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原油期貨價(jià)格的影響因素 2023年原油價(jià)格成本
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你知道原油期貨價(jià)格的影響因素有哪些嗎？2023年原油價(jià)格成本是多少？
SC → （ Brent + Dubai swap / Brent EFS + Freight + other Fees）* Exchange rate，這就是我國上海原油期貨價(jià)格的成本價(jià)格。
影響原油期貨價(jià)格SC/Brent spread的因素有：
1、Macro economy 宏觀經(jīng)濟(jì)
2、Quality spread 品質(zhì)價(jià)差
3、Tanker freight 物流運(yùn)費(fèi)
4、Exchange rate 匯率
5、Warehouse Warrant & other factors 倉單及其他
If all influencing factors indicate the same direction, Best time to trade!
當(dāng)所有因素影響方向共振時(shí)可能產(chǎn)生較好的交易機(jī)會(huì)
Although global crude oil price are highly correlated, different crude oil futures reflect base country fundamental characteristics. Macro economy is the underlying driver for commodity demand, which influences the price difference. For example,
SC/Brent futures spread show very similar pattern with China/US PMI difference.
雖然全球原油價(jià)格高度聯(lián)動(dòng)，局部供需進(jìn)展會(huì)影響不同地區(qū)之間的價(jià)差。
宏觀經(jīng)濟(jì)是油品需求的根本驅(qū)動(dòng)，從而影響價(jià)格差異。
例如，SC和Brent原油期貨價(jià)差與中美PMI差異體現(xiàn)出高度相關(guān)性。
SC is quoted in RMB and Brent is quoted in USD, thus SC/Brent price ratio reflects
the exchange rate change. One arbitrage strategy is the statistical regression
between SC/Brent ratio and RMB/USD exchange rate, which works well in some
periods such as 2018-2019. However, if some major fundamental shift occurs such
as 2020 and 2022, other factors may dominate the spread change as well.
由于計(jì)價(jià)貨幣差異，SC/Brent 比價(jià)較大程度體現(xiàn)人民幣兌美元匯率變化。長期來看內(nèi)外比價(jià)圍繞匯率波動(dòng)，
因此可以進(jìn)行統(tǒng)計(jì)套利交易。但是當(dāng)基本面發(fā)生重大變化時(shí)，如其他因素主導(dǎo)價(jià)差，可能導(dǎo)致策略短期失效。
Economy and forex influence SC/Brent spread from the financial aspects, while
quality difference is the crude oil specific industry component. The underlying
products of SC are medium sour crude oil, while Brent is light sweet crude oil, thus
the spread should reflect the quality difference between light – heavy spread, which
can be characterized by Brent-Dubai spread known as EFS (Exchange for swap).
Brent – Dubai spread （USD/Barrel） Saudi crude Official Selling Price (OSP) to Asia
(Light – Heavy crude)
由于SC是中質(zhì)含硫原油，Brent是輕質(zhì)低硫原油，因此品質(zhì)價(jià)差會(huì)影響SC和Brent價(jià)格關(guān)系，可以通過
Brent-Dubai價(jià)差進(jìn)行表征。過去二十年間該價(jià)差通常在0-5美元/桶區(qū)間運(yùn)行，但2020年疫情和2022年地緣
沖突等特殊情形下，可能導(dǎo)致價(jià)差的大幅波動(dòng)。
SC reflects the destination price of middle east crude oil, thus the price difference
also needs to include the physical trading cost, such as freight. In most of time,
crude tanker freight is relatively stable, however under special cases such as 2020,
which may result in large fluctuation of the freight.
除了Brent和Dubai的品質(zhì)價(jià)差外，由于SC反映的是中國到岸價(jià)格，因此從中東到中國的物流運(yùn)費(fèi)也會(huì)影響
兩地價(jià)差。原油海運(yùn)費(fèi)用通常較為穩(wěn)定，特殊事件如2020年疫情期間可能造成運(yùn)費(fèi)大幅波動(dòng)。
Because SC is physical delivered, so the price in the last trading days also reflects
the amount of deliverable inventory in the warehouse, which is reported as
warehouse standard warrant. If the warehouse inventory is high, SC maybe weaker
than Brent; and vice versa.
