Source: Hedgechina (hedgechina)
The crude oil futures of Shanghai International Energy Trading Center was finally officially listed and traded on March 26, 2018. The Hedge Research Institute produced a latest trading manual in a graphical manner, striving to show the supply and demand structure of the crude oil industry in the most concise way; the price analysis framework; Contract trading rules and possible trading strategies are available for investors' reference.
Written in front
Crude oil is one of the few "non-homogenous commodity" commodities in the world.
Due to the non-homogeneity of crude oil, how to identify the quality of crude oil is one of the basic factors determining the price of crude oil. Crude oil has two important physical and chemical properties: light and heavy, acid and sweet. The former represents the proportion of crude oil, and the latter represents the sulfur content of crude oil.
A very important principle of the crude oil price mechanism: crude oil with a low specific gravity and low sulfur content is the top grade. Otherwise, it is the next product. How to price crude oil in various places has become a special knowledge.
At present, two crude oil pricing methods are basically adopted in the world: First, Official Selling Price (OSP). The second is Benchmark Price plus Premium (Premium) or Discount (Discount).
There is no need to explain too much for the first method. The official price is the official price of the country of the crude oil exporting country. For example, the official crude oil export price of the Sultanate of Oman is the settlement price of the Oman crude oil futures of the Dubai Commodity Exchange.
The second method, Benchmark Price, consists of the world's three basic crude oil prices and several important representative regional crude oil spot prices. For example, Tapis Crude is the benchmark for crude oil prices in Southeast Asia. Bonny Light is the benchmark for crude oil prices in West Africa. Urals Oil is the benchmark for Russian crude oil prices. OPECReference Basket is the benchmark for crude oil prices of the Organization of Petroleum Exporting Countries.
After the benchmark price, the crude oil price in each region is expressed in the form of a premium (Premium) or a discount (Discount) on the benchmark price. The benchmark price is dynamic, and the premium of the crude oil price in a particular region to the benchmark price also changes in minutes and seconds.
The world's crude oil price is thus constantly moving in an interconnected closed price system based on supply and demand.
Shanghai Futures Exchange crude oil futures will finally be officially listed and traded tomorrow. Hedge research and development will produce a latest trading manual in a chart, trying to show the supply and demand structure of the crude oil industry in the most concise manner; price analysis framework; contract trading rules, etc. Investor reference.
one,
INE crude oil futures contract and major trading rules
Figure 1: INE crude oil futures standard contract
Important information 1: Trading time?
Crude oil futures will be listed and traded on March 26, 2018. The auction will be held at 8:55-9:00 on the same day and will open at 9:00.
Monday to Friday, 09:00-10:15, 10:30-11:30 and 13:30-15:00, continuous trading hours, Monday to Friday 21:00 - 02:30 the next day. No trading is allowed for consecutive trading hours on the first business day prior to the statutory holiday (excluding Saturday and Sunday).
Important 2: What are the contracts?
SC1809, SC1810, SC1811, SC1812, SC1901, SC1902, SC1903, SC1906, SC1909, SC1912, SC2003, SC2006, SC2009, SC2012, SC2103.
Important 3: What is the benchmark price for the listing of crude oil futures contracts?
The benchmark price of the SC1809, SC1810, SC1811, SC1812, SC1901, SC1902, and SC1903 contracts is 416 yuan/barrel.
The benchmark price of the SC1906, SC1909, SC1912, SC2003 contracts is 388 yuan / barrel.
The benchmark price of the SC2006, SC2009, SC2012, and SC2103 contracts is 375 yuan/barrel.
Important information 4: What is the crude oil futures margin and the price limit?
The trading margin is 7% of the contract value; the limit is 5%. The first trading day's price limit is 10% of the benchmark price.
Figure 2: List of Margin Collection Standards
Foreign non-brokers and foreign clients can use foreign exchange funds as security deposits. For foreign exchange funds as the margin, the central parity of the RMB exchange rate announced by the China Foreign Exchange Trading Center is used as the benchmark price for the market value. Currently, the energy center can use the foreign exchange currency as the margin as USD, with a discount rate of 0.95.
The market value of foreign exchange funds before the market closes on the day is first calculated according to the central parity of the RMB exchange rate announced on the day before the China Foreign Exchange Trading Center. At the time of daily settlement, the foreign exchange funds shall be re-determined as the base price for the use of the margin and the discounted amount shall be adjusted as described above.
Important information 5: When there is a unilateral market, how do you count the price limit?
