全文可编辑内容-中国钢材期货套利框架分析报告.pptxVIP

ChinaMetalFuturesArbitrageFramework中国钢材期货套利框架2025/10/31MoreEnglishReportson【CITICFuturesInternationalServicePlatform】

CONTENTFutures-SpotArbitrageCalendarSpreadArbitrageInter-CommodityArbitrage010203期现套利跨期套利跨品种套利RelatedReports相关报告:*ClickonthehyperlinkofreporttitlestoreadRiskManagementApplicationofChinaSteelFutures中国钢材期货风险管理应用hinaSteelsResearchFramework中国钢材产业研究框架hinaIronOreFuturesFramework中国铁矿石期货研究框架hinaIronOreFuturesCross-BorderArbitrageFramework中国铁矿石期货跨境套利框架iskManagementApplicationofChinaIronOreFuturesforIndustrials中国铁矿石期货在企业风险管理中的应用Summary钢材套利分类Cash-and-CarryArbitrage期现正套Future-SpotArbitrage期现套利ReverseCash-and-CarryArbitragePriceSpreadBetweenSpotandFutures期现反套期货与现货的价差LongNear-term,ShortFar-term跨期正套SteelArbitrageCalendarSpreadArbitrage钢材套利跨期套利LongFar-term,ShortNear-termPriceSpreadBetweenDifferentMonthsContractsoftheSameProduct跨期反套同一期货品种的不同月份的合约价差CommodityPriceRatioArbitrage品种比价套利Inter-CommodityArbitrage跨品种套利TheoreticalProfitArbitrageRelativeStrengthofDifferentProductsFuturesAlongtheIndustrialChain盘面利润套利产业链上不同期货品种价格的相对强弱Risks:MacroeconomicRisk,PolicyRisk,OperationalRisk风险提示：宏观经济风险、政策风险、操作风险等Thisreportisnotaserviceunderthefuturestradingconsultingbusiness.Theopinionsandinformationprovidedareforreferenceonlyanddonotconstituteinvestmentadvicetoanyone.CITICFuturesdonotconsiderrelevantpersonnelasclientduetotheattention,receipt,orreadingofthisreport本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。2

01Future-SpotArbitrage期现套利

1.1Introduction基本介绍?Concept:Gainprofits(orincurlosses)throughchangesofbasis(physicalprice–futuresprice).Cash-and-carryarbitrageisprofitablewhenthebasiswidensandreversecash-and-carryarbitrageisprofitablewhenthebasisnarrows.?Risks:Adversefluctuationsinthebasis,issuesrelatedt