: 1. The delivery grades of the natural rubber contract of Shanghai Futures Exchange are domestic first-class standard rubber SCR5 and imported tobacco flake rubber RSS3, among which the domestic first-class standard rubber SCR5, also commonly known as No.5 standard rubber, all comply with the quality index of natural rubber GB/T 808 1 ~ 1999 issued and implemented by the State Bureau of Technical Supervision. Imported cigarette rubber RSS3 implements the "International Standard for Grade Quality and Packaging of Natural Rubber" (Green Paper) determined by the International Rubber Quality and Packaging Conference.
2. The so-called intertemporal arbitrage refers to an investment method of arbitrage by using the price difference between two different futures contracts of the same commodity. It makes a profit by buying the futures contract of a commodity in one delivery month and selling the futures contract of the same commodity in another delivery month, and then carrying out physical delivery or hedging liquidation on these two contracts at a favorable opportunity. Therefore, intertemporal arbitrage mainly uses the price difference between two contracts to make profits. When the price difference deviates from a reasonable range, these two contracts can be operated accordingly to make profits.
3. Natural rubber futures has become one of the most active futures products in the futures market, and its price fluctuates very violently. When there is a sharp rise and fall, contracts with different delivery periods will also rise and fall to varying degrees, and the price difference will change greatly. Therefore, once there is a deviation from the reasonable range, arbitrage operation can be carried out, and after returning to the reasonable range in the later period, the position can be closed for profit.
4. Feasibility analysis of intertemporal arbitrage of natural rubber futures The core of intertemporal arbitrage is to find a reasonable spread range. Select the closing price of the Hujiao market on July 2, 20 10. The two contracts used here are101and11. On the calculation method of reasonable spread, there are mainly two methods: the first method is to calculate the buy101and sell110/contract from the delivery procedure of the exchange, and simulate arbitrage with actual delivery, from which the cost involved in the whole arbitrage process can be calculated. Another method is to start with the historical price difference, make statistical analysis of the historical price difference between the two contracts, and take its average value as the middle value of the reasonable price difference interval. Both of these methods involve the calculation and determination of the spread interval, which plays an important role in the profitability and breakthrough point of the whole arbitrage process.