Since the sharp rise in cotton futures in October this year, there has been a phenomenon of near high and far low between various contracts. The maximum price difference between the CF2201 contract and the CF2205 contract has reached 1,674 yuan. Even the price difference between the CF2205 contract and the CF2209 contract is still 900 yuan. above. It is foreseeable that the price difference between the CF2209 contract and the CF2301 contract will also be positive in the future. How long can this futures contract spread structure last, and what are the arbitrage opportunities in the market outlook? Market expectations are the main factor causing the price difference between this round of contracts. Before October this year, the futures price did not exceed 18,000 yuan/ton. The price difference of the existing contracts was arranged in a positive direction, and the prices in the far months were higher than those in the near months. As futures prices continue to rise, the price difference between the CF2201 contract and the far-month contract has turned from negative to positive, and is rising all the way. At the same time, the same is true for the spreads of various ICE cotton contracts. This phenomenon is mainly based on changes in market expectations, that is, when the price rises to a periodic high (high in the past 10 years), the probability of a decline in the market outlook is greater, and Yuanyue will naturally become the target of short selling pressure.
Price is the main factor driving spread changes. When the futures price is higher, the contract spread is larger; conversely, when the futures price is lower, the contract spread is smaller. When cotton prices rose sharply in 2010, the price difference between adjacent contracts was as high as more than 3,000 yuan. Then it gradually narrowed after falling from a high level. By 2012, the contract price difference was in a positive direction. From the perspective of the driving factors of the spread, when futures prices continue to rise, the spread trend tends to expand. For example, the price difference between the CF2201 contract and the CF2205 contract began to rise after December 9, which is closely related to the gradual increase in futures prices. After the futures price fell below 19,000 yuan/ton in April 2014, the price difference between the CF2205 contract and the 2209 contract quickly narrowed from 1,300 yuan to less than 200 yuan. From the perspective of time period, the maximum duration of the backwardation structure is no more than 2 years. This round of backwardation began in October and has only lasted for three months. It may continue in the later period, but it should not be until 2023. The opportunity of the backward price structure is speculated. If the CF2301 contract is listed on the market, the author believes that the difference between it and the CF2209 contract will be less than 800 yuan. If it is greater than the price difference between the CF2205 contract and the 2209 contract, it will be a good arbitrage opportunity. The price difference between CF2205 and CF2209 contracts is currently at the highest level since the same period in 2012. Will it converge or continue to expand in the future? The author believes that we can grasp it from two points: First, from the perspective of price driver, if the CF2205 contract continues to rise in the future, especially when it breaks through 22,000 yuan to form a new round of upward trend, the price difference from May to September will expand, but if it breaks through 1,700 yuan The probability is almost very small, and you can sell May and buy September by then; secondly, from a time perspective, the price difference will generally shrink when entering April, because the CF2205 contract no longer has cost support; if the price difference in April is still not If it shrinks, then the arbitrage strategy of selling 5 and buying September needs to prevent risks. The sharp rise in cotton prices in the short term has caused changes in the price difference between futures contracts, but this backward price structure will be reversed sooner or later. Otherwise, according to this price difference, the price of cotton will fall below 10,000 yuan in three years. Looking for opportunities in changes in price differences, especially when the price changes from negative to positive, arbitrage trading will yield good returns.
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