The Research On Interdelivery Spread Program And Risk Control Of SHFE Copper Future

With the development of the futures market in China, arbitrage becomes more and more familiar to investors and has been put into practice. Arbitrage attracts favors from more and more investors with its relatively less risks and favorable profits. In this paper, the author adopts copper future market in Shanghai as the object and studies spread trading, in which the profits are gained through the price dispersion. The paper is an applied study with the purpose of finding out a relatively reliable, simple and practical program for interdelivery spread. Firstly it introduces the current development and futures market and status of arbitrage, then summarizes some essential theories in the part of Literature Review, mainly about the definition, features and functions of arbitrage and pricing theories about on future contract. Then, it analyzes the strategies about arbitrage on the current market and the strategies can be summarized into three categories: one is the business strategies based on bull spread and bear spread which are based on basic knowledge; second is the operation in according "Non-Arbitrage Equilibriums", in fact, it is to grab the non-risk profits. This kind of strategies is based on Cost-of-Carry Theory. If the price of the distant month contract is higher than the nearby future contract and the price dispersion exceeds the cost-of-carry, there are chances for arbitrage; and the last is called common spread model, in which the price fluctuation scope in a certain period in according to the historical data. As price varies in a certain period and when the spread reaches the high limit or lower limit, it is the change to get in the market. And in another situation the spread fluctuates along with a trend and the author classify this kind of arbitrage strategies in one category and analyzes as tendency-type bull spread.Later, the paper figures out own program on spread trading. It is pointed out through analysis that no matter on what kind of market, if the distant contract reaches a certain high point relative to the nearby contract and it cannot go any future, the direction will change. In order to provide a relatively accurate time for going into the market, the market is divided into three status, namely,â‘ Normal market,â‘¡Inverted market andâ‘¢a transpositional market between the two. Then, the author introduces the time for get-in and get-out. Finally, the author analyzes the risks faced by the spread trading and provides the measures to avoid and control risks.