When a crude oil futures contract appears on a trading day (the trading day is called D1 trading day, and the five consecutive trading days after the D1 trading day are called D2, D3, D4, D5, D6 trading days), the unilateral city appears. The center will increase the range of the price limit and the margin level, as shown in the following table:
Figure 3: Overview of the unilateral market hourly price limit
Important information 6: Can you see a position?
When a contract position reaches 200,000 lots (two-way), the Energy Center will announce the volume of the top 20 futures companies and the foreign special brokers in the month's contract, the amount of open positions, and the positions held.
Important 7: What is the position limit?
As shown in Figure 4
Important information 8: What is the transaction fee?
RMB 20 yuan / hand, the trading of this position is free of transaction fees.
Important information 9: What is the type of oil that can be delivered and the premium?
As shown in Figure 5
2. Comparison with major international crude oil varieties
Figure 6: Comparison of major international crude oil contracts
Figure 7: Comparison of the way of changing the moon
Third, crude oil futures pricing and analysis framework
Figure 8: Ten-year chart of international crude oil futures prices
Figure 9: Crude Oil Price Analysis Framework
Important 10: How do you see the supply of crude oil?
Since oil is a non-renewable resource, the short-term supply elasticity of oil is relatively small. Therefore, when no new large oil fields are discovered and major technological innovations occur, the most important factor affecting oil prices is the relationship between supply and demand in the oil market.
The oil production region is relatively concentrated. As a petroleum producer, especially the net exporter of oil, the production adjustment has a very direct impact on oil prices, which reflects the supply of oil market. The most influential is OPEC, which currently controls more than 78% of the world's oil reserves, and provides oil that meets about 40% of global demand.
OPEC regulations require the organization to commit to the stability and prosperity of the oil market. Therefore, in order to ensure the interests of oil producers and consumers, OPEC implements a quota system for oil production. If oil demand rises, or if some oil-producing countries reduce oil production, OPEC will increase its oil production to prevent oil prices from soaring. In order to prevent the decline in oil prices, OPEC may also reduce oil production based on market conditions.
Important 11: How do you look at crude oil inventories?
Crude oil inventories are divided into commercial inventories and strategic reserves. The main purpose of commercial inventories is to ensure that enterprises can operate efficiently in the event of seasonal fluctuations in crude oil demand, while preventing potential shortage of crude oil supply. The main purpose of the national strategic reserve is to cope with the crude oil crisis. .
Crude oil inventories in various countries play a role in regulating the balance between supply and demand in the international crude oil market. The change in the quantity is directly related to the change in the supply and demand of the world crude oil market. In the international crude oil market, the weekly crude oil inventory and demand data released by the American Crude Oil Association (API) and the US Department of Energy Energy Information Agency (EIA) have become the basis for many crude oil companies to judge the supply and demand situation and actual operation of the short-term international crude oil market. . The price of WTI crude oil will be affected by the commercial inventory of North American crude oil, and the price of Brent crude oil will be affected by the OECD (OECD) inventory.
Important information 12: How do speculative, geography, interest rates and other factors affect oil prices?
In the international crude oil futures market, the operation of speculative capital is a factor that can not be ignored in the international oil price. Speculation and market expectations in the crude oil market tend to increase the volatility of crude oil prices. The speculative factors in the international crude oil market have a 10-20% impact on crude oil prices. Especially when certain unexpected events occur, a large amount of speculative capital is operated in the international crude oil futures market, which has aggravated the turmoil in international crude oil prices.
Changes in the market price of international crude oil are often affected by geopolitical and oil-producing countries. This effect plays a major role in two aspects: first, geopolitical conflicts lead to a real decline in crude oil supply; second, geopolitical conflicts have caused international crude oil markets to worry about future supply declines, but actual supply has not decreased.
The rise in interest rates will result in a lower value of future mining than the current mining value, thus making the mining path forward to the present and away from the future. High interest rates reduce capital investment, resulting in smaller initial mining scales; high interest rates also increase the capital cost of alternative technologies, leading to lower mining rates, which in turn lead to higher crude oil prices.
Natural factors also have an impact on crude oil prices. For example, the US crude oil industry base is concentrated in the Gulf of Mexico, and this area is just a hurricane. Once the offshore operating platform is destroyed, oil prices will be forced to rise.
Figure 10: Spot properties behind crude oil futures
Figure 11: Value Anchoring of Crude Oil Futures
Figure 12: INE crude oil futures delivery process
Fourth, the basic knowledge of the crude oil industry
Figure 13: Crude oil production process
Figure 14: Global proven oil reserves
Important 13: What is the distribution of global oil resources?
