The Models Of Commodity Futures Interdelivery Spread And Their Empirical Studies

The arbitrage of commodity futures takes advantage of the price relation in different delivery month futures contracts. As Market factors affecting short-term and long-term commodity future prices are not same, or the same factors may affect the market to different extent in the short term and long term, therefore their spread will change. The spread may deviate from the range of the price variation of the two contracts, or it may possibly form trend. In the two cases, there will be good chances for interdelivery spread. interdelivery spread as a kind of arbitrage is very important as to the price discovery, market activity and risk management. Research and development of arbitrage is essential to the development and stability of futures market.The paper starts from the pricing theories of futures, then discusses the features and the distribution of spread between contracts of different delivery month. Finally the paper demonstrates two arbitrage models: model arbitrage and trend arbitrage, and does an empirical study of two models with the trade data of DLCE'soybean and SHFE'copper, and evaluate the results of the empirical study. The conclusion:○1 The futures market is not efficient, whether model arbitrage or trend arbitrage, there are chances for arbitrage; For model arbitrage the chance only occur for limited times in a year, but trend arbitrage can repeat its operations, and add capital efficiency. There should be risk control in the process of arbitrage.