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聚烯烃套利实战:供需和资金如何影响基差升贴水?

文字|范羽,这篇文章取自扑克财经App在线课程部分[化学训练营] [聚烯烃套利作战技术]第3部分(共20部)。

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基金在进入交割月之前就无所畏惧。谁拥有更多钱,谁压制谁。

[聚烯烃套利技术]第3节

[聚烯烃套利技术]第3节:

接下来,供需和资金的四种状态将影响基差和溢价。

线。去大订单提取,提取200手或超过500手,或1000手,然后看一定点,看多开,投资资金进来更开放,短期退出是空的,这两个比例如果其中有很多,这意味着有钱进来,然后短线撤退,然后多头再次进入,这意味着市场正在拉升。反过来,长期资金撤离是多方面的。卖空空头头寸是空的,所以基本上是空头。套利基本上将在下行运输,出货量将相当于空。

无论您是标准产品还是非标准产品,购买现货空盘都称为正面,从市场赚取的钱是销毁现货增值税并在现场实现净亏损。然后,计数基础削弱以获利。它与正集前面的正基差完全相反。反向设置是出售现货买入表面,看到基差减弱,看涨盘,并从相对较低的点做。所以此时的比例并不像积极的那样严格。正设置可能是为了防止磁盘上拉,然后再增加17%,但反向设置可能认为这可能是暂时的低点。做多的风险远低于卖空风险,可能直接在1: 1干。售出多少吨商品,直接购买多少吨板材。最后,磁盘上升了,磁盘上还有更多的钱。整个测试的结果取决于基础是否薄弱。如果基差不弱,盘面赚钱,现货可能会上涨更多,那么盘面的利润无法弥补卖空现货损失,最终输掉比赛。

举两个例子。当盘位于9000时,当前现货可能是9300,基础是300元,但我认为基数有点高。但是这次我要推广这样的清单必须卖长期现货,我可能会卖出现货可能是9200,交货后一周。在第一种情况下,资金必须进入,或者这是一个底部,盘面上涨,现货可能无法上涨。此时,盘9300,现货9400,从正200(=9200-9000)的基差减弱到100(=9400-9300),减弱100,是100的利润。具体如何有利可图?? 9200减9400,现货损失200; 9300减去9000,磁盘利润为300,如果设置为1:则现货损失为负的200倍0.83,磁盘利润为0.94的300倍,这样的差异。这种情况也符合最理想的状态:现场亏损,赚钱在脸上。

在第二种情况下,当磁盘下降时,假设磁盘表面下降到8900.此时,点可能集中或供应突然增加。现货价格也比期货快,当基差变为负50时,下跌到8850.因为需求可能不会继续,交易者会出来拿货。此时,磁盘可能是一场金钱游戏,而且它一直是横向的。初始基差为正200,变为负50,基差较弱250,因此利润为250.如何获利?现货卖空,9200卖空,8850补货,那么现货盈利350,盘面超过8900持平,9000多开,盘面亏损100,累计盈利250.现货盈利,盘面亏损,我们不做想看到这种情况。反向集通常是来自客户的存款。您受到多个面的保护,但您无法告诉客户他们有磁盘保护。这相当于向他出售绝对价值。如果你想要它,这是他的事。如果他愿意,那么您出售的期货将交给他,存款将根据行业规则支付。这是有道理的。

做还价可以引入价格,现在很多人对价格越来越熟悉了。如果期货反弹没有实力,每天会增加50元到100元。如果它确实下降,它可能在一天内下降250。每个人都应该记住,在这种疲软的市场形势下,下跌总是比上涨更快。每天上升经验的平均值为50,50,50,但一旦下降,他们每天将有200到250点,移动平均值可能是100或150.作为标准,当涉及绝对时低,可能有一些工厂要付出代价。然而,在价格方面,他认为这一点是一个低点,但不一定,盘可能仍会下跌。如果支付给您的保证金不足,您要求对方存款。对于非标准物品,基本上不需要存款。因为出售的非标准产品不是磁盘中其他产品的价格,所以它是您自己在磁盘上的价格。点完成后,出售HDPE或其他,售后相当于价格,没有人在盘上有多个,这与标准不一样。这是一张图片,让我谈谈这意味着什么。