From the calendar year, the data from the BP World Energy Statistical Yearbook 2017 shows that the proven reserves in 2006 were 1.4 trillion barrels, and the proven reserves in 2016 were 1.7 trillion barrels, an average annual increase of 2.3% in 10 years. The increase was significant.
From the regional perspective, the regional differentiation is relatively serious among the proven oil reserves, of which the reserves in the Middle East are 0.81 trillion barrels, accounting for 47.7% of the total global reserves; the reserves in Europe and Eurasia are 0.16 trillion barrels, accounting for 0.16 trillion barrels. 9.9% of total global reserves; reserves in Central and South America and Africa are 0.33 trillion barrels and 0.13 trillion barrels, respectively, accounting for 19.2% and 7.5%; North America 0.23 trillion barrels, accounting for 13.3%; Asia-Pacific only 0.048 trillion barrels , accounting for 2.8%. The fastest growth rate is in Central and South America, with an average annual growth rate of 19.7% in the past 10 years.
Important 14: What is the global oil production situation?
The world's oil production and consumption are generally increasing year by year. According to BP World Energy Statistical Yearbook 2017, the world oil production in 2016 was 92.15 million barrels per day, an increase of 0.5% from 91.7 million barrels per day in 2015; In 2006, 82.49 million barrels per day increased by 11.2%; compared with 69.85 million barrels per day in 1996, it increased by 31.3%.
In the 20 years from 1997 to 2016, the world's total oil production increased by an average of 1.4% annually. Among them, the daily output in 2009 was 81.22 million barrels per day, which was about 2.0% lower than the 82.89 million barrels per day in 2008. This was the result of the reduced demand caused by the global economic crisis.
From a regional perspective, world oil production is mainly concentrated in the Middle East, North America, Europe and Eurasia. In 2016, the daily oil production in these regions was 31.79 million barrels per day, 19.27 million barrels per day, and 17.22 million barrels per day, respectively. It accounts for 34.5%, 20.9% and 19.2% of the world total.
From the perspective of oil production in various countries in 2016, the United States, Saudi Arabia, Russia, Iran, Iraq, Canada and the United Arab Emirates have a total daily oil production of 53.33 million barrels per day, accounting for 58.1% of the world's total production.
Important 15: What is the global oil consumption situation?
In terms of consumption, the five countries with the world's largest oil consumption in 2016 were the United States, China, India, Japan, and Saudi Arabia. The total daily consumption of oil was 44.44 million barrels per day, accounting for 46.0% of the world's consumption.
Among them, the United States is the world's largest oil consumer. In 2016, it consumed 1.63 million barrels per day of oil, accounting for 20.3% of the world's consumption. The fastest growing oil consumption is China, and it has now become the world's second largest oil. In consumer countries, daily consumption increased from 7.43 million barrels per day in 2006 to 12.38 million barrels per day in 2016, with an average annual growth rate of 6.1% in 10 years.
Important Information 16: China Petroleum 601857, shares how the diagnosis consumption?
China's crude oil production is mainly concentrated in the northeast, northwest, north China, Shandong and Bohai Bay, and consumption covers the whole country. The center is mainly concentrated in the Bohai Rim, the Yangtze River Delta and the Pearl River Delta.
At present, China's crude oil is mainly consumed in the industrial sector, followed by transportation, agriculture, commerce and consumer consumption. Among them, the proportion of industrial oil consumption in the total oil consumption of the country has been maintained at more than 50%; transportation oil consumption is second only to industry, accounting for about 25%.
According to the BP World Energy Statistical Yearbook 2017, from 2004 to 2016, China's crude oil output rose from 174 million tons to 200 million tons, with an average annual growth rate of 1.15%, making it the eighth largest oil producer in the world; crude oil consumption from 323 million The ton has risen to 579 million tons, with an average annual growth rate of 4.97%. It is currently the world's second largest oil consumer.
Figure 15: China's crude oil production and consumption in 2017
Important information 17: What is China's refining capacity?
According to the survey data of Anxun, as of the end of 2016, China's domestic 217 refineries (including local refineries) had a total crude oil processing capacity of 785 million tons / year, an increase of 2.55%.
At present, China's total refining capacity is second only to the United States, accounting for 16% of the global refining capacity. Excluding local refineries (referring to refineries without stable crude oil sources and stable operating rates), China's main refinery has a processing capacity of 558 million tons / year (11.16 million barrels / day), the total refining capacity has The decline has accounted for 11.5% of the global refining capacity. In addition, the total processing capacity of 135 local refineries reached 227 million tons/year at the end of 2016, a year-on-year increase of 10.96%, accounting for 28.9% of China's total refining capacity.
