I. Calculation of Arbitrage Cost
Arbitrage cost is the focus of investors' attention, which is directly related to the smooth realization of maturity arbitrage. In PTA futures arbitrage, the main expenses come from futures selling and delivery costs and capital costs. For investors with sufficient funds, arbitrage trading is more cost-effective. If the funds are insufficient or come from financing, after the warehouse receipt is registered, the warehouse receipt will be pledged or mortgaged at the exchange or other financial institutions, so that the utilization rate of funds will be greatly improved and the income will also be improved. In addition, the storage cost and occupancy cost are variable costs, and in a complete arbitrage process, logistics and capital flow cycle are closely related.
◆ Transaction and delivery fee: 5 yuan/ton.
◆ Delivery and storage fee: 20 yuan/ton.
◆ Quality inspection fee: 7 yuan/ton.
◆ Storage fee: 0.4 yuan/ton/day.
◆ Occupy capital cost.
Second, two settlement methods of spot arbitrage
When the current spot spread expands beyond the normal range, that is, exceeds the arbitrage cost, you can buy the spot in the spot market and sell the futures contract in the futures market. When it expires, there are two possible operating situations:
1. If the spot spread decreases, the spot will be handled in the spot market, while the futures short order will be closed in the futures market to achieve the profit target.
2. If the spot spread is enlarged, the transaction will be completed through physical delivery to realize arbitrage profit.
Since the listing of PTA futures, the spot price difference has changed as shown below, in which the futures price is 705 contract price and the spot price is the spot transaction price in East China.
As can be seen from the above figure, the maximum spot price difference is around 900 yuan, and the minimum spot price difference is around 100 yuan, and 400-500 yuan has the highest frequency. As long as the operation is proper, stable profits can be obtained. Judging from the price difference changed in the above figure, in addition to realizing the expected profit by completing the delivery, the profit obtained by closing the position by narrowing the price difference will be higher, which can be repeated and the total income will be very considerable.
3. Examples of spot arbitrage
At the end of June, 2006, the domestic spot price was about 8250 yuan/ton, the spot import quotation of three-month letter of credit was 870 dollars/ton, and the price of 702 futures contract was about 8750 yuan/ton. The calculation is as follows:
1. Buy domestic spot delivery.
◆ Fixed fee: 5+20+7 = 32 yuan/ton.
◆ Storage fee: 0.4 yuan/ton× 30 days = 12 yuan/ton.
◆ Capital interest: (8250+8750× 20% )× 5.58 %×112 = 46.5 yuan/ton.
◆ VAT: (8750-8250)/1.17×17% = 73 yuan/ton.
◆ Total cost: 32+12+46.5+73 =163.5 yuan/ton.
◆ Profit: (8750-8250)- 163.5 = 336.5 yuan/ton.
◆ Profit rate: 336.5/(8250+8750× 20%) = 3.38%.
In fact, participating in spot arbitrage does not mean that you must participate in delivery. As long as the spot price difference is reduced to be greater than the delivery profit, you can not participate in the delivery. If the spot is handled through the spot channel and the futures are closed, the expected profit can also be realized, and the possible profit is greater than the delivery profit. This is the case.
On June 22, 2007, the spot price was around 8,000, the contract price of 702 futures was around 8 100, the price difference was only 100 yuan, and the profit was 400 yuan/ton.
◆ Spot loss: 8000-8250 =-250 yuan/ton.
◆ Futures profit: 8750-8 100 = 650 yuan/ton.
◆ Total profit: 650-250 = 400 yuan/ton.
◆1000t spot arbitrage needs maximum capital estimation:
8250×1000+8750×15 %×1000 = 9562500 yuan.
◆ Profit from not participating in delivery: 400×1000 = 400,000 yuan.
◆ Profit rate: 400,000/9562,500×100% = 4.18%.
2. Use imported spot delivery.
The import tariff of PTA is 6.5%, the value-added tax 17%, the opening fee is calculated at 0.3%, the insurance premium is calculated at 0.05%, the import quotation of three-month letter of credit is calculated at 870 USD/ton, and the opening deposit is calculated at 20%. The cost of delivery to the delivery warehouse upon arrival in Hongkong was calculated at 50 yuan/ton, and the RMB exchange rate was calculated at 7.8 1 at that time.
◆ Import cost: 870×1.17×1.065× 7.81×1.003×1.0005+50 = 8545 yuan.
◆ Capital cost: 870× (20%+17%+6.5% )× 7.8/kloc-0 /× 5.58 %× 3/12 = 41.2 yuan/ton.
◆ Delivery cost: 32 yuan +0.4 yuan/ton× 60 days +4 1.2 yuan =97.2 yuan/ton.
◆ Delivery profit: 8750-8545-97.2 = 107.8 yuan/ton.
◆ Delivery profit rate:107.8/870× (20%+17%+6.5% )× 7.81= 3.65%.
4. Precautions for spot arbitrage
For PTA, it is relatively simple to register warehouse receipt delivery with a designated brand. It is worth noting that it is necessary to grasp the specific time of registering warehouse receipts. If you register too early, it will easily lead to an increase in storage costs and capital costs, resulting in a decline in income; If the registration is too late, the registration process may not be completed. More importantly, if the inspection fails, there will be no time to apply for re-inspection, which requires investors to have a clear understanding of the delivery process.