https://zhuanlan.zhihu.com/p/20339616
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Original link: commodity futures calendar spread Explanation: The Rubber example to talk
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There are many ways arbitrage, for many commodities, calendar spread is the most direct and even to some extent is the simplest one . The author has in large natural rubber stock companies spent a few years, now working for a futures company, so the futures and spot are more familiar with, the author recently wrote an article entitled "Natural rubber arbitrage policy resolution", which intertemporal arbitrage. In fact, investors felt poker, intertemporal arbitrage model for other similar commodities. I hope that today this article allows readers to comprehend by analogy, applied on top of different varieties.
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Min Wei Wen ▌ known almost from
The author of a large natural rubber (referred to as natural rubber) stock companies spent a few years, now working for a futures company, so the futures and spot are more familiar with, just recently wrote an article "Natural rubber arbitrage policy resolution", which there intertemporal arbitrage. Rubber, for example, cross-arbitrage model for other similar commodities.
Here is the entire framework of the article.
As shown above, the original involve intertemporal arbitrage, cross-species arbitrage, cross-market arbitrage, following the interception of only issue "intertemporal arbitrage" original part of the Lord's answer back and forth.
First, intertemporal arbitrage
(A) Simulation Method delivery
The so-called intertemporal arbitrage, is the use of two different price differences between futures contracts with commodities arbitrage kind of investment. It is by buying a commodity futures contract of one delivery month, while selling another delivery month futures contracts of the same goods, then the favorable opportunity of the two contracts for physical delivery or hedge open positions and profit . Therefore, spread across two contracts mainly use arbitrage to profit changes, appropriate action can be spread when a reasonable range of deviation in the two contracts to be profitable.
Natural rubber futures has become one of the most active futures market futures, the price volatility is very strong, and in the crash of the stock market rose appear different delivery period of the contract will be varying degrees of ups and downs, changes in spreads very Big. Therefore, once the deviation from a reasonable range appears to arbitrage operation, carried out in the open profit after late return to a reasonable range.
In general, there are many factors affecting physical delivery intertemporal arbitrage profit and loss, including the contract price to buy and sell forward contracts, price, out of storage fees, inspection fees, warehouse receipt printing, storage charges, interest on capital, value added tax, transaction fees, delivery fees. This form of arbitrage profit = selling price forward contracts - buying contract price - storage charges - these costs.
Core intertemporal arbitrage spread is to find a reasonable range. Conventional rubber composition arbitrage contracts: January and May, May and September, September to January next year, November and January.
On the method of calculating reasonable spread mainly uses two calculation methods: the first is simulated delivery method with positive arbitrage 01 and 05, for example, that at the same time start to buy 01 to sell from exchange settlement procedures 05 contract out, to simulate using the actual delivery technique arbitrage, arbitrage cost of the entire process involved in calculating therefrom; another method is the process history of the spread, i.e. the spread starting from the history, history of the spread of the two contracts were statistical analysis, with its mean value as an intermediate range of reasonable spread. And these two methods are related to the calculation and determination of the spread range interval, which are crucial to the whole process of arbitrage profits and entry points and so on. The following first discussed on "simulated delivery Law", then "history of the spread method" to start.
First, start with the delivery of computer simulation arbitrage costs start to start.
Among the more certain process costs related to the following:
Delivery fee: 4 yuan / ton. Two contract closed twice for a total of 8 yuan / ton.
Out / storage fee: 30 yuan / ton. Out / warehousing were closed twice for a total of 60 yuan / ton
Sampling inspection fee: 6 yuan / ton.
Print warehouse fee: 100 yuan / Zhang, par value of 10 tons each warehouse receipts, so sharing the cost per ton of $ 10 / ton.
Storage fee: 1.3 yuan / day, ton. 1501 and 1505 respectively, according to the contract on the 16th of the delivery month for the delivery date, a total of 120 days, so storage charges amounting to 1.3 * 120 = 156 yuan / ton.
Transfer fee: canceled, 0.
Transaction fees: exchange fee of 0.45 %%, by October 24 Ru1501, the closing price of 13375,13750 Ru1505 calculation fee of about 6.02 and 6.19, Open two contracts totaling 12.21 yuan / two-handed, because every hand 10 tons, so the bilateral Open a fee of 1.2 yuan / ton, the actual futures companies charge to prevail.
