Futures investor service handbook

Futures investor

Hedge

First Zhang

If you are a airplane passenger , a vehicle God, you have surely had the experience of purchasing safe insurance. And purchase safe meaning to lie in , if appearance is unexpected, condition is yours, can get compensation , so plays the part of to protect the own or own purpose of property. Is same, if you possess a processing enterprise of agricultural product, or smeltery, you whether consideration the raw material that you use or the product produced when is entire to be faced with huge price risk in the operational process of turning? For huge loss that avoids these disadvantages and that price tendency brings , whether have you good countermeasure measure?

When futures originate land America, enterprise loans if wanting to get from bank, when qualification test, the primary problem that department puts forward related to bank is , whether your enterprise has been related on option market, the hedge of business is operated? Because is in America , enterprise whether participation the hedge of option market operation will become whether the successful primary condition that gets credit. It has become to judge that enterprise stabilizes the important standard of operation that under market economic condition, enterprise avoids to manage risk using option market. Enterprise only carries out hedge using option market to operate , shifts and scatters efficiently its price fluctuation risk of spot market that is faced with.

Second Zhang the

The economic

Since commodity price gets the influence of economic factor and non economic factor, price can occur fluctuation constantly, and price change tendency is hard to be always foreseen correctly , therefore has price risk. And hedge is the place of regarding as option market to shift price risk , is the future in the temporary merchandise of business merchandise on spot market that replaces thing and need to sell for not come using futures contract or come the commodity price that need to buy in carries out safe trade to move about.

1The tendency of spot price

Though, spot market and option market are the markets of two independences, but the price of futures and the price of on-hand stock get identical economic factor and not economic factor influence and restriction, thus the price of usually two markets changes , have identical tendency. Hedge is to part using the price relation on two markets in spot market, at the same time, with option market for the merchandise of a kind of same kind, carry out the business campaign that quantity is equal but has opposite direction, when price change the profit and loss that make on-hand stock appear on business, may get by the loss profit on futures trading to offset or remedy , in order to reach the goal of lock enterprise production cost or steady profit.

2, spot market and the price

Option market complete a business transaction system has guaranteed that spot market and the price of option market are consistent along with the futures contract close to trend of date due. Futures trading stipulates contract, must carry out material object when it is due to complete a business transaction , when futures contract completes a business transaction to come , if option market and spot market exist to deviate , on option market, meeting arises issue naturally to show arbitrage campaign , make futures and spot price tend to consistent on contract date due. Therefore, when the spot price and goods of date due of early stage have high correlation.

Hedge handling may ask to complete a business transaction according to futures contract on-hand stock outside, may still carry out futures to turn the trade of on-hand stock. This kind of trade usual is when two go on between the hedge person who hopes to carry out over-the-counter trading through the exchange position of futures trading.

The basically

1, producer

No matter to the peasant that market offers farming by-product or to the enterprise that market offers the basic raw materials such as copper, tin, lead and petroleum , the supplier as social merchandise has produced preparation to guarantee it to offer , give market or will come yet in production process to sell the reasonable economic profit of merchandise to market, so as prevent formally selling the possibility of the shelf of current price to be declining and suffer to lose, adopt to sell issue protect the trade way of value to reduce little price risk , when option market sells action to quantity equal futures with the identity of seller to protect value means.

2, manager

For manager, the market risk that he is faced with is merchandise purchase after have not resale goes out , commodity price is declining , this will make he go through seek profits to moisten decreasing even occur loss. To evade this kind of market risk, manager may adopt to sell issue , protect value way to carry out price insurance.

3The comprehensive

For processing person, market risk comes from buy and sell two aspects. He worries about that the price of raw material rises , and worries about that the price of finished product is declining , fears more that raw material goes up , the price of finished product is declining the appearance of situation. So long as process the finished product after material and processing that person needs , may enter option market to do business , so he may with a view to use option market to carry out comprehensive hedge , buy issue for the raw material purchased to protect value , sell issue for its product to protect value , may relieve his trouble back at home , lock firmly its processing profit, so special carry out processing production.

3th Zhang the

One Buy into

1, the example

The major raw material3The spot price13 thousandIt/Ton, this factory600Ton aluminium ingot-shaped tablet,3Beginning13.2 thousandIt/The price600Ton5The aluminium5Beginning of the15 thousandIt/Ton, right now15.2 thousandIt/Ton. So, this15 thousandIt/The price of ton600Ton aluminium15.2 thousandIt/The price of ton sells

Market

Time

Spot

Option

3Beginning

Price is13 thousandIt/Ton plans to600Ton

So13.2 thousandIt/The price600Ton5The aluminium

5Beginning

On spot15 thousandIt/The price600Ton

So15.2 thousandIt/The price of600Ton5The contract

Result

5Beginning3Pay in2000It/The cost

Futures2000It/Ton

Thus it can be2Month15 thousandIt/The price of3Buy in aluminium2000It/The cost of ton. But have2000It/The profit of ton, to remedy spot market13 thousandIt/Ton.

