Generally speaking, the cost of holding positions consists of three parts: related expenses, capital interest and value-added tax. Specifically, related expenses include transaction fees, delivery fees, storage (out-of-warehouse) fees, storage fees, etc. Therefore, the cost of arbitrage position = storage fee+transaction fee+delivery fee+capital interest+VAT. Specifically, set it for a few months, and then calculate the related expenses.

Risk-free arbitrage cost of contracts WS0809 and WS090 1;

Transaction fee 1.2 yuan/ton.

Freight 2 yuan/ton

Storage fee 0.3* 120=36

Fund interest 2007*0.0747* 1/3=49.97.

VAT116/1.13 * 0.13 =13.34

Total 102 438+0

Based on the closing price on July 9th, WS0809 closed, ws 090 1 2 123 closed, and the price difference was 1 16 yuan. At this time, there was an arbitrage opportunity for the two contracts.

Arbitrage cost: 102.5438+0

Through calculation, we can see that the position cost of the two contracts is 102.5 1 yuan. In the forward market, if the price difference between the two contracts is significantly higher than this value, you can carry out the arbitrage operation of buying WS0809 and selling WS090 1.

For the above transactions, the delivery fee is specific to the company and depends on how much the company collects. Then the unit should pay attention to consistency, such as counting every ton. All contracts should be unified.