裁定取引、の視点 裁定取引、の視点 裁定取引、の視点 裁定取引、の視点 Arbitrage Opportunities, From a Broker’s Perspective - CME Metal - Makoto Sugitani, Mac Straits Financial Services Pte Ltd 25 th July 2016, Monday Disclaimer This presentation is for general informational purposes only and is not intended and should not, under any circumstances, be construed as an offer, solicitation of an offer, or advice to buy or sell any financial instruments. Straits Financial Group and personnel will not be liable for any errors or omission presented. All examples are based on hypothetical situations and shall not be based upon for any investment advice or results of the actual market.
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裁定取引、ブローカーの視点裁定取引、ブローカーの視点裁定取引、ブローカーの視点裁定取引、ブローカーの視点
Arbitrage Opportunities, From a Broker’s Perspective
- CME Metal -
Makoto Sugitani, Mac
Straits Financial Services Pte Ltd
25th July 2016, Monday
Disclaimer
This presentation is for general informational purposes only and is
not intended and should not, under any circumstances, be construed
as an offer, solicitation of an offer, or advice to buy or sell any
financial instruments. Straits Financial Group and personnel will not
be liable for any errors or omission presented. All examples are
based on hypothetical situations and shall not be based upon for any
investment advice or results of the actual market.
お取引執行、クリアリングの流れお取引執行、クリアリングの流れお取引執行、クリアリングの流れお取引執行、クリアリングの流れ
Trade Execution, Clearing Flows
ブローカー（取引執行、クリアリング）ブローカー（取引執行、クリアリング）ブローカー（取引執行、クリアリング）ブローカー（取引執行、クリアリング）
Broker（（（（Trade Execution, Clearing)
メタルトレーダーメタルトレーダーメタルトレーダーメタルトレーダー
Metal Traders
清算機関清算機関清算機関清算機関
Clearinghouse
取引所市場取引所市場取引所市場取引所市場
Exchange Markets
世界の市場世界の市場世界の市場世界の市場
Global Markets
Source: Bloomberg
世界のメタル市場世界のメタル市場世界のメタル市場世界のメタル市場
Global Metal Markets
シカゴ
取引所市場取引取引所市場取引取引所市場取引取引所市場取引
Exchange Contracts
（限月）先物取引 vs 先渡し取引
(Month) Futures Contract Forward Contract
建玉相殺、売買損益確定、清算
Open Positions Offset, Trading Profit / Loss Realization and Settlement
上場銘柄の市場透明性、流動性、価格相関性
Market Transparency, Liquidity, Price Correlation of Listed Contracts
取引コスト、効率的な市場
Trading Costs, Market Efficiency
CME –多様な上場商品
Wider Range of Listed Products
取引の目的と戦略取引の目的と戦略取引の目的と戦略取引の目的と戦略
Trading Purpose and Strategies
価格リスクのヘッジ Hedging Price Risk
現物値決め Pricing Physical Contraｃｔ
投資目的 Investment Purpose
裁定取引 Arbitrage
裁定取引裁定取引裁定取引裁定取引
Arbitrage
- ヘッジは価格リスクを関連市場とのベーシスリスクに置き換える行為
Hedging is the transfer of pricing risk to basis risk of an asset in two related markets.
- 同一又は同等の価値を持つ市場間で買いと売りを同時に行う（広義）
Arbitrage is buying one contract and selling another contract simultaneously (in a broad
sense).
- 裁定取引は市場間の価格差が最終的に修正されていく事を前提
Arbitrage works by taking advantage of unusual price differentials, which will be
converged eventually.
- 流動性、透明性の高い先物市場価格は現物価格の指標（ベンチマーク）
Highly liquid and transparent futures markets are good indication and benchmark of
physical prices.
Price Discrepancy
- ヘッジ取引（現物/先物裁定）に加え先物市場間での裁定取引が可
Arbitrage between two futures markets can be entered other than hedging.
- 同市場内の限月間又は２市場間の裁定
Arbitrage between two contract months in the same market (Intra-market,
Calendar spread), or between two different exchanges (inter-market).
- 先物市場の取引要綱は相違あり
Note contract specifications of different markets and exchanges.
