How to calculate the cost of LLDPE spot arbitrage

The packaging of linear low-density polyethylene deliverables is unified into 25kg bags, 40 bags per ton, and there is no spillage.

The transaction fee does not exceed 8 yuan per lot.

Both parties to the physical delivery shall pay the delivery fee to the exchange respectively.

The LLDPE delivery fee is 2 yuan ton; The maximum price limit for sampling and inspection fees is set and announced by the Exchange. The inspection fee shall not exceed 2,100 yuan for samples, and the sampling fee shall not exceed 600 yuan for samples.

The storage fee for linear low-density polyethylene is charged at the standard of yuan ton per day.

There is no loss fee for linear low-density polyethylene standard warehouse receipts.

Holding cost = storage fee + insurance fee + interest on inventory funds + value-added tax + labor cost + packaging fee + other expenses (including transaction fees, delivery fees, warehousing fees, public inspection fees, etc.).

LLDPE is low-density polyethylene, which is no different from other **.

Spot arbitrage is an extended form of the concept of intertemporal arbitrage, which refers to the way of selling (**) the same contract commodity in the spot market at the same time as the **market** (selling) the commodity contract of a certain month, in order to hedge the profit at a favorable time. It is a form of arbitrage based on spot delivery.

Spot arbitrage is an arbitrage transaction that uses the difference between spot delivery and holding cost and the basis of **. Its theory is based on the same intertemporal arbitrage** and the holding cost theory. Theoretically, the forward **** should be higher than the spot **, but because of the upper limit of the holding cost, the ** of the forward ** cannot be unlimitedly high in cash**.

When the price difference between **** and spot ** is higher than the cost of holding a position, someone will buy spot and sell forward**, so that he can make a profit after paying interest, storage, insurance and other expenses. The strength of buying in the near term and the pressure on selling in the long term will soon force the relationship between the near and far ones to get on track.

Holding cost = storage fee + insurance fee + interest on inventory funds + other expenses (including transaction fees, delivery fees, warehousing fees, public inspection fees, etc.).

For example, taking cotton as an example, the cost of registering a warehouse receipt after the cotton purchase spot is less than 300 yuan, including the delivery cost of about 86 yuan (transaction fee, delivery fee, warehousing fee, and public inspection fee, storage fee = 6 4 15 (car warehousing fee) 25 18 2 = 86 yuan), value-added tax, packaging fee and labor cost of about 200 yuan. That is to say, the normal monthly holding cost is about 500 yuan, and the futures and spot price difference can be arbitrage transactions as long as it exceeds 500 yuan. At the beginning of March 05, the cotton with delivery standards in the spot market was 12,000 yuan tons, and the CF504 contract of Zhengshang was around 13,800 yuan tons, which is a low-risk profit trading opportunity for spot arbitrage.

In futures arbitrage, investors play the role of ** traders to earn the normal futures and spot price difference, which is suitable for corporate investors with spot basis. When there is a huge price difference between the spot market and the spot market of the same commodity, investors can reverse the operation in the spot market and the market at the same time to obtain risk-free profits. At the same time, when the market is lower than the spot, direct users can use the goods at a lower cost in the market for their own use.

This can reduce the number of sales steps and save money.

That's good in theory.

The key is that there is no opportunity for spot arbitrage in China. Because this variety has just been listed and is not actively traded, there is even less hedging by spot dealers. In this way, the **** will not necessarily follow the rise and fall of the spot.

And by the time of the delivery period, the long and short sides have basically closed their positions, and the long and short sides have not carried out spot delivery at the time of delivery, which is different from the spot. How do you arbitrage. This situation is quite normal in the country.

l Now 1 lot of 5 tons The current ** is a sign of 9626 According to the margin of 10 percent, 1 hand needs a margin of 4813 yuan **No fluctuation, a respectful friend take a light and take 1 hand profit and loss of 5 yuan.

Speculative and arbitrage trading.