If5In beginning of the month,500It/Ton, table is

Market

Time

Spot

Option

3Beginning

Price is13 thousandIt/Ton plans to600Ton

So13.2 thousandIt/The price600Ton5The aluminium

5Beginning

On spot12.5 thousandIt/The price600Ton

So12.7 thousandIt/The price of600Ton5The contract

Result

5Beginning3Beginning500It/The cost

Futures500It/Ton

Thus it can be2Month after3Buy in beginning500It/Ton, but since on option market,500It/Ton, therefore this reality13 thousandIt/Ton uses , pay500It/Ton has remedied500It/Ton.

This factory does buy into hedge,3Approve13 thousandIt/Ton.

2, the cost and

The advantage bought into

( 1) Evade the risk brought by price rising. In last example, aluminium profile factory protects value through buying to enter , has remedied the cost of many payments on spot market with the profit on option market , has evaded the risk of price rising.

( 2) Have raised the use of enterprise fund efficiency. Since futures trading is a kind of trade of earnest money, therefore, may control large quantities of goods only with few funds , has accelerated the turnover speed of fund. If in last example, basis exchange5%Trade earnest money,13200*600*5%=396 thousandIt is first,5%Fund action resists90%Fund2In month, may accelerate turnover , have

( 3) Can make the contract on-hand stock sign as3The spot price5In month, supply agreement is to hope to be able to sign alive price supply agreement , conclude price according to the due price of spot market. Buy if buyer makes into hedge, may rest assured sign alive price supply agreement, because even if price has really gone up , buyer may remedy the cost of many payments of spot market with the profit of option market.

Buying the cost that has more many advantages into hedge and need to at the same time undertake is , once having adopted hedge strategy, have lost price to be declining the benefit that may get. That is said, when evasion as Ji the price risk of square disadvantage at the same time, have also given up since price may appear , as Ji favorable opportunity. For example, in last example, if aluminium ingot-shaped tablet price is declining , this factory buy into hedge to arise loss, though spot market loses the cost of payment, may remedy the loss of option market , but compares with the enterprise that has not carried out hedge , purchase cost on the contrary is high.

2, sell hedge

1, sell the

2004Year3Middle of the month3700Around Yuan, is in historical Gao Wei. Process enterprise as bean, its product major is beans Po and soya oil. Domestic certain oil company realizes Gao Wei to buy the risk of bean, but as far as some actual conditions of market share and our factory is concerned, have to carry out buying. Purchase department when< xml:namespace prefix=st1 ns="urn:schemas-microsoft-com:office:smarttags"/>< chsdate w:st=on isrocdate=False islunardate=False day=20 month=3 year=2008>3Month20Day< chsdate/>Have3The import310 thousand3730Around Yuan, is close basically6Beginning of the month, must cause beans if then, bean price is declining Po is declining with the price of soya oil, bring great loss to company. Is declining to avoid price risk, company decides after discussion in Dalian commodity exchange8Month beans Po futures1Kg bean0.8Kg beans0.18The kg calculation24 thousandTon beans5400Ton soya oil is but added again since at that time, domestic has not still put out the futures trading of soya oil as far as the positive barrier relation between soya oil and bean is concerned, so decide all from beans Po substitute. Result when< chsdate w:st=on isrocdate=False islunardate=False day=22 month=3 year=2008>3Month22Day< chsdate/>With average3700It is first30 thousandTon8Month due beans

6Month early in the month,3000It is8Month beans2650Yuan controls. This2700Yuan is in average1000It is first, is2730It is6Month port200It is multivariate. Company has not only800Many profits

From this example, may find out that though after this firm is signing import contract , bean price is declining , when spot market appearance loss, but through selling hedge, make the profit of option market have remedied the loss of spot market, so making this firm avoid spot price to be declining the risk brought.

2, sell cost and

Selling the advantage

( 1) Sell to protect value can evade future spot price

( 2) Managing enterprise to pass to sell protect value , may according to former operation plan, strengthen management , organize source of goods conscientiously , implement and is completed smoothly to sell plan. In as above example, oil company is processing type enterprise, raw material and product both ends have market price risk. Is price Gao Qi Shi of raw material, company has locked normal processing profit through selling expensive product in advance.

