Arbitrage can generally be divided into three categories: intertemporal arbitrage, cross-market arbitrage and cross-commodity arbitrage.
Intertemporal arbitrage is one of the most common arbitrage transactions. When the normal spread between different delivery months changes abnormally, it is profitable to hedge the same commodity, which can be divided into two forms: bull spread and bear spread. For example, when the exchange carries out the metal bull spread, it buys the metal contract in the recent delivery month and sells the metal contract in the forward delivery month, hoping that the price increase of the recent contract will exceed the price of the forward contract; Bear market arbitrage is the opposite, that is, selling the recent delivery monthly contract and buying the forward delivery monthly contract, expecting the price drop of the forward contract to be smaller than the recent contract.
Cross-market arbitrage is an arbitrage transaction between different exchanges. When the same futures commodity contract is traded in two or more exchanges, there is a certain price difference relationship between commodity contracts due to geographical differences between regions. For example, London Metal Exchange (LME) and Shanghai Futures Exchange (SHFE) both trade cathode copper futures, and the price difference between the two markets will exceed the normal range several times a year, which provides traders with opportunities for cross-market arbitrage. For example, when LME copper price is lower than SHFE, traders can buy LME copper contract and sell SHFE copper contract at the same time, and then hedge and close the trading contract after the price relationship between the two markets returns to normal, and vice versa. When doing cross-market arbitrage, we should pay attention to several factors that affect the spread of each market, such as freight, tariff and exchange rate.
Case 1:
A company ships about 20,000 tons of imported copper concentrate every year, and delivers it in 6-7 batches, each batch contains about 3,500 tons of copper. The scheme is as follows: If the contract has been set to CIF mode and the price is based on the average LME price in the pricing month, the company can wait for an opportunity to buy LME copper futures contracts, calculate the raw material cost through the purchase price and processing fee, sell SHFE copper futures contracts, and lock in the processing fee (including part of the price difference income). At the beginning of February 2000, a ship import contract was finalized, and the pricing month was June 2000. The processing cost is about $350 (TC/RC = 72/7.2), and the copper content is about 3300 tons (the grade is about 38%). Then, on February 8th, I bought the June contract in LME at the price of 65,438+0,830. At that time, SCF C3-MCU 3× 65,438+00.032 = 6,965,438+0 (due to the Chinese New Year holiday, subject to the closing price of the last trading day), which belongs to the top shelf, so it was bought at SHFE on February 4th for $65,438+0.958. By June 15, domestic delivery, settlement price 17760. At this time, scfc3-mcu3x10.032 = 333. By July 1, the average spot price of LME6 in June was determined as 1755 USD (regarded as the closing price). This process lasted for 4 months, and the specific gains and losses are as follows:
Interest expense (about 4 months): 5.7 %× 4/12× (1830-350 )× 8.28 = 233.
Opening fee: (1830-350) ×1.5 ‰× 8.28 =18.
Transaction cost:1830×116 %× 8.28+19500× 6/10000 = 9+12 = 2/kloc-.
VAT:17760/1.17×17% = 2581.
Commodity inspection fee: (1830-350) ×1.5 ‰× 8.28 =18.
Tariff: (1830-350) × 2 %× 8.28 = 245.
Freight and insurance: 550 pounds
Delivery and related expenses: 20 pounds
Total cost: 233+18+21+2581+18+245+550+20 = 3686.
Profit and loss per ton of copper:19500+(1755-1830) × 8.28-1830× 8.28-3686 = 41.
Total profit and loss: 4 1× 3300 = 13.53 (ten thousand yuan)
This profit and loss belongs to arbitrage spread income, and the handling fee has been guaranteed through the above transactions.
Case 2:
A professional trading company in Shanghai, acting as an agent for the import and export of copper products, obtains the price difference between domestic and foreign markets through cross-market arbitrage. For example, on April 7th, 2000, the June contract of 1.000 tons was bought in LME at the price of 1.650, and the July contract of 1.000 tons was sold in SHFE at the price of 1.750 the next day. It was sold at LME 1785 on May1and bought at SHFE 18200 on May 12. At this time, scfc3-mcu3x10.032 = 293, and the process continued for 65438.
Margin interest expense: 5.7 %×112×1650× 5 %× 8.28+5 %×112×17500× 5.
Transaction fee: (1650+1785 )×1/6 %× 8.28+(17500+18200 )× 6//.
Total cost: 7+39 = 46
Profit and loss per ton of copper: (1785-1650) × 8.28+(17500-18200)-46 = 401.
Total profit and loss: 40/kloc-0 /×1000 = 40.1(ten thousand yuan)
Cross-market arbitrage of aluminum varieties
Case 3:
Under normal circumstances, the three-month aluminum futures price relationship between SHFE and LME is 10: 1. (For example, when the aluminum price of SHFE is10.5 million yuan/ton, the aluminum price of LME is10.5 million USD/ton. However, due to the tight supply of domestic alumina, the domestic aluminum price has risen to 15.60 yuan/ton, resulting in the price comparison relationship of three-month aluminum futures prices in the two markets of 10.4.
However, a metal importer judged that with the recovery of Alcoa's alumina production capacity, the tight domestic alumina supply situation will be alleviated, and this price relationship may return to normal.
Therefore, the metal importer decided to buy the LME 3000-ton three-month aluminum futures contract at the price of 1.500 USD/ton and sell the sell 3,000-ton three-month aluminum futures contract at the price of 1.560 RMB/ton.
A month later, the three-month aluminum price relationship between the two markets really narrowed, and the price ratio was only 10.2: 1 (15,200 yuan/ton and 1490 USD/ton respectively).
Therefore, the metal importers and exporters decided to sell the 3,000-ton aluminum futures contract closed by LME at the price of 1.490 USD/ton and buy the 3,000-ton aluminum futures contract closed by SHFE at the price of 1.5200 yuan/ton.
In this way, metal import and export traders have completed a cross-market arbitrage trading process, which is also the basic method of cross-market arbitrage trading. Through this transaction, the metal import and export trader made a total profit of 950,000 yuan. (excluding handling fees and financial expenses)
((15600-15200)-(1500-1490) * 8.3) * 3000 = 95 (ten thousand yuan)
Through the above cases, we can find that the trading attribute of cross-market arbitrage is a kind of futures speculation with relatively small risk and limited profit.
Cross-commodity arbitrage refers to trading by using the price difference between two different but related commodities. These two commodities can replace each other or be restricted by the same supply and demand factors. The form of cross-commodity arbitrage is to buy and sell commodity futures contracts with the same delivery month but different varieties at the same time. For example, metals, agricultural products, metals and energy can all carry out arbitrage transactions.
The reason why traders carry out arbitrage trading is mainly because the risk of arbitrage is low. Arbitrage trading can provide some protection to avoid unexpected losses or losses caused by sharp price fluctuations, but the profitability of arbitrage is also smaller than that of direct trading. The main function of arbitrage is to help distorted market prices return to normal levels, and the other is to enhance market liquidity.