Pricing: Spot price and exchange rate are two main reasons. Generally speaking, the formation of commodity futures prices is based on the spot value of commodities. Spot delivery is an important bridge connecting futures and spot market. In the eyes of the industry, the pricing logic of pulse crude oil futures must first understand the delivery oil types of crude oil futures.
According to the relevant announcement of Shanghai International Energy Trading Center, the target of Shanghai crude oil futures contract is intermediate sour crude oil, and the deliverable oil products include Dubai crude oil in United Arab Emirates, Upper Zakum crude oil, Oman crude oil, Qatar offshore oil, Yemeni ape crude oil, Basra light oil in Iraq and Shengli crude oil in China.
Like crude oil futures in other markets, fundamental factors, geopolitical factors, macro factors and capital factors will affect the price changes of Shanghai crude oil futures. However, since spot crude oil prices are mostly quoted in US dollars, the two most important factors to be considered in the pricing of RMB crude oil futures are the current spot price and the exchange rate of RMB against the US dollar.
At the beginning of the listing of crude oil futures, the price may be more reflected in the CFR (port price) of far east and middle east delivery oil. According to the calculation, to open the arbitrage window, the premium needs to be around $2.8/barrel. Considering the price and quantity comprehensively, the main oil types to be delivered by the seller in the future may be Basra light oil, Oman crude oil and Upper Zakum crude oil, and the switch of the superior oil types for delivery depends on the upward adjustment and discount of the official price of Basra light oil (OPS price announced by Iraq). From the historical price trend, Basra light oil has obvious price advantage over other deliverable oil products.
One of the significance and functions of Shanghai crude oil futures is to reflect the changes in the supply and demand structure of China crude oil market, so as to get a more market-oriented price. Therefore, the prices generated in the trading process will definitely refer to the fundamental situation of China crude oil market, such as China crude oil imports, off-peak demand of main and local refineries, and changes in cracking profits. "From a macro perspective, the changes in China's economic data will be more intuitively reflected in the changes in oil prices, which will have a far greater impact on Shanghai crude oil futures prices than WTI or Brent crude oil.
Judging from the six delivery warehouses that have been disclosed, which are mainly distributed in bonded terminals along the coast of China, it can be seen that the stability of long-distance shipping will also affect the futures price of crude oil. In addition, because the oil products currently deliverable are mainly crude oil produced in the Middle East, local geopolitics will also greatly affect the futures price of Shanghai crude oil.
According to relevant regulations, although Shanghai crude oil futures are denominated in RMB, foreign investors can use foreign exchange funds such as US dollars to offset the deposit. Considering the exchange risk, Jingchuan reminded investors that exchange rate risk management must be carried out in the transaction, and RMB forward locking, RMB swap or RMB futures of the Hong Kong Stock Exchange can be considered for hedging. Among them, investors should focus on the impact of liquidity when using the latter two tools.
With the deepening of investor education and the promotion of simulated trading, the market is generally optimistic about the initial performance of crude oil futures. It is expected that after the introduction of crude oil futures, the market participation will be relatively high. But in terms of quantity, the initial quantity will not be too large, because new varieties have a process of gradual acceptance and gradual increase.
In the initial stage of crude oil futures listing, what kind of trading strategy investors should adopt is a question that many market participants are thinking about. During the initial running-in period of crude oil futures listing, traders with experience in crude oil market can carry out arbitrage operations more. Those investors who are not familiar with the crude oil market, it is best to avoid the running-in period for the time being, and then participate in the trading after the market stabilizes.
Foreign investors can enter the China crude oil futures market step by step, spend time familiarizing themselves with product operation, transaction settlement system and process arrangement, and understand the operation process and regulatory requirements of the banking system in China. With the increase of variety activity and market depth, foreign capital can gradually increase its participation. Fang Dongming, head of China securities business of UBS and chairman of UBS Futures, also said so.
Unexpectedly, in terms of trading strategy, industry experts generally prescribe arbitrage trading prescriptions for market participants. After the listing of crude oil futures, investors can adopt arbitrage trading and trend trading. Among them, arbitrage trading includes cross-market arbitrage trading, cross-variety arbitrage trading, or intertemporal arbitrage by using premiums and discounts in different months, as well as upstream and downstream arbitrage with other domestic chemical varieties.
At the initial stage of listing, foreign investors are also suitable to adopt arbitrage trading strategies, including monthly spread and cross-border arbitrage, especially cross-border arbitrage. We can consider the arbitrage among Middle East physical objects, Brent futures and Shanghai crude oil futures.