(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%;
...
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.
---------------------------...
(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...
Fang Xinghai, vice chairman of the China Securities Regulatory Commission, stated at the "2020 Qingdao China Fortune Forum" recently that the China Securities Regulatory Commission will work with rele...
Crude oil
According to the weather forecast, Laura is different from Harvey before. Although it is expected to be a Level 3 hurricane at the time of landing, the sustained rainfall it brings is ...
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...
(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
At present, the impact of Hurricane Mark’s drastically weakened wind is limited, but Laura is expected to make landfall at the junction of Louisiana and Texas and be upgraded to a Leve...
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.
---------------------------...
Fang Xinghai, the vice chairman of CSRC, stated at the “2020 Qingdao, China Fortune Forum” recently. Since this year, under the impact of the pandemic, there is profound changes for global politics an...