Figure 16: China's top ten refineries
Important Information 18: How is the cost of imported bonded crude oil calculated?
China's imports of Middle East crude oil are mainly based on the average price of Platts' Dubai and Oman crude oil, and the West African crude oil is referenced to the Brent futures price.
The cost of importing bonded crude oil is generally calculated according to the following formula:
Import bonded crude oil cost = CIF × exchange rate + other expenses
Exchange rate: calculated on the basis of the exchange rate of the day;
Other expenses include: import agency fee, port fee/terminal fee, storage fee, commodity inspection fee, chargeback fee, health inspection fee, insurance fee, interest, urban construction fee, education surcharge, flood prevention fee, etc.
The crude oil traded at the Shanghai International Energy Exchange Center is “net price trading, bonded deliveryâ€, that is, the transaction price is the net price excluding VAT and customs duties.
If the bonded crude oil is transported to the territory, the price of the tax-containing crude oil (RMB) should be calculated according to the following formula: Tax-included crude oil price = bonded crude oil price × (1 + VAT rate) × (1 + tariff rate) VAT rate: 17% Tariff rate: The MFN tariff rate is 0, and the general tax rate is 85 yuan/ton.
5. What should I pay attention to when participating in actual combat transactions in the initial stage?
Figure 17: Volatility comparison of crude oil and other major assets from 2009 to the present
Figure 18: Who is trading crude oil futures
Figure 19: A list of the impact of geopolitics on oil price trends
Figure 20: What is the arbitrage boundary of the buying and selling markets?
Important Information 19: How much is the margin for trading crude oil?
Calculated according to the trading rules (according to the minimum margin), trading a first-hand crude oil SC1809 contract requires a margin = 416 * 1000 * 5% = 20,800 yuan.
(Note: Futures companies generally increase the margin ratio appropriately)
Important 20: How do you calculate the theoretical price for the first day?
According to the deliverable oils released by INE, six of the seven oils are crude oil in the Middle East, and only one is Chinese local crude oil. China's current dependence on crude oil imports is as high as 70%, which means that most of the crude oil is imported. Among the imported crude oil, Middle East crude oil has occupied a relatively large share. Therefore, the pricing of Chinese crude oil futures is based on the Middle East crude oil price is a very logical inference.
Among the six Middle Eastern crude oils, Oman crude oil is one of the deliverable oils of Shanghai crude oil futures, while Oman crude oil has futures trading, namely DME Oman crude oil futures, which is publicly traded in the market and can be physically delivered to obtain Oman crude oil. In principle, industrial customers participating in DME Oman crude oil futures trading can obtain Oman crude oil at a lower threshold. The other deliverables of Shanghai crude oil futures, such as Dubai, Abu Zakum, and Basra light crude oil, are more complicated to price, and their prices are not easy to obtain. Therefore, we can refer to Oman crude oil for the calculation of the benchmark price and opening price of Shanghai crude oil.
After determining the target of the pricing calculation, another problem needs to be solved. The latest contract for the listing of Shanghai crude oil futures is 1809, which will be delivered after half a year. Considering the storage or holding costs, you need to find the corresponding Oman futures contract. In general, Oman crude oil takes about two months from shipment to warehousing, which means that the SC1809 contract needs to refer to Oman's July crude oil contract. Finally, we also need to calculate the cost of Oman crude oil shipped from the Middle East to the country, including Oman futures delivery costs, sea freight, insurance, loss, domestic delivery, storage costs.
After INE announced the benchmark price yesterday, the external crude oil rose sharply. At the close, the WTI main contract closed at 65.74 US dollars, up 2.24%; Brent crude oil closed at 69.75 US dollars, up 2%; DME Oman crude oil July contract closed at 66.35 US dollars.
Now let's try to calculate the theoretical price of the 1809 contract for Shanghai crude oil. Suppose that on March 26, the US dollar against the renminbi is 6.327, and the Oman crude oil July contract price is $66.35/barrel. The sum of the various costs is $2/barrel. Then the theoretical price of the SC1809 contract is about: (66.35+2)*6.327=432 yuan/barrel.
Important 21: What is the strategy for the first day?
The benchmark price of the SC1809 listed by INE is 416 yuan/barrel, which is lower than the theoretical estimated price of 432 yuan/barrel. Therefore, there may be a rise in the theoretical price after the opening.
Reference:
1. Shanghai International Energy Trading Center
2. An Xunsi
3. BP World Energy Statistics Yearbook 2017
4. CITIC Futures
5. Industrial Research
6. BOC International Futures
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