上海原油期货合约定价逻辑和初步实证分析

The pricing logic of Shanghai crude oil futures with empirical analysis

根据跨区套利价格锚定机制,结合上海原油期货交割油种的现货交易特点,对上海原油期货的主力合约定位和主力合约与中东基准原油的价差合理区间进行分析;并通过上海原油期货上市初期的运行数据,对相关分析进行了实证。上海原油期货要走向成功,成为区域基准原油,还有很长的路要走,建议加强产业和机构参与,提高远期合约的流动性;扩大交割库和交割模式;适时推出价差合约交易,提高流动性。

According to the cross-regional arbitrage pricing mechanism, the article, combining with the spot trading characteristics of Shanghai crude oil futures＇ delivery rules, analyzes the reasonable price range of the most active future contract with an empirical analysis through the initial operation data of Shanghai crude oil futures market. It is still a long way for Shanghai crude oil futures to succeed and become the regional benchmark crude oil. It suggests strengthening the participation of industry and institutions, improving the liquidity of forward contracts, expanding delivery and delivery modes, timely offering spread contract transaction to improve liquidity.