尊敬的投資者：
您好！
基於當前 COVID-19 疫情增加了市場對原油未來需求預期的不確定性，以及OPEC+ 在接下來可能采取的任何應變措施，我們可以查看到期貨與現貨合約的價差遠高於常規水平。
上述情況將使現貨原油合約的買/賣單調期庫存費率在趨近下壹個月合約的展期日時日漸高漲。
什麽是現貨合約？
現貨差價合約是期貨合約的交易衍生品。舉例來說，投資者在產品列表內所查看到的現貨原油合約USOUSD就是期貨原油交易所衍生出的產品。與期貨合約不同，現貨合約與期貨合約交易並不存在合約到期日，因此現貨合約不存在展期，但持倉過夜會被收取買/賣單調期庫存費。
什麽是調期庫存費，如何計算？
投資者進行外匯及貴金屬等相關交易時需負擔壹定的持有成本，在現貨差價合約交易中是以庫存費的方式體現，當客戶在交易日結束時持有相應的合約，其持有成本便會反映在隔夜利息上，客戶可在交易歷史中的「Swap」欄位進行查看。隔夜利息費用的計算方式如下：
調期庫存費率＊交易量＊合約規模＊持倉過夜天數＊最小波動點位
調期庫存費率包含什麽？
現貨合約的調期庫存費率包含下倆個主要組成元素：
1. 透過保證金交易持倉時的融資費用所需的借貸利息。
2. 根據證券市場中的公平交易價格對合約的價格標準所進行之調整。
為什麽 CL-OIL（期貨原油合約）與 USOUSD（現貨原油合約）會存在價差？
由於COVID-19疫情導致全情經濟增長趨緩，市場將對未來國際原油需求面的不確定性反映在價格上。因此我們可以看到 CL-OIL 期貨合約的價格遠高於 USOUSD 現貨合約價格。這也使得現貨原油合約的調期庫存費率相較於過去幾周高出許多。
導致現貨與期貨合約之間產生顯著價差的主要原因如下：
1. 5月和6月的WTI 原油期貨合約存在將近6.30 美元的價差，當CL-OIL期貨合約在4月17日從5月的合約展期至6月合約時，我們可以看到價格也出現了相同幅度的跳空。
2. USOUSD 現貨合約與WTI期貨合約的定價標準不同，為了最大程度的減少不同合約間巨大價差所帶來的可能影響，USOUSD的價格會在接下來的28天內持續調整並平衡此價差。
為什麽當前 USOUSD 的調期庫存費用如此高昂？
5月和6月之間的期貨原油合約價差約為6.30美元，可換算為每標準手6300美元。此外， USOUSD當前是按6月期貨合約計價。
當USOUSD和CL-OIL的價格在接近2020年5月15日的六月合約交割日時，兩者的價差將持續收攏。為了實際體現此目標，我們預期USOUSD每壹標準手的價格將在每日上漲22.5c 或 225 美元，此外還包含有任何由市場因素所造成的價格變動。這22.5c或225美元已經包含在USOUSD的調期庫存費率調整中。加上前述的借貸利息，我們預期USOUSD高於以往的調期庫存費率會在將來維持壹段時間。
VT Markets 強烈建議您，於此劇烈動蕩時期，務必確保賬戶內資金充足，並謹慎評估任何可能產生的交易風險；
如果您不希望因市場劇烈波動而被收取過高的隔夜倉息，請於每日交易時間截止前平倉，避免產生前所未有的高額倉息費用。
註意：以上數據僅供參考，實際執行數據有可能會有變動，具體請依據MT4軟件為準。
如您有任何疑問，我們的團隊將十分樂意為您解答。請留言或發郵件至 [email protected] 或聯系在線客服。
Dear Client,
Due to the current uncertainty about future demand resulting from COVID-19 as well as supply due to potential future intervention by OPEC+ (and potential resolution of their current conflict) we are seeing back month contracts trade at much higher spreads than normal in the market.
As a result, the overnight swap fees in cash products have become much higher particularly as they approached the rollover date of the front month expiring contract.
What is a cash product?
A cash product is an over-the-counter derivative product of the futures contract. USOUSD is such an example, which is a derivative of Oil futures product. Unlike Futures products, the Cash products trade continuously with no expiration date.
What is a swap fee and how is it calculated for the cash products?
When clients hold a cash product past end of the trading day, similar to currencies and metals, the product attracts swap fees. This is shown under the ‘Swap’ column on your trading account statement. The swap fee can be calculated as below:
Swap rate x Volume x Contract Size x Number of Nightsx Digits
What does the swap fee consist of?
The swap fees for the cash products consist of the following two important components:
• Overnight financing charges covering the borrowed money required to open your position, outside the initial margin you’ve paid, and
• A fair value price adjustment, an adjustment made to the product’s pricing based on the fair market value of the underlying security.
Why do the CL-OIL (futures contract) and USOUSD (Cash product) have such a large price difference currently?
Due to the uncertainty about future demand for oil because of the slowdown of growth across the world resulting from COVID-19, we are seeing CL OIL future contracts trade at higher prices than the USOUSD cash price than ever before.
As a result, the overnight swap fees in cash products have become much higher as compared to past weeks.
What are the main factors for the significant difference in prices across the two products?
The main factors contributing to the vast differences are as below:
• Between May and June WTI oil futures contracts, there is currently a price difference of approximately $6.30. When CL-OIL futures rolled over from May to June contracts on 17th of April, the price gapped up by the same magnitude.
• USOUSD or the cash WTI oil product is priced differently. In order to minimize price disruption and remove the impact of large price differences between the contract months, the USOUSD’s price ‘spreads out’ the price difference over the course of the next 28 days, until the next futures contract expiration.
Why is the current swap charge on USOUSD so high?
This is largely due to the fair value product adjustment applied to curb the large price gap in futures contracts.
As the price gap between May and June contracts is approximately $6.30. That translates to $6300 per standard lot. USOUSD is now pricing off the June futures contract.
The price of USOUSD and CL-OIL will converge when it approaches June contract expiration on 15/05/2020. To achieve this, we expect USOUSD’s price to increase by approximately 22.5c or US $225 per contract per day, in addition to any market related price movements.
This 22.5c or US $225 is incorporated in USOUSD’s swap charges. Together with overnight financing charges, we expect USOUSD’swap fees to be substantially higher than historical standards for an extended period of time.
We strongly recommend that you monitor positions carefully and maintain a sufficient account surplus throughout the lifetime of your positions in the account. If you do not wish for your position(s) to incur higher swap rates, you should close your position prior to the daily rollover to avoid any unprecedented charge in the account.
Please consider the implications carefully and trade cautiously during this volatile period.
If you have any questions, our team will be happy to answer your questions.Please leave a message; mail to [email protected].
祝交易愉快！
VT MARKETS
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