經(jīng)濟(jì)和匯率是宏觀影響因素，品質(zhì)價(jià)差和物流費(fèi)用是行業(yè)影響因素，期貨倉單影響則是來自SC合約特性。
在臨近交割窗口期，倉單庫存數(shù)量可能影響到SC相對強(qiáng)度。倉單越少，對SC相對價(jià)格支撐越強(qiáng)；反之亦然。
SC → （ Brent + Dubai swap / Brent EFS + Freight + other Fees）* Exchange rate，這就是我國上海原油期貨價(jià)格的成本價(jià)格。
影響原油期貨價(jià)格SC/Brent spread的因素有：
1、Macro economy 宏觀經(jīng)濟(jì)
2、Quality spread 品質(zhì)價(jià)差
3、Tanker freight 物流運(yùn)費(fèi)
4、Exchange rate 匯率
5、Warehouse Warrant & other factors 倉單及其他
If all influencing factors indicate the same direction, Best time to trade!
當(dāng)所有因素影響方向共振時(shí)可能產(chǎn)生較好的交易機(jī)會(huì)
Although global crude oil price are highly correlated, different crude oil futures reflect base country fundamental characteristics. Macro economy is the underlying driver for commodity demand, which influences the price difference. For example,
SC/Brent futures spread show very similar pattern with China/US PMI difference.
雖然全球原油價(jià)格高度聯(lián)動(dòng)，局部供需進(jìn)展會(huì)影響不同地區(qū)之間的價(jià)差。
宏觀經(jīng)濟(jì)是油品需求的根本驅(qū)動(dòng)，從而影響價(jià)格差異。
例如，SC和Brent原油期貨價(jià)差與中美PMI差異體現(xiàn)出高度相關(guān)性。
SC is quoted in RMB and Brent is quoted in USD, thus SC/Brent price ratio reflects
the exchange rate change. One arbitrage strategy is the statistical regression
between SC/Brent ratio and RMB/USD exchange rate, which works well in some
periods such as 2018-2019. However, if some major fundamental shift occurs such
as 2020 and 2022, other factors may dominate the spread change as well.
由于計(jì)價(jià)貨幣差異，SC/Brent 比價(jià)較大程度體現(xiàn)人民幣兌美元匯率變化。長期來看內(nèi)外比價(jià)圍繞匯率波動(dòng)，
因此可以進(jìn)行統(tǒng)計(jì)套利交易。但是當(dāng)基本面發(fā)生重大變化時(shí)，如其他因素主導(dǎo)價(jià)差，可能導(dǎo)致策略短期失效。
Economy and forex influence SC/Brent spread from the financial aspects, while
quality difference is the crude oil specific industry component. The underlying
products of SC are medium sour crude oil, while Brent is light sweet crude oil, thus
the spread should reflect the quality difference between light – heavy spread, which
can be characterized by Brent-Dubai spread known as EFS (Exchange for swap).
Brent – Dubai spread （USD/Barrel） Saudi crude Official Selling Price (OSP) to Asia
(Light – Heavy crude)
由于SC是中質(zhì)含硫原油，Brent是輕質(zhì)低硫原油，因此品質(zhì)價(jià)差會(huì)影響SC和Brent價(jià)格關(guān)系，可以通過
Brent-Dubai價(jià)差進(jìn)行表征。過去二十年間該價(jià)差通常在0-5美元/桶區(qū)間運(yùn)行，但2020年疫情和2022年地緣
沖突等特殊情形下，可能導(dǎo)致價(jià)差的大幅波動(dòng)。
SC reflects the destination price of middle east crude oil, thus the price difference
also needs to include the physical trading cost, such as freight. In most of time,
crude tanker freight is relatively stable, however under special cases such as 2020,
which may result in large fluctuation of the freight.
除了Brent和Dubai的品質(zhì)價(jià)差外，由于SC反映的是中國到岸價(jià)格，因此從中東到中國的物流運(yùn)費(fèi)也會(huì)影響
兩地價(jià)差。原油海運(yùn)費(fèi)用通常較為穩(wěn)定，特殊事件如2020年疫情期間可能造成運(yùn)費(fèi)大幅波動(dòng)。
Because SC is physical delivered, so the price in the last trading days also reflects
the amount of deliverable inventory in the warehouse, which is reported as
warehouse standard warrant. If the warehouse inventory is high, SC maybe weaker
than Brent; and vice versa.
經(jīng)濟(jì)和匯率是宏觀影響因素，品質(zhì)價(jià)差和物流費(fèi)用是行業(yè)影響因素，期貨倉單影響則是來自SC合約特性。
在臨近交割窗口期，倉單庫存數(shù)量可能影響到SC相對強(qiáng)度。倉單越少，對SC相對價(jià)格支撐越強(qiáng)；反之亦然。
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