First, you can calculate the profit and loss of two contracts separately, and then add them to calculate the net profit and loss. The calculation results are as follows:
August gold futures contract: loss =464-46 1=3 USD/oz.
August loss+65438+February profit =-3+7 = USD 4/oz, that is, arbitrage can make a net profit of USD 4/oz.
Second, you can use the concept of price difference to calculate profit and loss. As can be seen from the magnetic profit operation, the price of gold futures sold by arbitrageurs in August is higher than the price bought in February, so it is selling arbitrage. The spread has changed from 1 1 USD/oz at the opening position to $7/oz at the closing position, and the spread has decreased by $4/oz.
What needs to be emphasized here is that if the arbitrageur buys and sells the contract of the same commodity in different delivery months (called intertemporal arbitrage), there may be a situation of forward market or reverse market, which is the judgment law of buying arbitrage profit and loss. For example, an arbitrageur buys August gold futures at 46 1 USD/oz, and sells 65438+February gold at 450 USD/oz. Obviously, this is a reverse market, and the "one party" with higher price is buying, so this arbitrage is buying arbitrage. Similarly, arbitrage can only be profitable if the spread is enlarged.
Although there are many types of arbitrage, their basic operating principles are similar and can be summarized into two categories: buy arbitrage and sell arbitrage. According to the law between price difference change and buy or sell arbitrage, we can correctly choose buy arbitrage or sell arbitrage according to the expectation of future price difference change direction.