Crude oil
Although official production data has not yet been released, preliminary data show that OPEC’s production in August increased slightly by 500,000 barrels per day from the previous mont...
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...
As a standardized on-exchange interest rate derivative product, Treasury bond futures have high market transparency and low transaction costs. Its efficient risk management function has been fully pra...
Crude oil
After the hurricane, the market assessed the capacity loss of the relevant refineries. At present, except for the two refineries near Lake Charles (Citigo and Phillip 66) that cannot r...
Announcement on reminding Harvest CSI 300 ETF option contract to be adjusted soon
On August 29, 2020, Harvest Fund Management Co., Ltd. issued the "Announcement on the First Income Distrib...
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.
Graph 1: Future (Current ...
(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 4.68% to 4.97%;
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Crude oil
The impact of Hurricane Laura on the market last week was basically in line with our previous expectations. Although the intensity of the hurricane was close to level 5 when it landed,...
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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