The cost of borrowing funds. Assume arbitrage process, the first two contracts Open, and then wait until spreads return to normal during the use of the funds involved in two major contracts margin. Exchange Margin as follows:
(Source: International Trade Shanghai Futures Exchange Futures)
Rubber main contract positions are generally more than 160,000 hand, rather than the main contract in most cases the following 80,000 hands, it applies 13%, 6% margin, but when near the settlement, the margin will greatly enhance the exchange margin ratio in the following table :
Table 1.2 at different stages of the exchange margin requirement standard natural rubber
(Source: Shanghai Futures Exchange)
To calculate the sake of convenience, the primary and secondary contract terms are 13% deposit to October 24 closing price of Ru1501, Ru1505 margin occupancy is 13 375 * 13% * 13% = 1738.75,13750 = 1787.5, respectively, totaling 3526.25 yuan
The cost of borrowing funds accounted for 6% annualized, converted into four months the cost of capital of 120 days, calculated as follows:
6% * 3526.25 * 120/365 = 69.56 yuan, 69.56 yuan per ton
In addition, on the one hand, with the required margin will rise in futures prices will be rising; on the other hand, under normal circumstances, the futures account is not full warehouse operation, that there will be a part of idle funds on the account. Based on the above two points, the funds required will be slightly higher than the above, and therefore the cost of capital will be higher than 69.56 yuan above calculation.
9. VAT. VAT is a factor in the whole process of arbitrage most uncertain. In the natural rubber futures trading, due to physical delivery takes place, the issue has also brought the issue of VAT invoices, because VAT is managed and collected by the tax authority, responsibility and the exchange in which members play and how It must also become know. Standards of natural rubber in the delivery of sub-species of domestic and imported natural rubber, they also have different methods of calculation in the operation of the VAT charged. 17% VAT collected by customs on imported natural rubber, while the Shanghai Futures Exchange requires its members or investors issued at the time of physical delivery of value-added tax invoices, imports of natural rubber is still applicable tax rate of 17%, 13% of domestic natural rubber applicable tax rate.
“增值税发票上的价税合计=(该期货合约最后交易日的结算价－贴水)×卖出交割量”
因此，计算增值税需要的是两个合约最后交易日的结算价，这个在我们计算过程中无法测算也没有办法提前估算。我们采用的是收盘价作为结算价差，那么我们要承担的增值税就是1505合约和1501合约的价差再乘以相应的税率。这里采用国产胶13%的增值税税率。以10月24日收盘价计算的从Ru1501交割至Ru1505应缴交增值税为（13375-13750）/(1+13%)*13%=43.14元
总计的Ru1501、Ru1505合约跨期套利成本为：
8+60+6+10+156+0+1.2+69.56+43.14=353.92元/吨
