A due delivery cost = storage fee+transportation fee+storage sampling quality inspection fee+handling fee+others.
Suppose an enterprise sells 40 lots of asphalt 1402 contracts in the futures market at the current market price of 4300 yuan/ton, totaling 300 tons; At the same time, buy 300 tons of asphalt spot at the price of 3800 yuan/ton in the spot market. Suppose you need to hold a position for 2 months for delivery. The transportation cost from the spot market to the delivery warehouse is 150 yuan/ton.
1. 1 According to the regulations of Shanghai Stock Exchange, the storage fee of asphalt is 1.5 yuan/ton per day, and it needs to be stored for 62 days in three months, that is, 62 days * 1.5 yuan/ton day = 93 yuan/ton.
1.2 transportation cost 150 yuan/ton
(The data picture is for reference only)
1.3 According to the regulations of Shanghai Stock Exchange, the quality inspection fee for incoming sampling is about 40 yuan/ton.
1.4 handling fee, the delivery handling fee is 1 yuan/ton, and the transaction handling fee is one ten thousandth.
Remember, around 4 yuan, each lot is 10 ton, then 0.4 yuan/ton, both of which add up to the handling fee.
1.4 yuan/ton.
1.5 the seller shall pay the value-added tax upon delivery, and the value-added tax shall be paid for each ton of asphalt = (delivery settlement price-purchase price)/(1+17%) x17% = (4300-3800)/(/kloc-0)
The total due delivery cost is 93+150+40+1.4+72.65 = 357.05 yuan/ton.
B. Cost of capital
Suppose that the futures company where the company is located collects the deposit at RMB 10%, the half-year loan interest rate is calculated at 5%, and the position is calculated at 62 days.
The cost of futures margin is 4300 yuan/ton * 10% * 5% * 62 days /365 days = 3.65 yuan/ton.
Spot margin cost is 3800 yuan/ton * 0.5% * 62 days /365 days = 32.27 yuan/ton.
The total capital cost is 35.92 yuan/ton.
Adding the due delivery cost and capital cost, it can be concluded that the theoretical cost of spot arbitrage is 392.97 yuan/ton. Once the absolute value of the basis is greater than this value, it will exceed the boundary of the no-arbitrage interval and form a spot arbitrage opportunity. When the company established the current hedging position, the basis was 500 yuan/ton, the cost was 392.97 yuan/ton, and the profit per ton was 65,438+007.03 yuan, so the total arbitrage profit of 400 tons was 42,865,438+02 yuan.
It should be noted that spot arbitrage needs to involve the spot industry, which requires a high amount of funds, a large proportion of funds, and low returns. The annual rate of return is generally around 10%. But the advantages are risk-free and stable income, which is suitable for enterprises with spot background to operate hedging together.
Description:
The specific operation of spot hedging and arbitrage is relatively complicated. After understanding the hedging function of the futures market, many enterprises feel that they urgently need this tool, but they are afraid to enter the futures market for fear of lacking hedging professionals.
In fact, this kind of worry is unnecessary, because corporate hedge talents are not necessarily futures experts.
Enterprises use the futures market not to gain speculative profits by analyzing the rise and fall of futures prices, but to avoid the risk of spot price fluctuations by analyzing the actual situation of their own enterprises. The basis of enterprise hedging comes from the monthly production and sales statistics, monthly inventory statistics and monthly financial statistics of the enterprise, and then a set of implementation processes is established to formulate the hedging plan, which can be implemented accordingly. We have accumulated rich experience in the process of serving enterprises for a long time, and can quickly help enterprises to establish this process of hedging decision execution.
If the enterprise has the ability to analyze the price trend, it can obtain the excess profit brought by the market trend by adopting the method of partial hedging. Only when enterprises have the need to obtain excess profits, they need specialized futures analysts, which is precisely the strength of the research department of futures companies. Therefore, if the hedging enterprise cooperates with a futures company with research strength, the hedging effect will be better.