贵金属套利交易的价差分析
关键字：贵金属套利交易的价差分析
套利成功的核心在于捕捉到合理的价差。“合理价差”这是一个相对的概念，在市场发展早期，由于套利交易者不多，市场处于无序状态，定价往往出现失衡，导致套利交易利润惊人。以黄金期货为例，以下系统梳理一下其上市以来的套利机会。
以下分析采用2008年10月以前期金主力合约Au0812与Au(T＋D)价差为例，
Au0812合约与Au(T＋D)之间价差及相关性分析图示
上图中粗线显示的是以往主力合约Au0812与Au(T＋D)期现之间价差走势图，根据其特征，可以把它分为三个阶段：
第一阶段：非理性定价区间。2008年1月9日到3月10日。1月9日是黄金期货上市首日，主力合约Au0806当天开盘230.95，而Au(T+D)开盘报价则为205元，两者价差达到25.95元。
第二阶段：重定价区间。3月10日至5月初，这一区间的显著特点是价格变动范围大，而且前期出现期现倒挂现象，后期均值在0上下浮动，波澜不惊，虽然仍有期现倒挂现象，但幅度不大，较少出现套利交易机会。
第三阶段：趋于理性，基差变动趋于活跃区间。6月上旬以后，先期期现价差在1元/克上下浮动，随后有再次扩大化趋势，黄金市场套利者增多，博弈趋于激烈。
由于沪金期货的涨跌停板制度、强行平仓制度以及Au(T＋D)的夜盘交易制度，导致沪金期货与Au(T＋D)之间价差在市场极端波动情况下会达到10元/克以上，但这并不是真实的市场意愿，仅仅是因为一边市场停止交易，而另一边市场仍在波动导致的假象。
本文来源： 大田环球贵金属
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