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Intertemporal arbitrage of natural rubber futures
The so-called intertemporal arbitrage refers to an investment method of arbitrage by using the price difference between two different futures contracts of the same commodity. It makes a profit by buying the futures contract of a commodity in one delivery month and selling the futures contract of the same commodity in another delivery month, and then carrying out physical delivery or hedging liquidation on these two contracts at a favorable opportunity. Therefore, intertemporal arbitrage mainly uses the price difference between two contracts to make profits. When the price difference deviates from a reasonable range, these two contracts can be operated accordingly to make profits.

Natural rubber futures has become one of the most active futures products in the futures market, and its price fluctuates very violently. When there is a sharp rise and fall, contracts with different delivery periods will also rise and fall to varying degrees, and the price difference will change greatly. Therefore, once there is a deviation from the reasonable range, arbitrage operation can be carried out, and after returning to the reasonable range in the later period, the position can be closed for profit.

Feasibility analysis of intertemporal arbitrage of natural rubber futures

The core of intertemporal arbitrage is to find a reasonable spread range. Select the closing price of the Hujiao market on July 2, 20 10. The two contracts used here are101and11.

On the calculation method of reasonable spread, there are mainly two methods: the first method is to calculate the buy101and sell110/contract from the delivery procedure of the exchange, and simulate arbitrage with actual delivery, from which the cost involved in the whole arbitrage process can be calculated. Another method is to start with the historical price difference, make statistical analysis of the historical price difference between the two contracts, and take its average value as the middle value of the reasonable price difference interval. Both of these methods involve the calculation and determination of the spread interval, which plays an important role in the profitability and breakthrough point of the whole arbitrage process.

First, calculate the arbitrage cost of simulated delivery.

The relatively certain costs involved in this process are as follows:

1. Delivery fee: 4 yuan/ton. The two contracts are collected in two installments, totaling 8 yuan/ton.

2. Delivery/warehousing inspection fee: 15 yuan/ton. The outgoing/incoming goods are collected twice, totaling 30 yuan/ton.

3. Storage fee: 0.8 yuan/day, ton. 10 1 1 and11the delivery date of the contract is 60 days in the delivery month 16 respectively, so the total storage fee is 0.8*60=48 yuan/ton.

4. Transfer fee: 10 yuan/ton. Two contracts correspond to two transfers, * * * 20 yuan/ton.

5. Transaction cost: 5 yuan/hand. Here, the handling fee charged by the futures company is mainly adopted, and two contracts are opened 10 yuan/ton.

The uncertain costs in the intertemporal arbitrage process are as follows:

6. The cost of capital borrowing. Suppose that in the process of arbitrage, two contracts are opened first, and then the spread returns to normal, and the funds involved use the deposits of two main contracts. The margin ratio charged by futures companies here is about 14%. The loan interest rate is 4.86% of the six-month loan interest rate of China People's Bank, which is converted into two-month loan interest rate. The futures contract price is based on the closing price of July 12.

The calculation results are as follows:

7. value-added tax. VAT is the most uncertain factor in the whole arbitrage process. From the introduction of natural rubber varieties in the last issue: "In natural rubber futures trading, due to physical delivery, it also brings the problem of issuing VAT invoices. Because the value-added tax is managed and collected by the national tax department, the responsibilities of exchanges and members and how to operate them have become something that everyone must understand. The standard delivery varieties of natural rubber in the previous issue are divided into imported natural rubber and domestic natural rubber, and there are also different calculation methods in the operation of collecting VAT. The customs imposes a value-added tax of 17% on imported natural rubber, while the Shanghai Futures Exchange stipulates that the special VAT invoices issued by members or investors at the time of physical delivery still apply to the tax rates of imported natural rubber 17% and domestic natural rubber 13%. "

"VAT invoice price tax total = (settlement price on the last trading day of futures contract-discount) × selling delivery amount"

Therefore, the calculation of value-added tax needs the settlement price of the last trading day of two contracts, which cannot be calculated and estimated in advance in our calculation process. We use the closing price as the settlement price difference, so the value-added tax we have to bear is the difference between101contract and11contract multiplied by the corresponding tax rate. The VAT rate of domestic rubber is 13%. Finally, the calculation result of VAT is as follows:

10 1 1 contract and11contract, the total intertemporal arbitrage cost is:

8+30+48+20+10+246+65 = 427 yuan/ton

Based on the above calculations, it can be found that the main uncertain factors are the calculation of borrowing cost and value-added tax. Among them, borrowing cost has the greatest influence on arbitrage cost because of margin, and the determination of interest rate and margin is the key to determine borrowing cost. Another uncertain factor is the value-added tax, because the settlement price of the last trading day of the two contracts is uncertain, and the value-added tax has great variables.