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.
Specific can be set for a few months before calculating 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.
The delivery fee of the above transaction is specific to the company, depending on how much your company charges. Then the unit should pay attention to consistency, such as counting every ton. All contracts should be unified.