Soybean oil and palm oil, as the main oil futures varieties in the domestic futures market, have certain substitutability. Both have the characteristics of * * * and independence, which is also the premise of arbitrage. The so-called * * * sex means that both of them are mainly edible, and the fruits of crops and plants are processed and squeezed for civil use. The difference is that due to different raw materials, they have obvious seasonal differences in the field of consumption. In China, the consumption of soybean oil is relatively balanced throughout the year. Generally speaking, in traditional festivals, especially the Spring Festival, the consumption of soybean oil is relatively strong. Palm oil, because of its high melting point, enters the off-season in winter, and its consumption is relatively small. Therefore, in order to increase the competitiveness of soybean oil, its price is generally lower in summer. The seasonal price difference between them provides an opportunity for arbitrage trading.
In addition, they can also be used to prepare biodiesel. Among the global biodiesel raw materials, palm oil is the main one in Asia; Europe is dominated by rapeseed oil, and palm oil imported from Asia also accounts for a part; South America and the United States mainly rely on soybean oil.
They are also replaceable in the food industry. For example, in the production of cream, palm oil can be emulsified directly, while soybean oil needs to be hydrogenated, because hydrogenation will produce trans fatty acids, but emulsification will not. Nowadays, the raw material of cream is more and more inclined to use palm oil.
Judging from the futures price trend of soybean oil and palm oil, the futures price of palm oil has been following the trend of soybean oil futures price since it was listed, and the trend of rising more and falling less is obvious, and the correlation between them is extremely high (as shown in the following table). The price of soybean oil is higher than that of palm oil, and the convergence of soybean oil and palm oil prices is the basis of arbitrage.
According to the historical price difference analysis, the high price difference between soybean oil and palm oil in May usually appears in September-165438+ 10, and the low price difference appears in June-March. As shown in the following figure (this figure does not include the period when the transaction volume is low).
From 2009 to 1 1, the price difference between soybean oil and palm oil has been in an interval fluctuation state, and the fluctuation range is generally around 800 points. The high price difference period in a year is usually in the summer of each year, which is the peak season for palm oil consumption in China. In order to obtain a more competitive sales situation than soybean oil, the relative price between soybean oil and soybean oil needs to be lower, so the price difference between them will be higher than 1200 points. The price difference below 700 points appears for a short time, usually in winter and spring every year. But this year's situation is different, and the high price difference exceeds 2000. The main reasons for such a big price difference this year are:
1, the major palm oil producing countries have huge stocks. The chart below shows the monthly inventory changes in Malaysia this year. Since June, stocks have increased rapidly. 10-September, the total output of Malay 1.3 1.6 million tons, while palm oil production peaked in June, and the inventory may continue to rise in June.
2. The reduction of soybean production leads to the increase of soybean oil. The monthly report of USDA 65438+ 10 estimated that the yield of 20 1213 American beans was 2.86 billion Jin, which was lower than 3.094 billion Jin of 16-5438+02 and reached/kl at the beginning of 2012.
3. Domestic edible oil is forbidden to be mixed with palm oil, and the sluggish catering industry leads to a decline in edible demand. Previously, the cooking demand of palm oil in China accounted for about 25%, the demand for food processing and instant noodle production accounted for 50%, and the cooking consumption decreased by about 500,000 tons, accounting for nearly 10% of the total consumption of palm oil in China.
But the high price difference will eventually return for the following reasons:
Soybean production in South America will increase next year. According to the forecast of USDA in June 10, the output of Brazil and Argentina will reach 654.38+36 million tons in June1213, which is 26% higher than that in June 15438+02. 36638.66666666636
2. The domestic edible oil supply is sufficient, which depresses the price of soybean oil. The average monthly demand for edible oil in China is about 26,543,800 tons. At present, the national reserve of edible oil is about 5.5 million tons. The monthly output of soybean oil is about 654.38+065.438+ 10,000 tons. With the supplement of other oil products and imported crude oil, there will be no shortage of edible oil supply in China.
3. The consumption of palm oil in India is growing rapidly. Palm oil is very common in India, and its consumption is more than twice that of soybean oil. Indian palm oil imports have increased rapidly (as shown below), which will make up for the decline in China's consumption.
4. The global production of palm oil biodiesel has increased. The Malaysian government plans to increase the biodiesel content from 5% to 7~ 10%, which will increase the consumption of palm oil by about 400,000 ~ 600,000 tons. 12 years, the global biodiesel production is about18.9 million tons, with a slight increase of 1 10 tons, while the proportion of palm oil is gradually increasing. When the prices of crude oil and palm oil are equal, it will be quite competitive to prepare biodiesel from palm oil. At present, Brent crude oil is about $855/ton, while Ma Pan futures palm oil price is $809/ton, which is already competitive.
Malaysia will implement a new tariff policy from next year (adopting the same ad valorem tax method as Indonesia, but the tax rate is lower than Indonesia), which will greatly reduce export tariffs, thus stimulating global palm oil consumption and squeezing out some soybean oil consumption.
Based on the above reasons, we believe that the spread of soybean and palm will return, and there is an excellent arbitrage opportunity at present.