Part A: Review ( 08/04/2019 to 12/04/2019 ):

From 08/04/2019 to 12/04/2019:the closing price of the main contract of crude oil futures of INE on Friday was 475.2 yuan/barrel, 6.20 yuan higher than the closing price of the last trading day of last week. The highest price for this week is 482.8 yuan/barrel, and the lowest point is 472.4 yuan/barrel.

This week, average daily price of the main contract is 477.71 yuan/barrel, and last week average daily price of the main contract is 466.91 yuan/barrel, increased 2.31%.

This week, the total volume of the main contract was 1126300 lots, an increase of 16546 lots from last week. After the close of trading this Friday, the open interest of the main contract was 32954 lots, a decrease of -6266 lots from the last trading day of last week.

This month, Shanghai crude oil futures’ cumulative trading volumes is 3.71 million lots, and the cumulative trading volumes of last month is 5.90 million lots, which decreased-37.06%. Open interest decreased-29.85% from 239070 lots to 167700 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.

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.

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