點解日圓期貨Contango特別高

三大主流FX Futures裏面, JPY contango 高過EUR/GBP好多

去Historical data拎返現貨同期貨嘅收市價比較

(6JZ4, USDJPY


(6BZ4, GBPUSD

可能拎收市價唔準, 拎EST 15:43 嘅價, 用12月期貨做arbitrage




annualized rate of return
EUR 1.39%
GBP 0.07%
JPY 4.42%

明明EUR/GBP利率比JPY高咁多, 點解用JPY arbitrage return特別高

如果原因係反映日圓特別弱, 買可能日圓沽6J會蝕日圓匯價嘅話

咁黃金?

*同一時間 long XAUUSD + Short GC

上述計算未計每日storage fee, 10 units大約 0.075 per day (by IBKR

黃金利率係0%, 而我相信依家係美元瘋狂貶值下唔會話佢好似日圓咁弱

https://arxiv.org/abs/2301.13204

Abstract
Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading strategy and its validity under the condition that investors recognize the existence of the anomaly. Moreover, we illustrate the possibility that the wealth of Japanese companies might leak to FX traders due to the arbitrage opportunity if Japanese companies blindly keep making payments in the Gotobi days as a business custom.


日本係好奇怪

裏面有冇提及到 US3M - JP3M 息差?

因為美日息差每日都可以唔同 特別受到us yield 影響 個10年yield 由4.2%升到 4.45% 所以個carry 會好唔同 但應該唔會係arbitrage

會唔會係息差呀？ usdjpy 嘅息差大過 gbpusd 咁多。
期貨都有利息成本架嘛。

Interest rate parity explains

我意思係Long USDJPY + Short 6J 黎賺兩者差價

咁黃金又點解可以咁玩

計埋storage fee都有3.5%+

Lm

個差價本身係spot date 同futures date中間既carry which is 就美日既息差 係會自由浮動架喎 如果你long usdjpy short 6J 你係比左成個差價 但你之後每日都會收番long usdjpy 既carry which is uncertain 所以呢個唔係guarantee 亦都唔係arbitrage