( 3) It is helpful for on-hand stock to be smooth as unifying to sign. Enterprise protects value because of making to sell , need not worry about that opposite side asks with the delivery in the future spot price is conclude price. Because when price is declining tendency of the market in, enterprise protects value because of making to sell, remedying spot price with the profit of option market to be declining the loss caused. Otherwise, if price rises , enterprise takes the opportunity to sell good price on spot market, though option market goes up have arisen loss, but this enterprise has realized still own sales plan.

But selling to protect value will also undertake some costs, protect value person have given up the price rising in the future the opportunity that gets higher profit. In as above example, if beans Po price rising arrives is each ton of4000It is first, it may300First profit, but sell hedge if300It

4th Enterprise

A, investment

Enterprise futures hedge business management organization should be formed by enterprise futures business leading group and futures department: Futures business leading group by enterprise straight duty lead , is put in charge of assistant manager, the department responsible persons such as operation, financial, production plan and law and futures department manager composition, manager enterprise the goods business leading group group leader of term of office.

Enterprise futures business leading group is the decision-making structure of enterprise futures business , takes the responsibility for determining enterprise mainly to attend risk monitoring and the establishment of enterprise hedge scheme, kind and the scope of futures trading as well as and the handling of other major issues related to futures. Futures department is the function management department of enterprise futures business, its major duty is: Collect market message, analysis and forecast market conditions extensively; Put forward the hedge execution that suggests scheme to take the responsibility for hedge scheme; Establish enterprise futures business management system; Establish the futures statistical system of report form; For futures business carries out risk control.

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2, enterprise carries

1, the analysis

Accurate analysis judgment tendency of the market is correctly decision-making and basic, enterprise should when attend the market analysis meeting that various professional analysis organizations convene at the same time, not convene market conditions regularly regularly to analyse meeting. Meet market conditions to occur sudden change , it can investigate quotations and corresponding countermeasure if futures department should collect message and different aspects opinion extensively and convenes market analysis in time.

2The establishment

Futures department is collecting message extensively , manages the enterprise annual or stage hedge of goal setting completely on the analysis international tendency foundation of home market, according to enterprise to suggest that scheme forms operable hedge scheme after submiting the enterprise futures business leading research of group discussions. Establishing to protect the basic principle of value scheme is: Taking tendency analysis as foundation, it is taking product cost as reference , is taking enterprise overall benefit as goal , ensures to not occur risk.

3The enforcement

When after enterprise hedge scheme determines , from futures department establishment hedge operation scheme carries out specific running after leading approval, its running result when everyday newspaper sends futures lead little composition in Yuan futures daily reflection, the lead of the pipe futures business of proprietor of an enterprise inspects for protecting the enforcement condition of value scheme to carry out supervisor. Occur the bull commander with different opinion to prevent , futures protect value running to carry out unitary commander system , is operated by the leading or enterprise manager commander futures department of the pipe futures business of proprietor of an enterprise, futures leading little composition Yuan and after other each aspects weigh according to the opinion of futures running through manager enterprise or responsible assistant manager give futures department execution. If market conditions occurs change needs, as protecting value scheme to carry out greater correction , need to determine by futures leading group discussions.

4, hedge money

When entering to complete a business transaction need material object in former January of month by the department on-hand stock complete a business transaction product quantity notice futures department. The department on-hand stock organizes resource and shipment is to designated storehouse , check and accept and make storehouse sheet by designated unit, deliver storehouse sheet according to the written instruction of futures department manage from futures company carries out material object to complete a business transaction , or from finance department the fund plan that goods department puts forward on schedule raises payment to deliver designated futures manage company handles material object to complete a business transaction. Complete a business transaction completely the goods department of later stage delivers storehouse sheet from on-hand stock department handling. Complete a business transaction if because of the reasons such as resource, fund and transportation, can not handle on schedule prompt to the report of the pipe lead of proprietor of an enterprise, by it carry out coordinative handling, determine can not complete a business transaction must in-form futures department in advance that make flat storehouse handling.

5, fund management

Used in the fund of futures hedge, authorize futures department manager to allocate by legal entity. Futures department should establish in protecting value scheme fund demand plan. After when protect value scheme to determine , between the fund needed according to scheme prompt requirement in time enough volume offers earnest money, need if meeting quotations sudden change temporary increase earnest money, suggest by futures department that written report increases group fund by relevant lead after approving by financial department, normally when earnest money has richness, should recall enterprise in time. Being used to complete a business transaction pick up goods fund from futures department when receive the department on-hand stock puts forward after complete a business transaction quantity when complete a business transaction for former one month of month put forward application to financial department; It is rear that selling protect value money to complete a business transaction , requirement futures manage company must will complete a business transaction completely payment remits enterprise fund account as soon as possible.