Spread arbitrage. In general, the profit and loss of spread arbitrage can be calculated using the following formula:

Spread arbitrage profit and loss Profit and loss of each ** contract (30) Spread arbitrage can generally be divided into buy arbitrage and sell arbitrage. Buy arbitrage refers to the arbitrage behavior that if the arbitrageur expects the price difference of the ** contract of different delivery months to widen, the arbitrageur will ** one of the higher "legs" and at the same time sell ** the lower "legs". Sell arbitrage refers to the arbitrage behavior of the arbitrageur by selling the higher "leg" and the lower "leg" if the arbitrageur expects the price difference of the ** contract of different delivery months to narrow.

Therefore, the arbitrage profit and loss can also be calculated using the following formula:

P&L of Buy Arbitrage Spread when closing position Spread when opening position (31)P&L of selling arbitrage Spread when opening a position Spread when closing a position (32).

** (futures) as opposed to spot. It is the subject matter that is bought and sold now, but will be delivered or delivered in the future, which can be a commodity such as **, **, agricultural products, financial instruments, or financial indicators. The settlement day can be a week later, a month later, three months later, or even a year later.

The contract or agreement for the sale and purchase of ** is called **contract. The place where you buy and sell is called the market. Investors can invest or speculate on **.

Depending on the company, the fee varies greatly

We will give you the lowest level directly: all ** varieties will only add 1 point (only +

Spot arbitrage refers to a certain contract, when there is a gap between the market and the spot market, so as to take advantage of the gap between the two markets, buy low and sell high to make a profit. Theoretically, **** is the future of the commodity, and the spot ** is the current ** of the commodity, according to the same ** theory in economics, the gap between the two, namely"Basis"(Basis = Spot **-****) should be equal to the carrying cost of the commodity. Once the basis deviates significantly from the holding cost, there is an opportunity for spot arbitrage.

Among them, the first should be higher than the current goods, and exceed the costs used for delivery, such as transportation costs, quality inspection costs, storage costs, invoicing increased costs, and so on. There are two main types of spot arbitrage: forward buying spot arbitrage and reverse buying spot arbitrage.

Spot and futures arbitrage trading is not only risky, but sometimes even very risky. The main risks include:

1) the risk of tracking error of spot portfolios;

2) The construction and liquidation of spot positions and ** positions are subject to liquidity risks;

3) the risk of margin call;

and 4) the uncertainty of dividends and the risk of whether the pricing model of the stock index** is effective.

Arbitrage Trading Revealed (1) Overview of the Margin System Arbitrage trading is divided into intertemporal arbitrage, inter-commodity arbitrage and cross-market arbitrage. Cross-market and cross-commodity (double-cross) arbitrage trading has high requirements for the uniformity of the overall market, and the key is to determine the proportional relationship between different commodities. Arbitrage transactions in the domestic ** market are mostly limited to intertemporal arbitrage transactions.

Prior to 2003, calendar spreads were largely traded by investors themselves. After 2003, ZCE introduced the Measures for the Administration of Calendar Arbitrage, which stipulates that the margin of the Calendar Arbitrage position of ZCE listed contracts shall be charged unilaterally. After 2005, ZCE added calendar arbitrage trading combination orders.

After 2006, the upgraded trading systems of other ** exchanges will also support calendar arbitrage trading. Restricted by the lack of listed commodities and strong monopoly of varieties in the domestic market, "double-cross" arbitrage transactions rarely appear in China. However, the "double-cross" arbitrage trade in the international market not only has a long history, but is also very active.

The exchange actively introduces and formulates various types of "double-cross" arbitrage margin regulations with its own system, which occupies an important position in the margin system. Helping and guiding traders to carry out arbitrage trading has become a popular fashion in the international** market. Therefore, it is necessary to re-understand the international "double-cross" arbitrage margin system.

As we all know, from the analysis of the transaction level, margin can be divided into initial margin and maintenance margin. From the analysis of the nature of the transaction, margin can be divided into speculative margin and hedging margin. In recent years, there have been many types of arbitrage margins in the world, which can be roughly divided into intra-exchange contract arbitrage margin and inter-exchange contract arbitrage margin (see the figure below).

