(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...
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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When will the T+0 system for A shares be launched? What is the impact of the "return" of Chinese concept stocks? Xiao Gang: The risk of piloting T+0 on Blue chips is controllable! The capital market w...
(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 4.52% to 4.99%;
The optimal rolling contrac...
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
The US seizure of four Iranian oil tankers over the weekend became the headline of the market’s attention. However, Iran later claimed that neither the tanker itself nor the cargo on b...
(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...
Sheng Songcheng, a professor at China Europe International Business School, former director of the Central Bank’s Investigation and Statistics Department, and executive vice president of the CEIBS Jia...
In accordance with the Regulations on the Administration of Futures Trading, the Measures on the Administration of Futures Exchange and other relevant laws and regulations, the Shanghai International ...
Our Ref: No. 340 [2020] DCE
August 14, 2020
Dalian Commodity Exchange
To member entities:
In accordance with the Detailed Rules of Iron Ore Futures of Dalian C...
Crude Oil
At present, global refinery profits are still weak. At present, existing refineries have begun to reduce operating rates due to profit and market factors. For example, Indian state oil...