Because we are optimistic that the spot price will rise, and it will drive the futures price to rise, it is expected that July will rise faster than 165438+ 10. If the deal is concluded in March, and the spread is 0.6 USD, then we will buy the July contract at the current price. Sell 1 1 month contract.
Close the position when there is a price difference of 0.69 after 2 months.
The profit is $0.09 per bushel.
If arbitrage starts in May two months later, sell the July contract and buy the 165438+ 10 contract.
The reason for this transaction is that under normal circumstances, the price difference between the two contracts will not widen endlessly, but will return rationally.
At this time, the difference is 0.69. Without calculating the commission and handling fee, as long as the price difference between the two contracts is less than 0.69, you can always find the opportunity to close your position before the contract expires in July.
Profit and loss of spread arbitrage = profit and loss of each futures contract.
Profit and loss of buying arbitrage = closing spread-opening spread.
Profit and loss of selling arbitrage = opening spread-closing spread.
If trading starts in May, there should be an answer option, right?