In the theory of cost of holding, the convenience benefit of futures is the degree to which commodity users feel that owning the actual assets in stock is more beneficial than just holding futures contracts. Because in the theory of oil holding cost, the convenient income of futures is the degree to which commodity users feel that owning spot actual assets is more beneficial than just holding futures contracts. Because when there is a shortage of oil, there is more cash in hand, which is convenient for remittance of higher income. When there is a shortage, there is more inventory, which is conducive to higher income remittance.

I. Pricing of commodity futures contracts

The pricing of commodity futures contracts is usually more complicated than that of financial assets and their derivatives, because basic commodities have the following two characteristics: first, they exist in the form of consumer goods and intermediate products; Second, commodities have some characteristics of financial assets. In this sense, basic commodities have a unique equilibrium market price, which is affected by speculative storage. Based on the above two characteristics of the underlying commodity, in the literature review of traditional theories of commodity futures market at home and abroad, there are two basic theoretical models of commodity futures pricing-risk premium model and convenience income model.

Second, the convenient income model.

The application of 1. convenience income model in commodity futures pricing. The convenience income model is a commodity futures pricing model based on arbitrage, which was initiated by Caldo (1939) and the part-time worker (1948). This model uses the current spot price of commodities and appropriate convenient income to price commodity futures contracts. Because commodity holders may think that holding commodities can provide more convenience than holding futures contracts, if the storage cost is cash and the present value is known as U, the convenient yield Y of commodities can be defined by the following relationship: F0eyT=S0e(r+u)T, that is, F0 = s0e (r+u-y) t.

2. Convenience income depends on inventory, which reflects the market's expectation of the possibility of buying goods in the future. The greater the possibility of shortage, the higher the convenient rate of return. If the user's inventory of goods is large, the possibility of short supply of goods in the near future is very small, and the convenient rate of return at this time is relatively small. Therefore, low inventory means higher convenience income, and vice versa. In addition, the "storage theory" put forward by Working( 1958), Brennan( 1958) and Telser( 1958) points out that there is a negative slope and a convex relationship between inventory and convenience income. In terms of use, storability and availability of commodities, commodities play multiple roles as assets and consumer goods at the same time, and the uncertainty of commodity futures pricing model also comes from this.