VT Markets 原油隔夜仓息调整 重要通知

2020年4月21日

尊敬的投资者:

您好!

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。

上述情况将使现货原油合约的买/卖单调期库存费率在趋近下一个月合约的展期日时日渐高涨。

什么是现货合约?

现货差价合约是期货合约的交易衍生品。举例来说,投资者在产品列表内所查看到的现货原油合约USOUSD就是期货原油交易所衍生出的产品。与期货合约不同,现货合约与期货合约交易并不存在合约到期日,因此现货合约不存在展期,但持仓过夜会被收取买/卖单调期库存费。

什么是调期库存费,如何计算?

投资者进行外汇及贵金属等相关交易时需负担一定的持有成本,在现货差价合约交易中是以库存费的方式体现,当客户在交易日结束时持有相应的合约,其持有成本便会反映在隔夜利息上,客户可在交易历史中的「Swap」栏位进行查看。隔夜利息费用的计算方式如下:

调期库存费率*交易量*合约规模*持仓过夜天数*最小波动点位

调期库存费率包含什么?

现货合约的调期库存费率包含下俩个主要组成元素:

1. 透过保证金交易持仓时的融资费用所需的借贷利息。

2. 根据证券市场中的公平交易价格对合约的价格标准所进行之调整。

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。

导致现货与期货合约之间产生显著价差的主要原因如下:

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?

5月和6月之間的期货原油合约价差约为6.30美元,可換算為每標準手6300美元。此外, USOUSD当前是按6月期貨合約计价。

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;

如果您不希望因市场剧烈波动而被收取过高的隔夜仓息,请于每日交易时间截止前平仓,避免产生前所未有的高额仓息费用。

注意:以上数据仅供参考,实际执行数据有可能会有变动,具体请依据MT4软件为准。

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。

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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