3 and enterprise carry

1, hedge has

Somebody thinks , hedge money establishment afterwards, the risk of futures and on-hand stock quilt as have rushed , rise regardless of price to fall get profit another side loss, because hedge has no risk, even if have risk, is also confined only to base bad risk.

Above-mentioned saying is set up theoretically , but has no risk that considers to meet in actual operation. In actual operation, the risk of hedge shows mainly on futures loss. Though under this kind of condition, enterprise is favorable on spot market , but must remedy in time with cash because of the loss on futures trading, and benefit or the extra profit on on-hand stock embodies gradually in the future, and can not play the part of the role of remedying futures loss in now. If be in hedge , enterprise complies with the principle of quantity equity strictly , is prepared by enough thought and maintains the fund of money, always insist to be final, last loss will not be great , because of these losses may when afterwards the gradual withdrawal on on-hand stock. However, if enterprise no enough addition earnest money, hedge very possible midway abortion. Once hedge failure, or it is still mixing with partially speculative money on hedge quantity , the loss caused eventually far exceeds the profit on on-hand stock very probably. The hedge case of failure is nearly caused because of having not handled this kind of risk.

2, protect

In hedge principle, it has the requirement of " quantity is equal ", but for this also can not mechanical understanding and is simple to apply mechanically. Considering the very option market the hedge as well as risk that has may also cause to profit opportunity the weakness lost , enterprise may bear ability according to own actual condition and risk to protect quantity for cover to carry out balance.

" claim to protect value intensity " denote enterprise to participate to protect the quantity of value, take enterprise consumption quantity( offset to cost enterprise) or the percentage of output( for production enterprise). Protect value intensity to be situated between0100Between0Representative"100Representative"100Above, " protect value excessiveness". Since protecting

In general terms, different enterprise50%Intensity may consider to be one regular foothold, and quantity increase and decrease and adjustment may go on according to different market. For example, for the enterprise that need to sell this kind , when rear city development is more optimistic, or in bull market, may consider to reduce1/3; When rear city compares80%And even is more. Otherwise, as need to buy the enterprise of this kind, when rear city development is more optimistic, or in bull market, may consider increase to protect value intensity; When rear city compares , is pessimistic or may consider compression in bear market to protect value intensity. Total value, will consider the stability of enterprise operation , and will consider the flexibility of enterprise operation. For just entering , option market carries out the enterprise of hedge , is insufficient as far as experience is concerned, will protect value intensity control in the level of lowing more somewhat , is also normal.

3, correct appraisement

The appraisement of hedge is when cover protects campaign to finish or accuse a go on after falling. Appraisement working importance lies in that it can summarize experience and lesson well, with discovery originally scheme the place that which succeed , which insufficient place, have which the place of improve. Summarize experience and lesson constantly, for raising enterprise when the cover in the future protects level and the ability of campaign is been helpful for very much. However, when summarizing , will avoid that one inclines , that act as afterwards Zhu Ge lights , and take simplely afterwards the change of price comes to measure hedge effect is good and bad. If only get profit on option market according to this train of thought and conclusion nature, it is just successful. However, this is the evaluation criterion of speculator just. Accurate appraisement should is from the overall operation of enterprise goal leaves , combine issue and two current markets to go on , see whether have realized to reduce the purpose of price risk originally. Under this kind of condition, retrospect originally established hedge scheme apprehensiveness is very necessary. Additionally, enterprise should be not this to protect value, protecting value trade have very good place, can not be pleasant to the eye from simple one operation option market whether profit, and should discuss for whole , see from long-term effect.

4, guard against

Enterprise meets on option market to face various risks , what deserve to be noticed is that in various risks, must be on guard conscientiously since enterprise controls in the operating risk on degree that slip arises.

So-called operating risk denotes the unexpected loss risk caused because of the existent defect in information system and built-in control. This kind of risk and mistake and system do not work as well as program step or control measure improperliness relevant. Since operating risk comes from employee, process and 3 systematic links mainly, these are internal factor , may be so also called as internal risk. Operating risk the aftermath that causes may be serious. For example, the safe man in the bank that arouses international issue copper market maximum great waves causes friend firm loss30Many 100 million dollarses; Bahraini

The last reason of these cases is because manage system slip inside, make a line trade Yuan may act wildly to cause. In disrupt Bahraini bank Sen fair trade, settlement and superintendency authority in one body; In the bank that causes friend incident , safe man is also to gather trade department responsible person , trade Yuan , accountant and cashier in one body.

