same commodity in another delivery month, so as to hedge and close two futures contracts at the same time at a favorable opportunity.

For example, the contract price of corn 16 1 1 is much higher than 1609, and the price difference is beyond the reasonable range. Investors think that the price difference between them may be narrowed in the later period. They can buy the corn contract 1609 and sell the corn contract 16 1 1, hoping to close their positions and make profits when the price difference converges in the future. This is the most common form of futures price difference trading.

The second is cross-variety spread trading, which refers to the spread trading of futures contracts of two different but interrelated commodities. For example, the profit of steel mills in the black industrial chain = selling X tons of rebar+buying Y tons of iron ore+buying Z tons of coke. At this time, the following conditions should be paid attention to in cross-variety futures spread trading: there should be correlation and mutual substitution between the two commodities; The transaction price is restricted by the same factors; Futures contracts bought or sold should usually be in the same delivery month.

Third, cross-market spread trading refers to trading by using the spread of the same commodity between different markets. Generally speaking, there will be a stable price difference between futures varieties of different exchanges.

For example, Shanghai Gold and COMEX Gold, observing the closing prices (converted into US dollars) of the main contracts in the two markets in the last year, the average price difference is about 14.9 points, and 95% of the data in the confidence interval falls within [3.36,26.43]. When the price difference between the two markets exceeds the transaction cost, traders will conduct cross-market price difference transactions. Take July 7th, 20 15 as an example. When the price difference between Shanghai gold main contract and COMEX gold main contract is USD 50/ton, when the price difference between Shanghai gold and COMEX gold returns to USD 65,438+USD 04.2/ton on July 3 1 day, the profit is RMB 35.8/ton.

Four characteristics

First, volatility is reduced. Because the profit of futures spread trading comes from futures spreads of different contracts, its obvious advantage is low volatility. The fluctuation of futures spread is much smaller than that of futures price. For example, the daily price of Shanghai Copper is generally 400-700 yuan/ton, but the daily price difference between adjacent delivery months is about 80- 100 yuan/ton.

Second, avoid the losses caused by the price limit. The hedging characteristics of futures spread trading can provide protection for ups and downs. Take the intertemporal spread as an example. Because futures spread trading traders both long and short the same commodity, there is usually no big loss in the trading day account. Although the futures spread may not necessarily go in the direction predicted by traders after the price limit is released, the losses caused by it are often much smaller than those caused by unilateral trading.

Third, more attractive risk and revenue winning rate. Although the rate of return of spread trading in each futures is not very high, the probability of success is relatively high, and the long-term cumulative rate of return is still considerable. After all, only a few people can trade unilaterally and make profits, but futures spread trading can obtain relatively stable returns. Therefore, the futures spread has a more attractive risk-return ratio, which is more suitable for investors with large capital operation.

Fourth, futures spreads are easier to predict than futures prices. The futures market price fluctuates greatly, and the factors affecting the relationship between supply and demand of commodity prices are complex, including many uncertain factors, and it is difficult to predict. Futures spread trading is to predict the spread change between two contracts, and it is relatively easy to predict only by paying attention to the difference of each contract's response to the same change in supply and demand.

In short, unilateral market intervention will face the disadvantages of high cost and high risk, while futures spread trading, that is, long and short two-way position intervention, not only avoids high risk, but also provides investors with opportunities for stable income. It is difficult to predict the high point of bull market and the bottom of bear market. If you don't want to feel the "red envelope market" that you can't get, then roll up your sleeves and learn new tools to improve your chances of stable profit and create new opportunities with limited risks and unlimited benefits.

B arbitrage trading of intertemporal spread options

Intertemporal spread option refers to an option contract with the same futures product on the same exchange, but the contract spread is based on different delivery months. Taking Shanghai Copper as an example, assuming that the contract price of Shanghai Copper 1608 is 35,340 yuan/ton, while the contract price of Shanghai Copper 1609 is 35,300 yuan/ton, the intertemporal price difference of Shanghai Copper is 40 yuan/ton. If investors think that the futures spread will converge, they can buy put intertemporal spread options and vice versa.

Specific classification

According to the trading direction, intertemporal spread options can be divided into call intertemporal spread options and put intertemporal spread options.

1. A call intertemporal spread option means that the buyer has the right to buy the underlying asset spread at a specific spread when the spread increases at a certain time in the future, that is, the recent contract is stronger than the forward contract, and the return of the option is Max[S-K, 0].

Second, put the intertemporal spread option, that is, the buyer has the right to sell the underlying asset spread at a specific spread when the spread narrows at a certain time in the future, that is, the future far-month contract is stronger than the near-month contract, and the option income is Max[K-S, 0].

In the above formula, S=S 1-S2. Where S= price difference, S 1= contract price in recent month, and S2= contract price in far month; The target of intertemporal spread option is to subtract the spread S 1-S2 from the recent month contract.

influencing factor

Like the BS option valuation formula, the factors that affect the intertemporal spread option include the underlying asset price (S 1, S2), the volatility (σ 1, σ2), the exercise price K, the market interest rate R, the option duration T, and the correlation coefficient ρ between the near-month contract and the far-month contract. Because the hedging transaction involves two underlying assets, if the correlation coefficient of the two contracts is high, the option fee is relatively cheap; If the correlation coefficient between the two contracts is low, it will increase the difficulty of hedging and greatly increase the option cost.

