Rubber plastic arbitrage has a doorway

Wang Dinghong futures from August 1, 2007 to May 15, 2009, Shanghai Rubber and Dalian plastic price correlation coefficient of 0.9552, or even more than the correlation of homogeneous futures varieties, which constitute the arbitrage base of both because the value of the rubber contract is much larger than the plastic contract　　And the volatility of rubber is greater than that of plastic, therefore, in carrying out rubber and plastic arbitrage can not be carried out according to the simplest proportion of 1:1, but to appropriately increase the proportion of plastic to avoid the entire arbitrage portfolio on the rubber head of the excessive reliance on earnings, increase the stability of arbitrage and reduce the overall arbitrage portfolio of systemic risk. The contract ratio of rubber and plastic arbitrage can be 1:1.2 and 1:3, or even larger.　　By the author, Rubber and 1.2 times times the plastic price change interval between 1.89 to 1.12, while the change in the range of the difference between 10253 to 157 yuan, the change in the range of the difference in the 10,000 point, which provides a very broad profit-making space between the arbitrage transactions. When the contract ratio between rubber and plastics is enlarged from 1:1.2 to 1:1.5, rubber prices to 1.5 times times the range of plastic to 1.52 to 0.78, and the difference between 6007 to 5425 yuan in the range of changes, the difference from the original majority of the time positive distribution to the positive distribution time slightly more. This shows that this combination is relatively close to the value of the two, but still the rubber accounted for a little larger, more conducive to the establishment of a stable arbitrage relationship.　　Therefore, from the point of view of the matching of value, the arbitrage ratio of 1:1.5 is beneficial to the balance between the two. However, the rate of return of different arbitrage ratios at the same time shows that within 10 trading days for the period of time, in rubber and plastic press 1:1, 1:1.2, 1:1. Of the 5 and 1:1.8 arbitrage combinations, the 1:1 arbitrage portfolio yields the most fluctuations, most of the time distributions at the most lateral (highest or lowest) position, the fastest change and the least stable. This combination, which is closest to the transaction result of a particular breed, is relatively limited by the risk of arbitrage.　　In these four arbitrage structures, the yield curve is arranged in the order of 1:1, 1:1.2, 1:1.5, and 1:1.8, and it shows that the leading effect of the rubber on arbitrage yield is gradually reduced. It is worth noting that, after July 2008, the yield curve has most of the time in the order of 1:1.8, 1:1.51:1.2 and 1:1 from the lateral to the lateral side of the change, reflecting the increasing proportion of plastic in the arbitrage portfolio, the contribution of plastics to the yield of the upper hand.　　Other times are 1:1 and 1:1.8 of the arbitrage portfolio yield curve in turn on the outside, visible, 1:1 and 1:1.8 Arbitrage portfolio yield is high, but stability and balance is poor. Of course, the market is changing rapidly, so in a period of time to choose the larger rubber (1:1) ratio, and in another period of time to choose moreLarge plastic ratio (1:1.8) to enhance the arbitrage effect is not. In the course of the sharp rise and fall of the price curve, "buy plastic and sell plastic" election 1:1 of the arbitrage combination is better, while the price curve slow up and steep fall process, "buy plastic sell plastic" Choose 1:1.8 Arbitrage Portfolio better. "Sell plastic buy plastic" arbitrage option is just the opposite of the above choice.