Solution the foundation of operating risk lies in enterprise when carry out futures to operate must establishment effective control degree. The key of control degree has at three o'clock: One is proper authorization; 2 is the separation of important post; 3 is prompt inspection system and the report system with strict establishment.

4, enterprise carries

1The installation

Enterprise manages through futures organization

1, " futures earnest money" subject, accounting enterprise

2, " futures increase and decrease" subject,

3, when in " other deals with money " subject installation " quality gives as security earnest money " detail subject, accounting enterprise gives as security with quality to taste the futures earnest money gained.

2, hedge business

Handle the enterprise of merchandise futures hedge business, should when" futures earnest money" subject next installation " cover to protect contract " and " is not cover protect contract " detail subject, differentiating accounting enterprise to carry out hedge business and non hedge( speculate ) business buy and sell the fund occupied by futures contract.

1, build storehouse

Borrow: Futures

Loan: Futures earnest/Bank

Over-the-counter trading

A, get

Borrow: Futures

Loan: Prolong

B, loss

Borrow: Prolong

Loan: Futures

C, knot

Borrow: Futures

Loan: Futures

D, the expense

Borrow: Prolong

Loan: Futures

Enterprise hedge contract finishes , the profit and loss of realizing hedge contract , protecting business with quilt cover the cost that occurs appearance match than, if the cover on option market protects contract to realize profit , borrow to remember the subject " prolong cover successively to protect increase and decrease " , loan to remember the subjects such as " material buying ", " the buying of goods and material ", " produce finished product " and " the merchandise in stock "; If hedge contract realizes loss, makes opposite accounting minute to record.

3, hedge accounting

Enterprise is< chsdate w:st=on isrocdate=False islunardate=False day=1 month=2 year=2008>2Month1Day< chsdate/>When Shanghai30Hand copper28 thousandIt/Ton; This< chsdate w:st=on isrocdate=False islunardate=False day=15 month=3 year=2008>3Month15Day< chsdate/>Sell< chsdate w:st=on isrocdate=False islunardate=False day=1 month=2 year=2008>2Month1Day< chsdate/>The money of30.5 thousandIt/Ton; This< chsdate w:st=on isrocdate=False islunardate=False day=1 month=4 year=2008>4Month1Day< chsdate/>Complete cover to protect

Calculate the flat30500-28000)*30*5=37.5 thousand( Yuan)

Level

Borrow:Futures earnest 37.5 thousand

Loan: Prolong 37.5 thousand

Knot turns

Borrow: Futures 37.5 thousand

Loan: Futures 37.5 thousand

Cost matches

Borrow: Prolong 37.5 thousand

Loan: The 37.5 thousand

Arbitrage

First Zhang

Arbitrage trade also claims that price is bad to trade , finger when buy to enter or sell some futures contract at the same time, sell happen or buy into related another kind of contract, and when certain time at the same time levels two contracts the trade way of storehouse. It when the principle of trade form and hedge is basically identical, only hedge is to cover between spot market and option market to do , arbitrage trade is when the inside of option market covers to do. Arbitrage trade is the way of futures trading of a kind of tradition , has formed characteristic along with the development of option market, and becomes market to stabilize one of indispensable mode of operation.

Second Zhang the

The concept

Cover issue to plan to make money to abbreviate arbitrage , also call arbitrage trade. Arbitrage denotes when buy to enter or sell some futures contract at the same time, sell happen or buy into related another kind of contract, and when certain time at the same time levels two contracts the trade way of storehouse. When trade nominal it is identical with hedge, is hedge at the same time buies on spot market and option market to enter to sell unify , arbitrage is when the business contract on option market.

When carrying out arbitrage trade, what trade person pays attention is the related price relation between contract, instead of absolute price level, they buy in since consider as " cheap " to unify , at the same time, sell " those high prices " to unify. If the change direction of price and originally forecast appearance is consistent, in trade person can change from the relation between two contract prices profit. Therefore for trade person, some trade skills of understanding arbitrage trade principle and grasp are very important, when the normal price gap estimated between two futures contracts can arise change, trade person may use this price difference, when buy ( sell ) and kind contract at the same time, sell ( buy in ) another contract, in order to the market condition in the future is beneficial to it will when hand contract as rush. Arbitrage person should notice when giving instruction that on what kind of price level, establishment is bull or phony trade money, as well as in the future on what kind of price gap level, execution is instructed for rushing.

