How to know the price comparison relationship of futures contracts to realize arbitrage?
Spreads: Refers to the simultaneous buying and selling of two futures contracts of different types. Traders buy what they consider "cheap" contracts and simultaneously sell those that are "expensive", profiting from the changing relationship between the prices of the two contracts. When conducting arbitrage, traders pay attention to the mutual price relationship between contracts, rather than absolute price levels.
Arbitrage can generally be divided into three categories: intertemporal arbitrage, inter-market arbitrage and inter-commodity arbitrage.
Intertemporal arbitrage is the most common type of arbitrage trading. It is a profit made by hedging when the normal price gap between different delivery months of the same commodity changes abnormally. It can be divided into bull spread and bear spread. (Two forms of bear spread. For example, in metal bull market arbitrage, the exchange buys the metal contract of the near-term delivery month and sells the metal contract of the forward delivery month at the same time, hoping that the price of the recent contract will increase more than the price of the forward contract. The bear market arbitrage is the opposite, that is, selling the near-term delivery month contract and buying the forward delivery month contract, and expecting the price decline of the forward contract to be smaller than that of the near-term contract.
Intermarket arbitrage is an arbitrage transaction between different exchanges. When the same futures commodity contract is traded on two or more exchanges, due to the geographical differences between regions, there is a certain price difference relationship between each commodity contract. For example, both the London Metal Exchange (LME) and the Shanghai Futures Exchange (SHFE) conduct copper cathode futures trading, and the price difference between the two markets will exceed the normal range several times a year, which provides traders with cross-market arbitrage Chance. For example, when the LME copper price is lower than SHFE, traders can buy LME copper contracts and sell SHFE copper contracts at the same time. When the price relationship between the two markets returns to normal, they can hedge and close positions and profit from it, and vice versa The same is true. When doing cross-market arbitrage, you should pay attention to several factors that affect the price difference in each market, such as freight, tariffs, exchange rates, etc.
How is the futures price ratio calculated?
The question you ask is a bit strange. Do you want to ask about the price comparison used in cross-species arbitrage? If so, the price comparison is to divide one by the other. For example, if you want to arbitrage soybean meal and soybean oil, you need to calculate the price comparison: soybean oil/soybean meal , here is a detailed arbitrage plan, you can take a look:
The price relationship between futures and spot
Futures correspond to spot and are derived from spot. Futures are not goods, but usually refer to a standardized contract that can be traded with a certain commodity or financial asset as the underlying. The so-called spot transaction means that the buyer and seller of securities go through the delivery procedures after the transaction is completed. The buyer pays the funds and gets the securities, and the seller delivers the securities and gets the funds. The feature of spot transactions is "payment in one hand, delivery in one hand", that is, transactions are carried out by buying spot goods in cash.
The twelve-character formula for the relationship between volume and price in futures
1. If you take the high position, you have to take it, and if you take it wrong, you have to take it. to follow
1. Quantity is the recognition of price; the relationship between quantity and price is the most essential and fundamental relationship in the market. Only when there is buying can there be selling. In the process of price changes, the willingness of both parties to the transaction is determined by the size of the quantity. No matter what indicator is used to make any trend judgment, it is ultimately necessary to confirm the recognition of the market price through the relationship between price and volume. Therefore, volume price analysis has become a very basic and very important part at the same time. If the amount of departure can be analyzed purely on the price trend (that is, the K-line pattern), it is often easy to be deceived by the market. During the continuous bidding period (the real trading time), during the change process of the transaction price, the volume energy plays a key role in the analysis and judgment of the price trend
2. The stock price rises suddenly, and the trading volume drops sharply: Different from the performance of the stock price starting at the bottom stage above, without any warning, the stock price suddenly rises, and the trading volume increases sharply. It shows that the fundamentals of individual stocks may change greatly, and there will be a rapid increase in the opening of positions; fall back. Therefore, we must especially emphasize that the retracement range of the stock price cannot fall below the increase, and the trading volume has shrunk sharply: the sharp shrinking of the trading volume shows that the pressure of follow-up and unwinding of the arbitrage has basically been released, and the lock-in of the chips is good. The washing process is coming to an end, and the stock price will resume its upward trend.
3. The stock price gradually rises with the slow increase of trading volume, and gradually and suddenly becomes a vertical upward trend. The number of transactions also increased sharply, and the stock price soared. Following this trend, the number of transactions decreased sharply, and the stock price fell sharply. This indicates that the uptrend is over, the uptrend is weak, and the trend is showing signs of reversing. The degree or extent of the reversal will depend on the extent of the previous wave of advance and the extent of the expansion of trading volume.
4. The stock price has been falling for a long time, and there has been panic selling. With the continuous expansion of transactions, the stock price fell sharply. After this panic selling, the stock price is expected to rise, and the minimum price set by the panic selling will not be broken in a short time. As a result, panic selling often (but not necessarily) marks the end of a short-selling market
On the Relationship between Futures Price and Spot Price
Theoretically speaking, futures price = spot price + holding cost.
The connection between the two: Affected by the supply and demand factors of the same commodity, the two are combined into one in the delivery month, which is essentially the same price.
The difference between the two:
1. The difference in time: the spot price generally refers to the current spot price, and the futures price refers to the forward price;
2. Differences in standardization: The spot price is a concrete price, while the futures price is a standardized price.
Extended information
1. What is the relationship between futures prices and spot prices?
After all, the convergence of futures prices to spot prices is in line with a basic principle of finance: the principle of no arbitrage.
Arbitrage is the practice of profiting from price differences between two or more markets. For example, by buying an asset at a lower price in one market and selling it at a higher price in another market.
Why do you say that the futures price will eventually converge to the spot price? The reason is that in the last few days of futures delivery, if there is a significant difference between the futures price and the spot price, there will be opportunities for arbitrage.
For example, when there are 5 days before delivery, the price of the futures buy order is 50 yuan, while the spot price is 60 yuan. Then if I estimate that the spot price will not change much in the next five days, I can buy futures to pay, and then get the goods at the time of delivery, and then sell them at the spot price. This achieves arbitrage. If everyone finds an arbitrage opportunity, they all go back to buy the futures order, which will lead to an increase in the futures price, thereby reducing the space for arbitrage. Until the futures account opening fee plus 1 point returns 90% unconditionally and directly returns to the futures account 52ol.cn The price reaches the level that everyone expects to have no arbitrage, that is, the futures price converges.
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The spot price is the contract price reached on an arm's length basis between the two parties who buy or sell the actual goods. It is the transaction price reached through one-on-one negotiation between buyers and sellers. Generally, due to the closed or semi-closed nature of spot transactions, the spot price is a regional price, and sometimes has a certain fraudulent monopoly. Moreover, it provides a lagging price signal for producers to adjust production, which instead makes production It has greater blindness and volatility. In a normal dynamic market, the futures price is the main factor affecting the spot price, and this effect can be roughly summarized as the following formula:
Spot price = futures price - inventory cost