The market has paid extensive attention to the arbitrage opportunities between overseas crude oil futures like WTI crude oil futures, Brent crude oil futures, Dubai Exchange Oman crude oil futures (code: OQD), and Shanghai crude oil futures.

From the perspective of the subject matter of the futures contracts, WTI and Brent crude oil futures are marked by light and low-sulfur crude oil, and Middle East crude oil futures are mostly marked by medium-sulfur crude oil, such as Iraq's Basra light oil, Dubai crude oil in the United Arab Emirates, Qatar's offshore oil and so on. The crude oil futures of the Shanghai international energy trading center will be medium-sulfur crude oil.

The quality difference (specific gravity, sulfur content and other indicators) between different oils is relatively large, generally the price of light low sulfur crude oil is higher, the price of heavy high sulfur crude oil is lower. The quality of crude oil produced at different stages of the same oil will also be different. Changes in supply and demand can also lead to changes in price differentials, such as the closure of a special type of crude oil refinery by fire, often resulting in the price of the crude oil relative to other types of oil lower. The price of the same kind of oil will vary in different regions, so there will be a regional price difference for the same kind of oil.

From the perspective of import volume, Oman crude oil imports accounted for nearly 10% of Chinese crude oil imports (9.2% in 2016), which is the first choice for Chinese refineries to import. Oman crude is likely to be best suited to the delivery grade of the Shanghai crude oil futures contract due to liquidity and trade facilitation.

From the view of trading time, Oman crude oil futures contract electronic trading time is: the start time is Sunday North American Central Standard Time / Central Summer Time (CST / CDT) 16:00, Monday to Thursday is CST / CDT 16:45, the end time is the next Monday to Friday CST / CDT 16:00. In Beijing time, the trading time between Sunday and Friday is about 7:00 to 6:15 of the next day. The trading time of Oman crude oil is about 6:00 to 5:15 of the next day, covering the trading time of Shanghai crude oil futures, but there may be some risk exposure at other times.

From the delivery point of view, Shanghai crude oil futures bonded delivery, delivery of oil depots located in Chinese coastal bonded oil depots, so the corresponding spot reference price should be Chinese coastal bonded crude oil spot price. For the delivery seller, the delivery price is the CIF price for the bonded oil depot delivery, and for the delivery buyer, the delivery price is the FOB price for the bonded oil depot delivery.

Taking Oman crude oil in the Middle East as an example, the offshore price of Oman crude oil at the port of departure in the Middle East, together with the related freight and insurance charges to Chinese ports, as well as the relevant port, dock and storage charges in Chinese ports, is equal to the theoretical delivery price of Oman crude oil at Chinesde ports. Therefore, theoretically speaking, Shanghai crude oil futures and Dubai Oman crude oil futures arbitrage is the most feasible. Of course, the general direction of the international crude oils regardless of which kind, are the same. So, if considering the price difference between the oil, then WTI crude oil futures, Brent crude oil futures and Shanghai crude oil futures can also build arbitrage portfolio.

However, cross-market arbitrage needs to consider several risk points:

First, the pricing method is different, Shanghai crude oil futures are denominated in RMB, while Chicago WTI crude oil futures and Dubai Oman crude oil futures are denominated in USD, so there are exchange rate risks.

Second, the last trading day is different from the delivery time. The last trading day of Shanghai crude oil futures is the last trading day of the previous month of the contract month. The last trading day of the WTI crude oil futures in CME is that the current delivery month trading shall stop on the third trading day before the 25th calendar day of the month preceding the delivery month. If the 25th calendar day is not trading day, the transaction shall stop on the third trading day prior to the last trading day before the 25th calendar day and take physical delivery. The delivery period is from the first business day of the delivery month to the last business day; the last trading day of Dubai Oman crude oil futures is the second trading day before the contract month. On the last trading day of the month, physical delivery is adopted. The delivery period is the first business day after the last trading day to complete the delivery application and pairing, then complete the delivery within a month after the final trading day.