The characteristic

1, the difference

Ordinary speculative trade uses unitary futures contract price is about to pulsate to earn profit, arbitrage trade is between two never same futures contracts of each other relative price discrepancy cover take profit. (2) ordinary speculative trade in a time does

2, the intrinsic

Risk is less. Generally speaking, when carrying out arbitrage trade, it is similar merchandise since buying the contract that sells , so not cuts the two futures contract prices of month on sport direction with trade to be consistent, buying offset into the loss meeting of futures contract because of selling the profit of contract; Or selling the loss meeting of contract is remedied because of the profit bought into contract. Therefore arbitrage trade may offer some protection to avoid the loss that price violent fluctuation arouses , its risk undertaken the ordinary speculative trade of more single direction is little.

Cost is lower. Generally speaking,A, let risk be for the opportunity ofB, is helpful for the level of reasonable price

As arbitrage person, using difference complete a business transaction for month the price difference between, different merchandise and the goods market of the same period goes on set self-control, may divide into correspondingly to step issue city arbitrage , step issue arbitrage and step merchandise arbitrage.

3th Zhang the

One , step

Across city arbitrage, denote to buy in certain exchange to enter ( or sell ) certain one completes a business transaction for month some merchandise contract at the same time, sell in another exchange( or buy place) same one delivers the same each merchandise contract of month in order to part in favorable opportunity when two easy places as rush when the contract of hand profits.

Across the principle of market arbitrage being and pawning same merchandise futures contract does business on the market in two or more exchanges, because of the geography difference between area, in which, will inevitably store have a kind of price difference, after time change, is in different region , this merchandise futures contract the price difference that on different market have and the change of this kind of price bad relation, is engaged in to buy in the trade campaign sold , say generalizedly that steping market arbitrage is using the discrepancy that commodity price arises because of space difference and do business because of the space bad discrepancy of the fluctuation range and change direction caused, get a kind of economic campaign of profit. This kind of arbitrage may go on on spot market and option market, also may is going on differently between exchange , naturally, also include going on between domestic exchange and foreign exchange.

Step the

UsualSHFEAndLMEBetween the relation10:1( ifSHFEPrice15 thousandIt/TonLMEPrice1500U.S./Ton ), it is tense to but supply15.6 thousandIt/Ton causes March between10.4:1.

Trader judges certain metal import: Along with the recovery of alumina productivity of American aluminium field company, the domestic situation of tense alumina supply will get alleviation, this kind of relation of rate of exchange may also recover normal value. So, this metal import trader decision whenLMESo1500U.S./The price3000Expect aluminiumSHFESo15.6 thousandIt/The price3000Expect aluminium futures contract in ton March.10.2:1( difference15.2 thousandIt/Ton1490U.S./Ton). Right now, thisLMESo1490U.S./The price3000Expect aluminiumSHFESo15.2 thousandIt/The price3000Expect aluminium futures contract in ton March. So, this metal business of foreign trade has completed one to step the trade process of city arbitrage , passes through this trade, this metal business of foreign trade profits totally9510 thousand Yuan(

[(15600-15200)-(1500-1490)*8.3 ] *3000=95( 10

Through above-mentioned case, may discover , step the trade of city arbitrage attribute is a kind of risk is relatively less, profit a kind of also relative relatively limited futures speculative behavior.

2, step

Across issue arbitrage, denote to at the same time buy in same market( same exchange) to enter , sell same kind merchandise difference completes a business transaction for month futures contract profit for rushing to level storehouse. If is buying in3Month is sold8Month issue copper3Issue copper8Month issue copper contract profits.

Step issue arbitrage trade expect contract around same kind difference completes a business transaction for month price difference take place. Difference completes a business transaction for month futures price existence certain relation, and influencing this kind of price what relation is biggest is that hold storehouse cost.

Each kind of futures contract that appears on the market in exchange has two above complete a business transaction for month, is in which away from on-hand stock month somewhat comparatively near for recent month contract, another smell the month on-hand stock is called as forward month comparatively to unify. No matter recent month contract still forward month contract, as each completes a business transaction , the close to discrepancy of spot price of month can decrease gradually , till is consistent, but recent month contract price unifies with forward month price does not have consistent problem between each other. Speculator may unify according to far and near issue month the discrepancy between price, the market conditions of specific combination and the analysis for the tendency that market develops are foreseen , judgment difference completes a business transaction for month the relation between the price of contract whether is normal. If being not normal , no matter price difference is too big and still little , speculator may watch for an opportunity to adopt action , step issue arbitrage, when price relation returns to normal with time, as rushing to know , gets speculative profit.

