The natural rubber contract arbitrage of Shanghai Futures Exchange can be divided into period arbitrage, inter-market arbitrage and spot arbitrage.
The so-called intertemporal arbitrage refers to buying a futures contract of a commodity in one delivery month and selling the futures contract of the same commodity in another delivery month, and then making physical delivery or hedging of these two contracts at a favorable opportunity to make a profit.
Because the price of natural rubber futures (hereinafter referred to as natural rubber futures) fluctuates sharply, when the futures price rises and falls sharply, the contracts with different delivery periods will rise and fall in different degrees, and the spread will change greatly, so arbitrage can be carried out.
Futures analysts said that intertemporal arbitrage can be divided into two forms: hedging liquidation and physical delivery. Generally speaking, there are many factors that affect the intertemporal arbitrage profit and loss of physical delivery, including the price of buying contract, the price of selling forward contract, storage fee, capital interest, value-added tax, transaction fee and delivery fee. This form of arbitrage profit = selling forward contract price-buying contract price-storage fee-capital interest-value-added tax-delivery fee.
The specific cost of physical delivery of natural rubber arbitrage is more complicated. Let's look at a hypothetical case.
X= selling forward contract price-buying contract price;
Storage fee =0.8 yuan/ton/day ×30 days =24 yuan/ton;
Transaction fee = 15×2/5=6 yuan/ton;
Delivery fee =80/5= 16 yuan/ton;
Value-added tax = x ×13%/1.13; Transfer fee = 10 yuan/ton; Capital interest = 5.22% × 30/365 ×13,000 yuan/ton =55.78 yuan/ton (assuming the natural rubber futures price is13,000 yuan/ton).
According to the above formula, the arbitrage profit = x-x× 0.13/13-(24+6+16+10+55.78). When the arbitrage profit =0, the breakeven point can be obtained, that is, X≈ 126 yuan/ton. That is to say, when the two-month natural rubber futures spread reaches more than 126 yuan/ton, intertemporal arbitrage can be carried out. Sino-Japanese rubber realizes cross-market arbitrage
The varieties of natural rubber futures in the world are mainly concentrated in Asia, including TOCOM, China Shanghai Futures Exchange, SICOM and KLCE Futures Exchange. At present, China's main concern is
TOCOM natural rubber price. Since the trading time of TO-COM is one hour earlier than that of Shanghai Futures Exchange, it can realize cross-market arbitrage trading.
On the one hand, the trading hours of Tokyo Rubber are 8:00- 14:30 am, afternoon 16:00- 18:00 am, and Shanghai Rubber is 9: 00-130 am. On the other hand, both of them take the international standard No.3 cigarette flake adhesive as the delivery grade. The contract target of Tokyo Rubber is No.3 cigarette rubber, and the quotation unit is yen/kg; The contract target of Shanghai Rubber is domestic No.5 standard rubber, and the quotation unit is RMB/metric ton. Since Shanghai Rubber is allowed to deliver imported No.3 cigarette gum at the same time, the basis of arbitrage has been established between the two markets.
Generally speaking, the arbitrage calculation formula of Shanghai rubber and Tokyo rubber is: the import duty-paid price of Tokyo rubber futures price = [Tokyo rubber price (yen/kg) × 1000/ USD-yen exchange rate+40 ]×1.20×1./kloc-7. (Calculate the price in US dollars first, and then change it.
Investors should pay attention to arbitrage. First of all, the trading unit of arbitrage is preferably an integer multiple of 10 lot or 10 lot, which is in line with the position limit of the two markets as far as possible; Secondly, many expenses should be considered when calculating profits. If the import of natural rubber requires the agency of the importing enterprise, the importer must consider the agency fee and insurance premium, domestic short-distance transportation fee, Shanghai Futures Exchange delivery fee and capital interest. In order to minimize the risk of cross-market arbitrage, the arbitrage spread of investors must exceed the sum of the above costs.
In addition, although arbitrage provides a certain protection mechanism for investors, it is not completely risk-free. If the change of national trade policy will have a great impact on the transaction cost, which is directly related to the success or failure of arbitrage trading, investors should also be cautious.