Trading unit, currency, trading hours, settlement, market/exchange rules
Price Discrepancy
裁定取引裁定取引裁定取引裁定取引
Arbitrage
３市場の価格（相関性）３市場の価格（相関性）３市場の価格（相関性）３市場の価格（相関性）
Price (Correlation) of Three Markets
White line: LME 3m price * 1.17 (tax) ---- 5697.89 USD/ton
Green line: SHFE 3m price/USDCNY------ 5703 USD/ton
Pink line: COMEX 3m price*22.046(pound to ton)*1.17(tax)----5697 USD/tonSource: Bloomberg
昨今中国の投資需要減退にも関らずその市場動向は引き続きグローバル価格への影
響力が大きい。 中国市場に一定の投資を振り分けていくのは重要事項。
Commodity prices in China continue to influence on the global markets despite recent setback in
demand. It is paramount that trading portfolios allocate certain degree of exposure to the Chinese
markets.
中国市場へのアクセスはContract for Difference (CFDs) 。 電子取引端末上において
CMEとの裁定取引も可能
The access to the Chinese markets is offered as Contract for Differences (CFDs) with electronic
trading platform provided. The arbitrage with CME markets is made available on one screen.
中国コモディティー市場のライブ価格に直接アクセスを提供
Chinese commodities can be traded directly on live prices.
• Shanghai Futures Exchange (SHFE) 上海
• Dalian Commodity Exchange (DCE) 大連
• Zhengzhou Commodity Exchange (ZCE) 鄭州
中国市場中国市場中国市場中国市場
Chinese Market
取取取取引画面引画面引画面引画面
ATP Platform
ストレイトファイナンシャルグループストレイトファイナンシャルグループストレイトファイナンシャルグループストレイトファイナンシャルグループ
Straits Financial Group
Straits Financial Group
Straits Financial Group is a boutique brokerage house that offers a full spectrum of financial and
commodity derivatives. Combined with the logistical and warehousing support from CWT, we
deliver a unique blend of integrated services to fulfill the needs of sophisticated customers in the
commodities space. We serve a niche but diverse group of institutional market participants
including the investment banks, financial institutions, hedge funds, producers, consumers and
refineries. Headquartered in Singapore, Straits Financial Group has established offices in the Unites
States, China and Indonesia; and continues to expand into key financial and commodity markets.
Jeremy Ang - Group CEO
Mr. Ang has been the CEO of the Straits Financial Group since its inception. He has more than 30
years of experience working in the financial industry in Asia and his experience has been pivotal to
the firm’s humble successes. In the past, he served as Managing Director at DBS Vickers Securities
(Singapore), Executive Vice President at Refco Group and held dual-position as Executive Director of
Commodities at Singapore Exchange (SGX) and CEO of Singapore Commodity Exchange (SICOM).
ご連絡先ご連絡先ご連絡先ご連絡先
Contact Details
グローバルセールスグローバルセールスグローバルセールスグローバルセールス Global [email protected]
杉谷杉谷杉谷杉谷 誠誠誠誠 Makoto Sugitani
キンバリ－キンバリ－キンバリ－キンバリ－ クエッククエッククエッククエック Kimberley Quek
デスク DID: +65 6672 9685
携帯 Mobile: +65 9652 0135
SINGAPORE (HQ)
Straits (Singapore) Pte Ltd9 Temasek Boulevard
#28-04 Suntec Tower Two
Singapore 038989
T . +65 6672 9669
F . +65 6672 9670
W. www.straitsfinancial.com
Straits Financial Services Pte Ltd9 Temasek Boulevard
#28-02 Suntec Tower Two
Singapore 038989
T . +65 6672 9669
F . +65 6672 9670
W. www.straitsfinancial.com
UNITED STATES
Straits Financial LLC440 S. LaSalle Street
Suite 3990
Chicago IL 60605
T . +1 312 462 4499
F . +1 312 461 1003
>> Technical Support
T . +1 312 462 4499
>> Electronic Trading Solutions
T . +1 312 670 2822
CHINA
Straits Commodity MerchantRoom 1309 Tongsheng Building
No. 458 Fushan Road
Pudong District, Shanghai, China
T . +86 21 6168 1931
F . +86 21 6168 1938
INDONESIA
PT. Straits Futures IndonesiaSampoerna Strategic Square, South
Tower Level 22, Jl. Jend. Sudirman
Kav. 45-46, Jakarta 12930, Indonesia
T . +6221 5795 2355
グローバルオフィスグローバルオフィスグローバルオフィスグローバルオフィス
Global Offices
Copyright Straits Financial Group
Copyright Straits Financial Group
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