商品期货价差套利与套期保值的应用分析

摘要

:商品期货市场作为中国市场价格趋于正常、增加市场流动性并降低市场风险,是期

货市场功能得到有效发挥的重要经济的重要组成部分

,在中国经济的发展中发挥着重要的作

用。中国的商品期货市场作为国内衍生产品的主力

,在套期保值、避险等方面发挥着不可替代

的作用。它的价差套利行为促使交易的活跃性。其中价差套利是期货市场最主要的投资方式
和风险管理手段之一

,它是一个综合的、全面的和连续的投资决策过程。围绕期货价差套利的

理论与应用

,分别对期货价差套利的不同种类差异、套利原理、套利方法等进行了浅析并附有

应用实例。而其中套期保值是在现货和期货两个市场之间建立盈亏冲抵机制，以达到规避价
格波动风险的交易方式，在此也通过具体的应用实例对其加以阐述。

本论文分为四个部分：首先提成论文选题中价差套利和套期保值在商品期货中的重要

性；其次是介绍了商品期货产生的背景；再者是介绍了价差套利和套期保值理论概述；最
后是通过应用实例介绍商品期货价差套利和套期保值的具体应用。

关键词：商品期货；价差套利

；套期保值；应用

An analysis of Commodity Futures spread arbitrage and hedging applications

Abstract: Commodity futures market is normal, as the Chinese market price tends to increase

market liquidity and reduce market risk, the futures market functions effectively play an important
part  of  the  important  economic,  play  an  important  role  in  China's  economic  development.  The
main  force  of  China's  commodity  futures  market  as  a  domestic  derivative  products,  plays  an
irreplaceable  role  in  terms  of  hedging,  hedging,  etc..  It  spread  arbitrage  to  promote  active
transactions. Spread arbitrage is one of the futures market, the most important investment and risk
management tools, it is an integrated, comprehensive and continuous investment decision-making
process.  Different  kinds  of  differences  around  the  Theory  and  Applications  of  Futures  spread
arbitrage, Futures spread arbitrage, arbitrage, arbitrage Analysis with application examples. Which
hedging  gains  and  losses  to  offset  mechanism  established  between  the  two  markets  in  spot  and
futures  transactions  in  order  to  circumvent  the  risk  of  price  fluctuations,  in  this  specific
application  examples  to  elaborate  on  it.  This  thesis  is  divided  into  four  parts:  First,  spread
arbitrage  and  the  importance  of  hedging  in  Commodity  Futures  commission  paper  topics;  the
background  of  the  Commodity  Futures;  Furthermore,  spread  arbitrage  and  hedging  theory
Overview;  introduced  the  Commodity  Futures  spread  arbitrage  and  hedging  application  is  an
application example.

Key words: Commodity futures ; Spread arbitrage ; hedging；application

一、引言

商品期货作为一种很好的套期保值的工具，主要为生产者和经营者回避风险起到了作

用，是期货重要的分支之一。其规避风险主要方式是套利和套期保值，其中价差套利有利于
期货各种价格趋于正常，促进市场公平价格的形成，更加的体现了市场经济的作用。然而套
期保值是对其现在买进准备以后售出商品或对将来需要买进商品的价格进行保险的交易活