总结以上的计算，可以发现，主要不确定性因素在于借贷成本和增值税的计算。其中借贷成本由于保证金的关系，对的套利成本影响很大，利率和保证金的确定是决定借贷成本的关键。而另一个不确定性因素是增值税问题，由于两个合约未来的最后一个交易日的结算价并不确定，增值税存在很大变数。
综上，加上一些不确定因素，Ru1501与Ru1505实际交割成本应该在350~400区间。
（应一下题，上述模拟交割法，测算的是标准期货合约从A合约交割至B合约的交割成本，若涉及到题主所说的“期现套利”，只需把A合约转换成现货换算利息成本、仓储成本等等，同时省去一部分交易费用等等。）
（二）历史价差法
历史价差法，即从历史的价差入手，对两个合约的历史价差进行统计分析，以其均值作为合理价差区间的中间值，再采用数据统计的方法对套利敬意进行概率估计。模拟交割法与历史价差法都涉及到了价差区间间隔的计算和确定，这对整个套利过程中的盈利和切入点等都有致关重要的作用。此外，采用历史价差法时，最好能够与宏观基本面、行业基本面、技术面，特别是行业基本面相结合，再做出套利决策较为妥当，切忌生搬硬套。
1、 期货跨期套利
常见的套利组合有：1月与5月、5月与9月、9月与次年1月、11月与次年1月。其中1、5、9月为天胶期货的主力合约，而11月份合约经常成为套利合约缘于上期所制度因素。
（1）1月与5月间的期货跨期套利
（注：由于1.16-5.15期间，05合约对应的是次年01合约，在做数据统计时一律将上述时间段的数据予以剔除）
表1.3 沪胶05与01价差描述性统计量
（数据来源：国贸期货 魏民）
由上图、上表可知采用近三年的数据会比近八年的数据进行套利区间的估计更为可靠，近三年平均价差338.345，有95%的把握价差会落在（317，360）区间，与采用“模拟交割法”计算所得的持仓成本近似。若将套利利润锁定在100点，套利区间为（217，460），亦即在基本面配合的情况下，当价差超过460时，可考虑采用正套的方式进行跨期套利，以期价差收敛平仓获利，若价差不收敛可直接交割，因价差大于交割成本，同样可获得交割收益，因正常交割成本在（350，400）区间，若价差能达到460左右将产生无风险套利机会（正套），即后市若价差收敛即可平仓获利了结，若价差不收敛可进入交割程序同样可获利；当价差低于217，因橡胶最小变动价格为5元，当价差低于220时，可采用反套的方式进行跨期套利，以期价差扩大平仓获利。
（2）5月与9月间的期货跨期套利
（详见“完整版”）
（3）9月与次年1月、11月与次年1月间的期货跨期套利
（详见“完整版”）
2、期现套利
上述为同品种（SCR WF或RSS3）不同期货合约间的价差关系，若买入（卖出）全乳胶或烟片胶（RSS3）现货的同时，卖出（买入）相应数量的期货合约，则为同一品种的“期现套利”，与期货近远期类似，具体不表。
对应到橡胶市场贸易量最大的20号标胶/复合胶，则为不同品种间的“期现套利”，如下图：
（注：其中泰复转换人民币公式采用13%的增殖税,修改税率主要考虑国产橡胶的税率是13%，在按照同等税率转换之后能更好的与国标一号橡胶进行对比，实际操作中进口橡胶大部分是手册操作，保税生产实际上不会做完税所以计算的时候也把进口关税省略掉）
表1.8 橡胶期现价差统计量
（数据来源：国贸期货 魏民）
结合上图可知近三年价差基本上在（1000，4000）区间呈现明显的规律性波动，且由上表可知，近三年数据更接近正态分布，样本数量达660个，进行区间概率估计更较统计学意义，下面以近三年的统计结果加以推算。
近三年，期货主力合约与泰复价差均值为2288，有95%的把握使得价差落在（2207，2368）区间，结合近三年走势图，将套利利润锁定在1000点较为合适，亦即，价期现价差超出（1200，3400）区间时，可进行相应的正反向期现套利。
五、总结
由上文可知，天然橡胶套利模式多种多样，只要时机把握得当获利空间并不低于单边，而且风险较低，是追求稳健经营的现货企业之首选。然而，民营企业多囿于资金成本高、人员配备匮乏、套利认知不足等因素，进行套利操作的民营企业少之又少，对于上述因素，下面试图提出些许个人浅见：
1、 资金成本高，特别是在当前全国信贷偏紧的情况下，银根收紧，民企无处融资，部分企业通过大宗商品融资（如“融资胶”，本人另有文章将就融资胶进行剖析，敬请期待）或“内保外贷”等方式借入低廉境外资本，但随着外管局对该类交易的打击，融资愈加困难。多数企业仍然是倚靠国内资金，而民间借贷动辄两分三分的资金利息，鲜有稳定投资收益能够覆盖该成本。若能不运用自有资金或拆借资金，又能实现收益，岂非等同于“空手套白狼”？而套利操作模式选择得当，即有可能，实现上述目标！
例一， 第8页，“期现套利”中，当期现价差接近或低于1200时，可采用“反向套利”策略，亦即卖出远期现货（收取5-10%保证金），同时买入远月期货合约（付出5-12%保证金），收付基本平衡，基本不占用公司资金；但，同时应强调的是，弱势中，反套在资金占用减少的同时，风险较正套相应增加。
例二， 第9页，现货近远期套利中，如采用反向套利同样可以达到不占用自有资金的目的，同上。
第15页，内外盘反向套利中（相对于贸易流而言），同上。
例三， 第10页，跨品种套利中，以“标胶与烟片胶的套利”为例，因该套利组合中使用的均为远期船货，均涉及一买一卖，而在实际现货操作中买入远期船货一般需要付5-10%保证金，而卖出远期船货可收取5-10%保证金，一付一收相抵，基本可不占用企业资金，进而解决了企业的资金成本高的问题；
2、 人员配备匮乏，除了公司内部相关专业人员的招募，还可以与投资咨询机构（如国贸、高盛、）、数据服务商（如Wind、卓创）加强合作，甚至考虑将部分业务外包，发挥各自比较优势，达到资源最优配置。
3、 套利认知不足，由于套利对冲认知不足，自2011年以来橡胶连续几年的大熊市，让诸多橡胶贸易商深陷亏损泥潭，甚至破产，整个行业经历又一轮洗牌。套利对冲作为风险管理的重要手段，套利对冲可以提高企业持续经营的能力，规避错综复杂的因素引发的风险。据统计，世界500强企业中有94%（471家）使用了金融衍生品来管理风险，相比之下，我国企业在对冲方面的意识非常淡薄，这也是我国企业缺乏百年老店，走不出“富不过三代”怪圈的一个重要原因。因此，转变多数人头脑中单边操作的固定思维，深植稳健经营的种子，适时采取套利策略，不流于大宗商品普遍存在的单边大起大落之俗，可以说是迫在眉睫。