8.21 Black futures arbitrage tracking: positive regression of spiral price difference

Price difference: today's hot coil stronger than thread pattern continues. The intraday spiral price spread continued to return positively, shrinking to-55 from-72 the previous day. We counted the price difference of snails since January 1, 2015 (see chart).

Therefore, we think that the center of gravity has moved down and the frequency of extreme value has increased significantly since 17 years, but the idea of overall mean regression remains unchanged. It is suggested that the opening of the position in the early stage and the holding of the original position should be properly modified.

(in order to prevent the error effect caused by the difference in the main month change time of the RB\ HC contract, the default coil price difference here is to align the contract with the first month change.)

Summary of thread futures disk:

Volume and price: today, the black system as a whole ushered in a pullback. On the whole, the range of callback at the raw material end is larger than that of the finished material. The volume is stronger than the snail market continues. It is worth noting that according to the position data of the top 20 futures companies announced in the last period, today's 1901 contracts increased their positions by about 30 000, short positions by about 10 000, and long and short positions by more than 60 000.

Point of view: although the main snail contract today a small pullback, mostly for the early rapid pull-up after the technical correction, high adjustment or will continue, but in the peak season expected blessing, the overall long pattern does not change. In terms of arbitrage, the price spread of snails, which has returned sharply in recent days, is still the most recent bright spot. As shown in the figure above, since the supply-side reform, the shape of the coil price difference curve has changed, but on the whole, the long-term negative value is difficult to become normal. It is expected that the positive regression trend of coil price difference will continue.

Strategy: tomorrow RB1901 contract range (42974413), within days can be careful to try, multiple stop loss 4268, air single stop loss 4442. It is suggested that we should hold unilateral multiple single profit orders in the early stage to prevent the risk of pullback, HC1901 contract range (4222, 4379), I1901 contract range (484511). The closing price spread of RB1901/1905 as of today is 247, which is higher than the 92 per cent data in the sample. In view of the 1905 contract liquidity problem, it is recommended that we continue to wait and see for now and wait for the anti-set opportunity.

Arbitrage tracking:

Disk profit: steel mill plate profit is 1429, the last trading day is 1425, the rise continues, the increase narrowed. Operation to maintain the previous train of thought, it is recommended that the previous period to hold long futures disk profit position stop profit out, in order to prevent the risk of pullback.

Coking panel profit was 1.99, 2.0 on the last trading day. Today, coke ushered in a larger pullback, coking coal end, with environmental protection, coking coal supply shrinkage, coupled with the early decline, there may be room for compensation in the short term. Operation, it is recommended that the callback to do more ideas remain the same. At present, it is recommended to wait and see.

The raw material ratio of finished products is 8.77, compared with 8.68 on the last trading day. With today's ore pullback, the spiral ore ratio continues to move higher. Overall, iron ore this round of the market is mostly to follow the industrial chain behavior, it is difficult to get out of the separate market. Expected to rise in the center of gravity, shock to follow the industrial chain. In operation, it is not recommended to catch up at present. In the early stage, it is recommended to take a long position to stop the profit.