The arbitrage margin of contracts in the exchange is subdivided into arbitrage margin of the same type of contract, arbitrage margin of different varieties of contracts and arbitrage margin of series products (including contract margin of the same year and inter-year contract margin). The arbitrage margin of inter-exchange contracts can be subdivided into arbitrage margin of the same contract of the same variety, arbitrage margin of different contracts and arbitrage margin of cross-variety contracts. The arbitrage trading of relevant listed varieties inside and outside the exchange reflects the trend of economic globalization from one aspone, and a variety of arbitrage transactions of listed varieties within most exchanges abound.

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If the spot is used for delivery, he needs to register the goods as a warehouse receipt first, as long as the registration is successful and the position is sold, someone will definitely deliver.

If another spot dealer buys his spot at a higher **, he can sell the goods and close the position in the ** market.

**The exchange is never acquired, it only provides services such as trading venues, and your goods can only be sold to other companies or individuals.

When you open a position, there must be another person who trades with you, that is, if you sell this contract, there must be another person to carry out the operation, as long as you do not close the position, you will be able to deliver successfully.

However, there are costs to delivery, such as: transportation costs, inspection fees, storage fees, etc. It takes a lot of calculations.

When ** is significantly higher than the spot**, you can sell the **market** contract and buy the spot in the spot market at the same time. This is called spot arbitrage.

The first question is that on the delivery date of the ** contract in hand, the delivery shall be carried out in accordance with the delivery process of the ** exchange, of course, the spot must be the spot that meets the standards stipulated by the ** exchange, so when the ** spot is in place, you must buy the spot that meets the requirements of the exchange to facilitate delivery. The second problem is that because there is a ** contract that expires without hedging, it must be delivered, and the exchange will definitely buy the spot, and if there is no spot delivery, there will be a certain punishment. It does not involve other spot dealers, but only transactions with the exchange.

I don't know if I understand it now, hehe.

It is not an exchange acquisition. If there is a short order, there must be a corresponding long order, right? It is the one who has to "acquire", and the money has been collected by the exchange.

If he doesn't buy it, the money will be yours. Of course, there are strict quality standards for this spot. Of course, we laymen don't understand them.

It can only be said in theory. Generally, manufacturers or wholesalers can take advantage of this arbitrage.

1. Calculate the theory of stock index **, and estimate the upper and lower boundaries of the non-arbitrage range of the stock index ** contract. The determination of the upper and lower bounds of the arbitrage-free interval is related to many parameters, such as what the lending rate is, how liquid the market is, the cost of market shocks, transaction fees, etc. Determine the parameters and then add them into the formula to get the arbitrage-free interval that suits you.

Since arbitrage opportunities are fleeting, the calculation of the arbitrage interval should be completed in a timely manner, and in practice, it is often carried out with the help of computer programmatic trading.

2. Determine whether there are arbitrage opportunities. By monitoring the trend of **contract** and comparing it with the non-arbitrage range, it is possible to determine whether there is an arbitrage opportunity, and only when **** falls above or below the upper or lower bounds of the non-arbitrage range, an actionable arbitrage opportunity appears.

3. Determine the size of the transaction, and consider the expected profit level when determining the size of the transaction, the impact of the size of the transaction on the market, and the impact cost will be high if the transaction size is too large, so as to reduce the arbitrage profit. In addition, the possibility of financing and securities lending should also be considered, and reverse basis arbitrage can be done.

4. Carry out ** contract and ** trading at the same time.

5. Monitor the profit and loss of arbitrage positions to determine whether to increase or reduce positions.

Theoretically, this is the case, but in reality, there are the following risks to be aware of:

1. Only corporate customers can hold positions into the delivery month (except for the Shanghai ** Exchange), and individual customers cannot hold positions into the delivery month.

2. It is normal for the price difference to be unreasonable, and there are many factors that need to be considered for delivery, even if you are a corporate customer, you can hold a position into the delivery month and enter the delivery, you also need to consider the cost of capital, storage fees, freight, delivery fees, warehouse matching, etc., due to many factors, it seems that the price difference is very large, and it is very likely that there is no profit margin, or even a loss;

3. Sometimes the spot spread is not returning, the market is always right, and it is normal for the spread not to return.