It is common

(1) buy on-handFor low cost or have no to throw to fund surface( say own reserves and company for example to raise money , do not expire the money turnover and partial investment company's money etc. of letter of credit), copper market can often offer a forward liter water, is from bad opportunity , this opportunity throws than fund to the repayment of other direction is high and safe.

(2) throw on-handFor land, the storehouse on hand that had been held is single, when the liter water on-hand stock appears , throws enforcement in time, and when is forward to mend to return, not only may Kuang show , reduce storehouse to store up the costs such as cost , and it is more low that making on hand hold storehouse cost.

(3) buy recent futures andUse the property of market price bad fluctuation, so as receive to deliver pure dependence surplus time or the preparation of firm offer , under the condition of favorable price bad change reverse flat storehouse gets profit.

(4) protectNeedle knot has had the stock of raw material or will sign goods contract( as copper concentrate) or copper consumer business warehouse for finished product stores ( as copper rod and cable etc.) , passes through the forward way thrown in order to lock the way of profit or selling price, otherwise, may buy to enter.

(5) moveFor already some speculation or protect value

Step the

2003Year8In beginning of1200It/Ton, the hard wheat9Month contract1500It/Ton controls. Certain grain enterprise9Month1502It/The price100Hand.10After day,1000Ton wheat is registered100Zhang Cang1329It/Ton. Eventually after1502-1329)*100Hand*10Ton=173 thousandIt

This is the instance of expecting current arbitrage of a wheat contract , belongs to to buy on-hand stock , throws the example of forward arbitrage. In this instance, this grain enterprise is purchasing the wheat on-hand stock , when option market throws hard wheat contract, have already determined the space of its profit. When expecting current arbitrage, for the accounting of cost, it is pretty important , in which includes fund cost, trade cost and storehouse to store up cost and traffic expense , these costs may take issue to show the great a part of profit in arbitrage.

3, step

Across merchandise arbitrage, denote to use two differences , but the correlative futures contract price discrepancy between merchandise carries out arbitrage trade, buy into certain one to complete a business transaction the futures contract of month some merchandise, at the same time sell another identical complete a business transaction for month , correlative merchandise futures contract, in order to in favorable opportunity at the same time will this two contracts profits for rushing to level storehouse.

When steping merchandise arbitrage, should notice that related futures merchandise has mutual replacingness or by the influence with a factor of supply and demand , for instance: Wheat and corn may use to make food processing and forage; Bean and beans Po is the product of lower reaches, mutual relation degree is higher; Copper and aluminium also have certain relation mutually as more important two industrial raw materials; In general terms, the price change direction of these merchandises is consistent, but their fluctuation range is not identical , a kind of rising speed of merchandise contract or is declining speed meeting comes than another merchandise contract quickly. In a word, decide that this kind of arbitrage campaign is successful and Fou depend on the price bad change degree of this two merchandise contracts.

Step the

Wheat and corn price bad change6,7In month, wheat price is relatively lower,9,10,11In month corn gains season, corn price is relatively/The normal price bad relation between

< chsdate w:st=on isrocdate=False islunardate=False day=30 month=7 year=2008>7Month30Day< chsdate/>CBOT11Price is350Cent/Pu Shi Er, same11Price is260Cent/Pu Shi Er, the90Cent/Pu Shi Er. Arbitrage person thinks according1Open11The wheat futures1Open11The corn futures< chsdate w:st=on isrocdate=False islunardate=False day=15 month=8 year=2008>8Month15Day< chsdate/>The price bad130Cent/Pu Shi Er and this arbitrage

Market

Time

Wheat

Corn

Price

< chsdate w:st=on isrocdate=False islunardate=False day=30 month=7 year=2008>7Month30Day< chsdate/>

Buy1Hand11The wheat futures350Cent/Pu Shi

Sell1Hand11Month corn futures260Cent/Pu Shi

Price90Cent/Pu Shi

< chsdate w:st=on isrocdate=False islunardate=False day=15 month=8 year=2008>8Month15Day< chsdate/>

Sell1Hand11Month wheat futures335Cent/Pu Shi

Buy1Hand11Month corn futures205Cent/Pu Shi

Price130Cent/Pu Shi

Result

Loss15Cent/Pu Shi

Get55Cent/Pu Shi

Difference40Cent

Get40Cent/It is been0.4*5000=2000U.S. dollar(

4th Zhang arbitrage

Though the risk of arbitrage trade is less than unidirectional speculation, is still the trade campaign that has certain risk. So, trade person should also have which risk for arbitrage trade when deciding to carry out arbitrage trade , is regular as comply with as well as in arbitrage trade, the basic method of grasp carries out thorough study and understanding.

