(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 2.83% to 3.31%;
The optimal rolli...
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.
---------------------------...
Crude Oil
China’s crude oil import data for June released last week reached 13 million barrels per day, a year-on-year increase of 3.3 million barrels per day, setting a historical record. This ...
Crude oil
Judging from the shipment volume of Russian Ural crude oil in early August, it still remained at around 700,000 barrels per day, or even slightly lower than the shipment volume in July...
Crude oil
Yesterday EIA announced weekly data. Crude oil inventories have increased. It is worth noting that the recent balance sheet error item has increased to 1.6 million barrels per day sinc...
Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 0.27...
Crude oil
At present, the crude oil market is still in a deadlock, and the volatility rate has returned to the historical low range. We believe that from a marginal point of view, although...
Crude oil
The results of the OPEC+ meeting yesterday were more similar to our previous estimates. OPEC eased the scale of production cuts, but due to some cheating countries making up for the pr...
Crude oil
OPEC+ is still committed to improving the compliance rate. According to its latest statement, countries that had previously cheated in production cuts must make up from August to Septe...
Crude oil
At present, the focus of the crude oil market is still on the ministerial video conference tomorrow. Judging from various positions, there is basically no sign of extending the current...
Basis & IRR
The basis for T2009 last Thursday was 0.6038 yuan, the IRR was 0.0219%;
The basis for TF2009 last Thursday was 0.2429 yuan, the IRR was 1.1305%;
The basis...
Crude oil
Last week, EIA and IEA released monthly reports, OPEC monthly reports have not yet been released. From the balance sheet, EIA and IEA have both revised up global demand growth and non-...