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...
Crude oil
Last weekend, Libya’s LNA leader Haftar announced that the oil blockade would be lifted. Two oil companies, Arabian Gulf Oil Company and Sirte Oil and Gas Company, announced the resump...
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 oil price plunged again yesterday. Generally speaking, it is a resonance of many factors. First of all, the expected resumption of production in Libya is the fuse of oil prices. Wi...
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.
---------------------------...
(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...
Announcement on extending the spot bond trading hours of the interbank bond market to 20 o'clock since September 21
On September 15, the China Central Depository & Clearing, the Sha...
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 5.92% to 7.21%;
The optimal rolling contract is IH20...
Crude oil
The reports of the three major institutions were released in September, and the views of the institutions were the same. Both the upward revision supply growth, the downward revision d...
(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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