Part A: Review ( 01/04/2019 to 04/04/2019 ):

From 01/04/2019 to 04/04/2019:the closing price of the main contract of crude oil futures of INE on Thursday was 469 yuan/barrel, 11.10 yuan higher than the closing price of the last trading day of last week. The highest price for this week is 475.5 yuan/barrel, and the lowest point is 455.8 yuan/barrel.

This week, average daily price of the main contract is 466.91 yuan/barrel, and last week average daily price of the main contract is 454.56 yuan/barrel, increased 2.72%.

This week, the total volume of the main contract was 1109754 lots, an decrease of -230288 lots from last week. After the close of trading this Friday, the open interest of the main contract was 39220 lots, a increase of 3142 lots from the last trading day of last week.

This month, Shanghai crude oil futures’ cumulative trading volumes is 3.84 million lots, and the cumulative trading volumes of last month is 4.57 million lots, which decreased-15.94%. Open interest decreased-12.57% from 187052 lots to 163542 lots.

Part B: Transaction Summary

Compared with the intraday high and low volatility of three major crude oil futures, the amplitude of Chinese crude oil futures in most of the time is lower than Brent and WTI, indicating that Chinese crude oil futures did not have excessive fluctuations in the day because of the significant speculative ratio and the short time of the market.

Part C: Correlation analysis

Correlation of three crude oil futures

It can be seen that the SC-Brent spread was kept in a stable range, with almost no risk-free arbitrage opportunities. The spread of the price difference with WTI was huge and the high and low points were more than 100 CNY/barrel, which may due to that WTI crude oil cannot be used as the delivery of INE. Therefore, the link between SC and WTI price is not as close as that between Brent and Brent.

Correlation between crude oil futures and major chemical futures in China

As can be seen from the above table, the correlation between China's crude oil futures and major domestic chemical products has been greatly improved. On the one hand, the substantial increase in correlation will stimulate the continuous influx of arbitrage funds, which will help to enrich and optimize the strategy; On the other hand, it is also a sign that China's crude oil futures market is maturing, which is conducive to the function of price discovery. It also has great significance for enterprises to use futures tools for hedging.

It can be seen that China's crude oil futures and the RMB exchange rate are obviously negatively correlated.

Notes:

The last trading day for contract SC1904.INE is 2019-03-29 and the final delivery date is 2019-04-05.