基于当前 COVID-19 疫情增加了市场对原油未来需求预期的不确定性，以及OPEC+ 在接下来可能采取的任何应变措施，我们可以查看到期货与现货合约的价差远高于常规水平。
为什么 CL-OIL（期货原油合约）与 USOUSD（现货原油合约）会存在价差？
由于COVID-19疫情导致全情经济增长趋缓，市场将对未来国际原油需求面的不确定性反映在价格上。因此我们可以看到 CL-OIL 期货合约的价格远高于 USOUSD 现货合约价格。这也使得现货原油合约的调期库存费率相较于过去几周高出许多。
1. 5月和6月的WTI 原油期货合约存在将近6.30 美元的价差，当CL-OIL期货合约在4月17日从5月的合约展期至6月合约时，我们可以看到价格也出现了相同幅度的跳空。
2. USOUSD 现货合约与WTI期货合约的定价标准不同，为了最大程度的减少不同合约间巨大价差所带来的可能影响，USOUSD的价格会在接下来的28天内持续调整并平衡此价差。
为什么当前 USOUSD 的调期库存费用如此高昂？
当USOUSD和CL-OIL的价格在接近2020年5月15日的六月合约交割日时，两者的价差将持续收拢。为了实际体现此目标，我们预期USOUSD每一标准手的价格将在每日上涨22.5c 或 225 美元，此外还包含有任何由市场因素所造成的价格变动。这22.5c或225美元已经包含在USOUSD的调期库存费率调整中。加上前述的借贷利息，我们预期USOUSD高于以往的调期库存费率会在将来维持一段时间。
VT Markets 强烈建议您，于此剧烈动荡时期，务必确保账户内资金充足，并谨慎评估任何可能产生的交易风险；
如您有任何疑问，我们的团队将十分乐意为您解答。请发邮件至 [email protected] 或联系在线客服。
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].