Intertemporal Arbitrage: Feasibility Analysis of Apple Futures Arbitrage
Inter-period arbitrage: long the Apple futures ap 1807 contract and short the Apple futures ap 1805 contract.
Target: Target Communication -400
Stop loss: the spread is around -2 15.
Opening ratio: 25%
Investment type: hedge speculation
Entry time: 3. 15, the price difference is about -270.
Risk return: the ratio of return to risk is 2.5: 1.
Admission reason:
1. Apple futures ap 1805 is approaching delivery, and the spot price is currently around 6000 yuan, so there is a large discount space for futures.
2. At present, the main contract AP 1805 of Apple futures still keeps a volatile market as a whole, and the handling fee for new announcements of the exchange has increased, which has dealt a great blow to the market trading ability and slightly reduced the volume. Spot situation: Yantai Red Fuji 80# primary and secondary fruit delivery price is 3.8-4.0 yuan/kg, Shaanxi Baishui and Luochuan 80# primary and secondary fruit delivery price is 3.9-4. 1 yuan/kg, and the delivery volume in various places has increased compared with the previous period.
Risk warning:
At present, there is no delivery of apple futures, and there is no historical law to follow.
What are the operational suggestions for Apple Futures ap 1805?
A: Under the dual influence of strict delivery standards and continuous stability of good goods prices, Apple futures bulls began to push up with continuous funds. At present, the fundamentals of Apple's futures have been improved, with good shipments before Tomb-Sweeping Day and stable prices of good goods, which are stronger in the distant month than in the recent month. In the short term, the upward momentum is strong and the fundamentals are temporarily bullish. Judging from the current market situation, the import of snake fruit in the United States mainly depends on the high-end market of domestic apples, and the market competition is fierce. If the content of increasing import tariffs in response to the US trade war is implemented, the tariffs on imported apple futures in the United States may increase, and the domestic sales costs will also increase accordingly. In terms of price, it may lose a certain price advantage and increase the overall competitiveness of the domestic apple futures market. This year, there are few high-quality apple futures in China, and the rising price of imported high-quality apple futures may push up the domestic high-quality apple futures price.
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