The above introduction may not make investors have an intuitive feeling about the intertemporal spread option, but the option is not a trading privilege that only professionals can obtain through long-term study. It is actually just a financial policy. Here is a simple case to introduce how to use intertemporal spread options for arbitrage trading.

Operation case

When the contract price of rebar 1605 is 2090 yuan/ton, and the contract price of rebar 16 10 is 2030 yuan/ton, Xiao Zhang thinks that the 60 yuan/ton price difference of rebar is too small, and there should be opportunities for expansion. Therefore, Xiao Zhang decided to carry out multiple spreads when the futures spread was 60 yuan/ton from May to June, that is, buy rebar contract 1605 and sell rebar contract 16 10. Arbitrage by using the spread of futures operation is the simplest and most direct method, but a margin of nearly 2 10 yuan must be prepared for each ton of rebar. Xiao Zhang is worried that the situation of "the strong is not strong and the weak is not weak" will continue in the short term, and he is worried that he will not survive the loss period. So, is there any other simpler way to carry out intertemporal spread arbitrage? The answer is yes.

In the following example, Xiao buys a call option. When the contract price of rebar 1605 is 2090 yuan/ton, and the contract price of rebar 16 10 is 2030 yuan/ton, the price difference between them is 60 yuan/ton, and Xiao Zhang buys 800 tons of one-month call intertemporal spread option at the exercise price of 60 yuan/ton, and the option cost is 3/KLOC.

A month later, the price difference between rebar contract 1605 and rebar contract 16 10 arrived at 189 yuan/ton as scheduled. At this time, Xiao Zhang earned1.64 yuan/ton =189-60/29 yuan.

Let's compare and see the difference between Zhang's direct use of futures arbitrage and making intertemporal spread options. From the numerical analysis of the chart, it can be clearly seen that the utilization rate and return rate of funds using intertemporal spread options are far better than using futures compound spread alone.

Therefore, we can summarize the characteristics of intertemporal spread options as follows:

First, improve the efficiency of capital use. Whether it is the funds used at the beginning of the period or the market fluctuation in the medium term, the option strategy only needs to prepare the initial premium, even if the spread changes in an unfavorable direction, there is no need to recover the margin.

Second, the risks are relatively limited. If the futures spread narrows rather than widens, the investor's investment loss is only 253 12 yuan. In other words, the biggest loss is the initial royalties.

Third, royalties are necessary costs. The biggest disadvantage of using the intertemporal spread option is that the royalties paid at the beginning are as inevitable as the insurance premium.

In addition, the use of futures arbitrage must bear a high risk of price fluctuations. If investors can't survive the loss period before price correction and insist on the expiration of the contract, then the price deviation will not be corrected and the arbitrage transaction will end in failure. The use of intertemporal spread options for arbitrage trading further improves the winning rate of risk and return of spread arbitrage.

Hedging of intertemporal spread options

Like general option operation, intertemporal spread option can also be used as a hedging tool. As far as the above case is concerned, if Xiao Zhang uses futures to carry out inter-temporal spread arbitrage, he decides to carry out multiple spreads when the futures spread is 60 yuan/ton-10 in May, that is, buy rebar contract 1605 (the futures price is 2090/ ton) and sell rebar contract 16 10 (futures).

However, Xiao Zhang is also worried that if the price difference between the two is not widened but narrowed, and the arbitrage cannot be hedged, it will not be worth the candle. It would be great if the difference can also be insured! At this time, Xiao used the intertemporal spread option to hedge. With this new tool, he doesn't have to worry about spread convergence, because his futures trading is an arbitrage strategy with multiple spreads.

To be on the safe side, he can buy a put intertemporal spread option, that is, when the contract price of rebar 1605 is 2090 yuan/ton, and the contract price of rebar 16 10 is 2030 yuan/ton, the spread between them is 60 yuan/ton, and he buys 800 tons at the exercise price of 40 yuan/ton.

Let's take a look at Xiao Zhang's portfolio profit and loss after one month of intertemporal spread arbitrage.

According to the profit and loss figures in the above table, when the rebar futures spread widens, the profit of Xiao Zhang's arbitrage portfolio strategy will be lower than the original profit due to the premium paid, but when the spread converges, Xiao Zhang's loss will be locked in a certain range (premium plus imaginary part), and the witty Xiao Zhang will lock the maximum loss amount when signing the option contract.

It should be noted that what Xiao Zhang bought with the 20 yuan/ton service fee was rights, complete rights and no obligations. The only obligation is to pay the cost of 20 yuan/ton. The profit and loss of the whole portfolio is like buying insurance. The premium is paid by Xiao Zhang. In case of an accident (the price changes in an unfavorable direction), Xiao Zhang can exercise his right. If nothing happens and the exercise is abandoned (insurance fails), then the option can be said to be a "financial policy".