First, the basic parameters of peanut spot arbitrage
Because the disk has been in a state of rising tide, we mainly consider the arbitrage mode of buying spot and selling disk. When the basis difference between the futures price and the spot price is greater than the cost of warehousing, storage and delivery, traders can buy the spot in the spot market and sell it in the futures market at the same time, and finally make a profit through delivery.
1. Futures delivery standard
Futures delivery requires quality standardization, and the spot quality of peanuts is quite different, which will also cause a certain price difference. Therefore, when purchasing peanuts in stock, we should try our best to control the cost under the premise of meeting the delivery standards.
The terms, definitions, hygiene requirements and inspection methods of peanuts are in accordance with the national standards of People's Republic of China (PRC) "Peanut" (GB/T 1532-2008), "Peanut for Oil in Agricultural Industry of the People's Republic of China" (NY/T 1068-2006) and People's Republic of China (PRC) "Peanut".
2. Current arbitrage cost analysis
The main factors to be considered in spot arbitrage are delivery cost and warehouse receipt registration. The trading process is mainly divided into three steps:
The first step is to determine the warehouse receipt cost and distribution cost;
The second step is to sell and open positions on the futures market;
The third step, due delivery, peanut futures can be delivered through the car (ship) board and factory warehouse.
The main factor to realize spot arbitrage profit is spot spread. Only when the spot spread is greater than the delivery cost can spot arbitrage make a profit. Therefore, calculating the delivery cost is the premise of spot arbitrage. In spot arbitrage, the delivery cost is mainly composed of the following aspects:
(1) Delivery and warehousing cost: Because the quality requirements of peanut futures benchmark delivery products are higher than the current purchasing standards of oil plants, but lower than currency peanuts, it is necessary to consolidate the goods at the optimal cost to meet the futures delivery standards.
(2) Short-distance transportation cost: within 2 hours' drive, the freight is generally 60 yuan/ton. This drive can basically cover the distance from the merchant warehouse to the delivery warehouse.
(3) The storage fee charged by the designated peanut factory warehouse is 0.6 yuan/ton/day. The service fee standards of vehicle (ship) transportation service agencies are storage fee 15 yuan/ton, storage fee 15 yuan/ton, cooperative inspection fee 10 yuan/ton, and temporary storage fee 0.6 yuan/ton/day.
(4) Storage cost: The storage cost standard of peanut kernel in a constant temperature warehouse at 12℃ is 30 yuan/ton per month (the lower the temperature, the higher the price).
(5) Freight and miscellaneous expenses: 0.5 yuan/ton.
(6) Transaction fee: 4 yuan/ton.
(7) Interest on funds: interest on futures margin and interest on spot purchase funds. The interest rate is calculated according to the short-term loan interest rate of 4.86%.
(8) Value-added tax: calculated at 9%, and the tax basis is the difference between the futures selling price and the spot buying price.
(9) Quality inspection fee:
Note: 1: Take one sample every 30 tons, and if less than 30 tons are counted as 30 tons, the sampling rate is 5%, and the sample size is not less than 5 kg.
Note 2: According to the Notice on Exempting Handling Fees for Hedging Account Opening, Delivery and Warehouse Receipt Transfer (Zheng Shang Han [2020] No.451), the handling fees for opening, delivery and warehouse receipt transfer of 202 1 hedging are exempted.
Second, the spatial analysis of the current arbitrage profit
According to the information obtained from the investigation, if we use the data provided by domestic peanuts, comprehensive traders and related purchasers of large oil plants, we can sort out that the source cost of delivery products that meet the delivery standards is 9600 yuan/ton; If imported Sudan polished rice is used for finishing, the current price of Sudan polished rice port is 9 100 yuan/ton. If the finishing cost is calculated according to 300 yuan/ton, the cost of delivery products meeting the delivery standard is about 9400 yuan/ton. Because there is no quotation from the factory and warehouse, the author takes the delivery mode of car (ship) board as an example to calculate. There are still about five months before the delivery month. We take May 7th as the time node, and the contract closing price of PK2 1 10 is 10572 yuan/ton.
Remarks: Estimated freight 100 yuan/ton; The delivery service fee of vehicle (ship) board is estimated to be 60 yuan/ton.
It can be seen that under the current disk price, the arbitrage space is still considerable. In the actual operation process, you can sign a forward purchase and sale contract with the spot dealer and buy the spot in the form of deposit, which can greatly reduce the occupation cost. And with the passage of time, the storage cost of thermostat is gradually decreasing.
In order to reduce the risk as much as possible, we adopt high cost calculation in the process of calculating various distribution costs.
Three. Risk points and countermeasures
According to the information obtained by visiting relevant quality inspection institutions in the investigation, such as excessive heavy metals, pesticide residues and other problems are within the controllable range, and can basically meet the standards at present; The problem of excessive moisture can be solved by drying; The acid value index of domestic peanuts and rice imported from Sudan can basically meet the standard.
The risks to be noted are as follows:
1. aflatoxin problem
Aflatoxin does exist in some producing areas, but large spot enterprises and large oil plants have their own mature identification methods, which can avoid the problem of aflatoxin exceeding the standard. The delivery cost of traders' quotation is to ensure that all indicators meet the delivery standards of the exchange.
2. Possible default risk in the spot.
The risks in this respect can be avoided through contract constraints and proper procurement. First, you can choose a big trader with good reputation, and then diversify your procurement and cooperate with several traders, which can effectively reduce the risk of default. When the early trading volume is not large, several traders can back up each other, and the risk of spot default is very small.
3. Default risk in futures delivery
As a seller in futures, the main problem is that when the buyer defaults, the seller needs to deal with the risk of spot, and the buyer can pay liquidated damages. However, if it cannot be effectively handled on site, it will also face greater risks. At this time, it is necessary to agree with the cooperative spot dealer in advance in the contract to assist in handling the spot-related matters and negotiate the distribution of liquidated damages, which can effectively reduce the default risk of futures delivery.