随着上海国际能源交易中心原油期货上市步伐临近，市场广泛关注芝商所（CME Group）WTI原油期货、Brent原油期货、迪拜交易所阿曼原油期货（代码：OQD）等境外原油期货和上海原油期货之间的套利机会。

从期货合约的标的来看，WTI和Brent原油期货的标的是轻质低硫原油，中东原油期货的标的大多是中质含硫原油，例如伊拉克的巴士拉轻油、阿联酋的迪拜原油、卡塔尔的卡塔尔海洋油等。而上海国际能源交易中心即将上市的原油期货是中质含硫原油。

不同油种之间的品质差别（比重、含硫量等指标）比较大，一般轻质低硫原油价格较高，重质高硫原油价格较低。同一油种不同阶段开采出来的原油品质也会有差异。而供需情况的变化也会导致价差的变化，比如专用某类原油的炼厂发生火灾关闭，往往会导致该原油相对其他油种价格降低。同一油种在不同地区的价格也会不同，因此同一种油也会有地域价差。

从进口量来看，阿曼原油进口占中国原油进口比重将近10%（2016年为9.2%），是中国炼油企业进口的首选。由于流动性和贸易便利性，阿曼原油可能最符合上海原油期货合约中的交割品级。

从交易时间来看，阿曼原油期货合约的电子交易时间是：开始时间为周日北美中央标准时间/中部夏令时（CST/CDT）1600，周一至周四为CST/CDT 1645，结束时间为次日周一至周五CST/CDT 1600。换成北京时间，芝商所交易时间周日至周五大约为7点至次日6：15，阿曼原油交易时间大约是6点到次日5：15，覆盖了上海原油期货交易时间，但其他时间可能还存在一定的风险敞口。

从交割来看，上海原油期货采用保税交割，交割油库位于中国沿海的保税油库，因此对应的现货参考价格应当是中国沿海保税原油的现货价格。对于交割卖方来说，交割价格为保税油库交货的到岸价格，对于交割买方来说，交割价格为保税油库提货的离岸价格。

以中东阿曼原油为例，阿曼原油在中东起运港的离岸价格加上运往中国港口的相关运费、保险费等，以及运达中国港口的相关港口、码头和入库费用，就等于中国港口阿曼原油的理论交货价格。

因此，从理论上讲，上海原油期货和迪拜阿曼原油期货套利可行性最大。当然，国际原油不管哪种油种，大的方向上是一致的，因此如果考虑油种之间的价差因素，那么WTI原油期货、Brent原油期货和上海原油期货也可以构建套利组合。

不过，跨市场套利需要考虑几个风险点：一是计价方式不一样，上海原油期货以人民币计价，而芝商所WTI原油期货、迪拜阿曼原油期货以美元计价，因此存在汇率方面的风险。

二是最后交易日和交割时间不一样。上海原油期货最后交易日是合约月份前一月最后交易日。芝商所WTI原油期货的最后交易日的规定是：当前交割月交易应在交割月前一个月的第二十五个日历日前的第三个交易日停止。若第二十五个日历日不是交易日，交易应在第二十五个日历日前最后一个交易日之前的第三个交易日停止，采用实物交割，交割期是交割月第一个工作日至最后一个工作日；迪拜阿曼原油期货的最后交易日是合约月份前第二个月的最后一个交易日，采用实物交割，交割期是最后交易日后第一个工作日完成交割申请和配对，最后交易日后一个月内完成交割。

从原油走势来看，2017年下半年继续再平衡。进入夏季，原油市场出现一些积极因素：一是7月21日当周美国原油库存减少720.8万桶至4.834亿桶，预期减少260万桶，去库存略有加快；二是美国夏季开车出游旺季来临，油品需求改善，汽油和原油裂解价差走高，实物原油价差（非基准油和三大基准油的价差）也出现改善；三是美国页岩油产量对油价敏感性上升，一旦原油价格大幅下跌，页岩油产量增长或放缓。而中国国内夏季一般是消费淡季（2017年例外，下游需求超越坚挺），这就为买WTI原油期货、阿曼原油期货和卖上海原油期货提供了季节性机会。