1, correct knowledge

The risk of arbitrage trade is less, this is relative to unidirectional speculation. The meaning of risk denotes trade, a investment or the existence of uncertainty, may get profit also possible loss, it is venture capital investment or risk trade. The risk of arbitrage trade is less, denote once occur loss no unidirectional speculation is big, but once profiting , it is so big to will not also have unidirectional speculation. So, from risk remuneration than seeing , there is no what difference in two. Abroad, have exchange to trade for arbitrage to take more low earnest money , make arbitrage trade person magnify money , have played the part of the role of raising fund utilization ratio on the one hand, on the other hand, the risk scale of arbitrage trade had been also magnified therefore, some degree last and unidirectional trade is also similar. For example, the earnest money in certain quantity takes off , can only do1Open unidirectional4For arbitrage sheet, if quotations tendency disadvantage unidirectional speculator, price difference also disadvantage arbitrage person, even if price difference has only unidirectional speculative unfavourable condition1/4, the loss of two is still the same,

Obviously, can not think simplely that arbitrage trade risk is little and enlarges trade quantity blindly, because along with the enlargement of trade quantity, risk has also enlarged correspondingly.

2, arbitrage whether

Unidirectional speculative trade whether profit depend on quotations change whether and hold storehouse direction is consistent, that is said, build the judgment in storehouse originally with speculator whether correctness relevant. Is same, arbitrage person whether can profit also depend on originally judgment whether correctness, because it may be little if price difference may be big , big may be larger , little may be less. After judging correctly, the difference of market price will change , change little still, and do not be so easy in imagination, because there are a lot of factors that influence the difference of price , the judgment of some factors is also hard.

3, do not regard

Some unidirectional speculators like to carry out opposite operation on other contracts to reach the purpose of " lock loss " after occuring greater loss. Nominal trade seemingly with arbitrage is similar, but two do not be matters actually.

What unidirectional speculator is rich is the change of price absolute value, what arbitrage person is rich is relative price change. Unidirectional speculator carries out arbitrage again after occuring greater loss, very probably, price difference has also changed to be improper for arbitrage to change to be arbitrage right now, is hard to not only turn loss , may again arise loss on arbitrage trade very much. Even if having got to profit , because of price difference, change is relatively less, also can not the loss of near unidirectional speculation.

Speculation and arbitrage are completely different two operation methods , have great discrepancy on analysis method, risk control and discrepancy city strategy. On option market having somewhat is engaged in the investor of arbitrage trade specially, they look closely at the change on market constantly with sharp sight , have accumulated a lot of experiences and methods because of being engaged in arbitrage trade for a long time. Do not have this kind of experience and method, blindly change unidirectional loss money into arbitrage money, is nearly impossible to get expected effect , is a kind of means of consoling self actually however.

4, correct knowledge

Know arbitrage trade risk correctly it will be helpful to increase the rational composition in actual trade process with the correlation of profit. Trade person can not operate arbitrage trade with speculation, is the same to treat. Arbitrage trade is to not spread normally using the price difference of temporary current market a kind of return profit that gets , that is said when price bad horizontal recovery to must be away from site resolutely when it is normal, in arbitrage trade, investor can only earn reasonable, limited profit , can not arise profit because of arbitrage money and will hold storehouse blindly to keep to go down. Arbitrage trade can only earn market to surpass normal level any price bad profit.

5, do not do arbitrage

Arbitrage person usually cares about the price bad level between contract only, have no many Daxings for trade kind Qu, because arbitrage person earns profit merely through the price bad change between contract , and does not mind for being trade what kind specifically , but knows so and grasp influencing factor and the general situation of these kinds still is must, because only so then can understand judgment price as well as the reason of price bad change better bad rear city changes. If be very strange for a market, it is not clear to even do basic rule, it is very unfavourable to surely differ from for correct understanding and judgment price, go on blindly cause loss very probably. If for this one market is very strange, is far away from this market still had better to.

Some arbitrage type needs arbitrage person self has certain condition. For example, expect that now, arbitrage needs arbitrage person to have the management ability on-hand stock; In steping city arbitrage, if be concerned with two countries, need to have foreign exchange and safety enter city channel. Do not have these conditions, even if seeing that there is very good arbitrage opportunity, can not also go on.

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