文档介绍：国际期货市场运作7HedgingwithSpreads
汇报人:
SPREADS AND STRADDLES (套利和对冲)
A spread is simply the simultaneous buying of one c
国际期货市场运作7HedgingwithSpreads
汇报人:
SPREADS AND STRADDLES (套利和对冲)
A spread is simply the simultaneous buying of one contract and selling of another.
The price difference between two related markets or commodities.
The purchase of one futures delivery month against the sale of another futures delivery month of the same commodity;
A spread can also apply to options. It involves buying one futures contract and selling another futures contract.
The purpose is to profit from an unexpected change in the relationship between the purchase price of one and the selling price of the other.
SPREADS AND STRADDLES 套利和对冲
Because gains and losses occur only as the result of a change in the price difference – rather than as a result of a change in the overall level of futures prices - spreads are often considered more conservative and less risky than having an outright long or short futures position .
SPREADS AND STRADDLES 套利和对冲
1. Intra-commodity Spread
There are two types of spreads
2. Intercommodity Spread
TRADING SPREADS
Profits in spread trading are made in one of three ways
1. Spreads are often very reliable from the
standpoint of seasonality.
2. Spread margins are generally very low or even zero.
3. Some (but not all) spreads are lower in risk than
either long or short positions.
4. There are a number of good timing indicators for
entering and exiting spreads.
Why Trade Spreads?
Many intracommodity spreads have extremely low margins.
In other words, there is no specific margin on these spreads.
Margin Requirements on Spreads
A common but not necessarily wise procedure for spread entry and exit is the legging in and legging out procedure.