(Note: Futures companies will generally increase the margin ratio appropriately)
According to the deliverable crude oil published by INE, six of the seven crude oils are Middle East crude oil, and only one is China local crude oil. At present, China's dependence on crude oil imports is as high as 70%, that is, most crude oil depends on imports. In the imported crude oil, Middle East crude oil occupies a relatively large share. Therefore, the pricing of China crude oil futures is based on the price of crude oil in the Middle East, which is a very logical inference.
Among the six kinds of Middle East crude oil, Oman crude oil is one of the deliverable products of Shanghai crude oil futures, while Oman crude oil has futures trading, namely DME Oman crude oil futures, which is publicly traded in the market and can be delivered in kind to obtain Oman crude oil. Theoretically, industrial customers who participate in DME Oman crude oil futures trading can obtain Oman crude oil in kind at a lower threshold. However, other deliverable varieties of Shanghai crude oil futures, such as Dubai, Abu Zakum, Basra light crude oil, etc., have complicated pricing and are hard to obtain. So we can refer to Oman crude oil to calculate the benchmark price and opening price of Shanghai crude oil.
After determining the target of pricing calculation, there is still a problem to be solved. The latest contract of Shanghai crude oil futures listing 1809 will be delivered in half a year. Considering the storage or holding cost, it is necessary to find the corresponding Oman futures contract. Generally speaking, it takes about 2 months for Oman crude oil to be shipped to the warehouse for delivery, which means that the SC 1809 contract needs to refer to the Oman crude oil contract in July. Finally, we need to calculate the cost of transporting Oman crude oil from the Middle East to China, including Oman futures delivery cost, sea freight, insurance premium, loss, domestic delivery and storage cost.
Yesterday, after INE announced the benchmark price, crude oil in the outer disk rose sharply. At the close, WTI's main contract closed at $65.74, up 2.24%. Brent crude oil closed at $69.75, up 2%; DME Oman crude oil contract closed at $66.35 in July.
Try to calculate the theoretical price of Shanghai crude oil contract 1809. Assume that the exchange rate of USD/RMB is 6.327 on March 26th, and the contract price of Oman crude oil in July is 66.35 USD/barrel, and the sum of all costs is 2 USD/barrel. Then the theoretical contract price of SC 1809 is about: (66.35+2)*6.327=432 yuan/barrel.