(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 5.16% to 6.85%;
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Crude oil
Oil prices fell sharply last week. Our previous bearish market logic basically fulfilled, but from the point of view of the trigger factors, the main reason is that the number of infec...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resul...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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Crude oil
At present, the economy of floating warehouses is still the focus of the market. Judging from the current monthly discount of Brent crude oil, the difference between the first and the ...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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Crude oil
Oil prices continued to retreat. We believe that the logic behind this round of callbacks is: 1. The US dollar has stabilized and rebounded recently, and the most profitable factor tha...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Crude oil
After recent adjustments, oil prices have fallen by nearly 10% in recent months. At present, the core factor that can support oil prices in the short-term lies in the economics of oil ...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...