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这是一个标准的点价合约。在这份合约中,套利公司将以8650的开盘价做更多,但有可能签署8650加30的协议,或者说8650加50。根据合同,直到9月中下旬,8650我开了不止一个拿货。在收到我交给我的货物后,我会直接把它带给你。事实上,我不需要任何操作。我会给你货物。你卖给他长期货,他付给你押金,这是理所当然的,但如果你做的超过8650,他会支付你合同金额的15%,当然,它可能会下跌,你收取15 %,?诨豕鞠蚰杖≡?7%的费用。只要它降至8%,这个票务业务已经涉及您自己7%的本金。因此,合同规定下降将达到或超过8650的开盘价的8%。您的需求将在第二天的10:00增加保证金。如果不增加,供应商有权终止合同。

卖高压也是一样。你卖给他9800,刚好高压的价格一路下跌,假设你卖一个非标品一路下跌,你可以低价补货。非标品跌破10%的概率比较小,但是标准品点价时,很有可能就跌穿,因为它是受盘面的波动、受资金的影响比较大。非标品点价的标的物是现货的价格,你卖给他9800,那可能第二天盘面跌停,现货可能只跌到9700,卖非标反而可以不用收保证金。

再来看第二段话。供方单方面有权拒绝需方提出的提前交货申请。为什么提前交货?因为有时你8650做多了,4月份出来的价格,没有必要持有到9月才给我。中间不是刚好有一波行情,从8500到8900那个震荡平台一路往上涨,最高涨到9400,我可以提出来,让你在9400时平仓这样一个多单,之后你在市场上补货给我。我自己拿到的成本是8650,如果按9000多的价格卖掉,利润就兑现了。但这时,套利方是可以拒绝。

如果说这时做这样一个点价,基差要越走弱越好。盘面涨到9400时,现货还是9200,这样我会同意给你补货。前面8600的盘面,8650的现货,基差是正50,到后面基差走强,比如说现货是9500,盘面9450,这时基差走强到100。这时如果平仓,相当于套利公司亏损50。所以这时套利公司是可以拒绝的。如果真的理解基差交易的实质,根本不用去算现货赚多少,期货赚多少,累计赚多少。做反套,基差要走弱获利,走弱多少就是获利多少。

xxxxIn the second case, the disk surface is 9450. At this time, the spot is raised and the basis is changed to 50. How can you agree to cancel the position in advance? It must be rejected. There will be an action when the arbitrage is resolved, and the goods will be received in the market. If it is in the middle and late September, I don't have to replenish you at all, just pick up the goods from the exchange. If you are negotiating a major delivery warehouse in North China, you can't assign me a warehouse or brand. If you want to specify, you can't add 50. You may just want to add 100. For example, add 50, Qingdao, Tianjin, and Linyi to choose their own. If you specify that you want to copy, and as long as Shenhua 7042 or Baofeng 7042, then you may add a little more to 100.

In turn, some people can also point to East China, not North China, I have to specify the delivery warehouse of East China, the basis risk will be relatively large. Because the disk is priced by LLDPE in North China, you have to go to East China. Some people will add 150 to you, and some people think that it is possible to add 100. Finally, the gap between East China and North China will be reduced. In 2017, add 100, if the loss is in accordance with the current pattern. Today, the price of North China can be sold at 8950, no more than 10 yuan. The price that East China can trade today is 9120, and the difference is 170. Point East China goods, mainstream coal chemical grades, plus 100, I think the risk is relatively large. If you want to do it, consider the basis and the basis is also risky.

Let’s talk about short-term non-standard products. The biggest risk of short-term non-standard goods is the basis risk. It is possible that after the short sale, the basis will continue to strengthen, and the disk may be up, but it is necessary to make up the spot, because you are selling the spot first, and then you need to make up the goods. It is possible that while the disk is up, the short-selling spot will rise even more, and it will lose money after making up.

xxI hope that after you finish these lessons, don't think about it, how much money is in stock, how much money is in futures, how much money is earned in stock, and how much money is earned in futures. As long as you reduce the basis, you can know how much you earn and how much you lose. When the positive set time is stronger, how much is stronger, how much money is earned, when the counter-set is weaker, and how much is earned when you weaken. If the counter is set, the basis difference will be a loss; when the set is weak, the basis difference will be weaker, but if the basis is weak, if the standard product can be added, the weaker the better, because the standard is always Will return.

This article is taken from the Poker Finance App online course section [Chemical Training Camp] [polyolefin arbitrage techniques] section 3 (20 sections).

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