In 2002, non-ferrous metal futures prices soared, and copper and aluminum performed strongly. Up till now, the offer price of Renmin copper has reached US$8,790/ton, and Alcoa’s quotation has also reached US$3,191/ton. The risk is prohibitive to investors and unilateral speculative trading. Already not suitable for the current portfolio. At the same time, we also see that in the four years of rising prices, the risk of accumulation of copper is much higher than that of aluminum. Therefore, in the process of exploring market-free risk-free investment opportunities, the aluminum products have passed nearly 10 trading months. Tracking statistics of the contract, kicking out singular points with a base value of 300 or more, we concluded the risk-free arbitrage conclusions of the following aluminum varieties for investors' reference:
one. We can clearly see from the relative values ​​of the basis values ​​of the adjacent months of aluminum futures contracts:
1. At the beginning of the listing, neighboring aluminum futures contracts had relatively small number of trading orders and the price was volatile. The basis difference between the two markets widened during the month and overlapped positively and negatively. This is not suitable for arbitrage investment;
2. By the same token, after entering the delivery month, the neighboring futures contract will be changed to a new contract after 12 months. The number of orders will undoubtedly shrink and the price fluctuation will increase. If the monthly contract price remains stable, the basis difference between the two will have a huge shock, and the risk will increase sharply, which is also not suitable for arbitrage investment.
3. Within the two months prior to the delivery month of the contract, we can clearly see that although the basis difference is still changing, the overall fluctuation will remain within a relatively narrow band, despite speculation, there is nothing Risk, but if the base value does not continuously expand or shrink, the corresponding arbitrage investment will have no meaning;
4. This point is the conclusion that we should focus on exposing to investors. That is, in the third to last penny before the contract delivery month, we can see a fairly obvious process of small to large changes in the base difference, and this In the process, the value of the adjacent far-month contract-in-month contract is always positive, which constitutes a perfect risk-free arbitrage opportunity. Buying far away from the direction of buying and selling will stabilize the gains from the change in the basis difference, and the time control will be appropriate for the first 100-50 days before the delivery of the near-month contract into delivery. Other times may not be suitable for arbitrage operations.
two. We can draw the following conclusions from the chart of the difference between the adjacent months of the aluminum futures contract:
1. The base value of adjacent months is generally maintained within -100 to +100 at the beginning of listing, and in most cases it is positive. As time goes by, there will be a gradual change about 100 days before it enters the delivery date. The process of moving closer to 0, but because of its relatively violent fluctuations, it is also difficult to control over time. This period is not the time for risk-free arbitrage that we must focus on;
2. After the delivery of the contract in recent months, with the listing of the new contract, the basis will generally have a rapid return from the vicinity of 200 to zero. However, this process will not be described in terms of time, because the new contract is listed. At the beginning, there was basically no transaction. Arbitrage orders were difficult to deal with, and the risk was high. This period was also not suitable for investment.
3. In the two months before the previous month's contract entered the countdown before delivery, the base balance of the adjacent month remained basically stable within 100-200, showing a V-shaped pattern. However, due to the excessive frequency fluctuation during this period, the amplitude was also Not too big, we still do not regard it as a major investment opportunity in the process of arbitrage investment;
4. We later observed the changes in the previous month's contract from the 100th to the 50th before the delivery of the previous month's contract. On the whole, the basis shift during this period of time is quite regular. Most of the time, the amplitude is shifted from 0 to around 200. During this period, the fluctuation is very small and it is quite stable. There is no doubt that this period will be far. Nearly 200 basis points of gains will be obtained stably.