Is the seasonal arbitrage of polyethylene and PVC reliable?
with the sharp decline of crude oil recently, PTA (purified terephthalic acid), polyethylene and PVC (polyvinyl chloride), the downstream products of crude oil, have all fallen sharply. Due to different fundamentals and the intervention of arbitrage and hedge funds, the decline among the three is quite different
since May, calculated from the highest point, crude oil has fallen by 21.96%, while PTA, polyethylene and PVC have fallen by 15.9%, 13.81% and 9.5% respectively. After the price difference deviates significantly, hot money is eager to try arbitrage
downstream demand overlaps
"some time ago, many hot money chose to sell PTA and buy PVC for hedging, which made the recent decline of PTA significantly greater than that of PVC. Recently, these hot money are considering buying PTA and selling PV. Rotary ultrasonic drilling processing is shown in Figure 3 for hedging." Huang Hexiang, deputy general manager of medium-term futures, said in an interview recently
but chendongliang, a chemical analyst at Haizheng futures, believes that PTA and cotton are generally arbitraged, while polyethylene and PVC are arbitraged. "The correlation between PTA and the other two is relatively poor, so hedging will have higher risks. Relatively speaking, the arbitrage of polyethylene and PVC is more reliable."
the downstream of PTA is mainly chemical fiber, the downstream products of polyethylene are mainly composed of packaging film and agricultural film, and the downstream products of PVC are mainly used for building materials, such as profiles and plates
the downstream demand of polyethylene and PVC overlaps, but their proportions are different. Their trends are always rising and falling together, which forms a certain arbitrage space
according to Chen Dongliang, the price difference between polyethylene and PVC has seasonal characteristics. From March to April every year, the consumption of agricultural film turns into the off-season, while the demand for building materials enters the peak season. The demand for polyethylene and PVC fluctuates, and the price difference changes accordingly; The peak season of agricultural film consumption will come from September to October every year, when the price difference will return
according to Chen Dongliang's model, generally, when the price difference between March and April reaches more than 3500 yuan, you can start to consider selling polyethylene to buy PVC at the ratio of 1:1. From July to August, when the price difference reaches less than 2500 yuan, you can start to consider reverse arbitrage
it must be noted that the contracts of the two arbitrages are contracts of different months. The arbitrage in the first half of the year uses the September contract, and the arbitrage in the second half of the year uses the January contract. "At present, the price difference in September has been below 2500 yuan, while the contract in January is still 2905 yuan. It may be necessary for the equivalent difference to fall back a little, so arbitrage will be safer. It is expected that the opportunity will appear at the end of July." Chen Dongliang judged
operability was questioned
but Chen Dongliang's arbitrage model of polyethylene and PVC was also questioned by the industry. Huang Hexiang said: "polyethylene and PVC are both downstream products of crude oil, and it is certain that they have certain substitutability, but this does not mean that someone will do such arbitrage. If there is no money to do it, no matter how good the substitutability is, there is no return mechanism of price difference, so the operability of this arbitrage is questionable."
miaohuaxin, a chemical analyst at Haitong futures, told this newspaper that this kind of arbitrage is not easy to operate. Because the position and trading volume of PVC are not very active, the impact cost of arbitrage will not be announced in the world, so it is not suitable for large capital operations
Chen Dongliang also said that the range of price difference between polyethylene and PVC is not fixed, but also affected by other factors. For example, from 2009 to 2010, the production capacity of polyethylene expanded, but the demand did not rise, so the price difference will also converge compared with that before 2009
Miao Huaxin believes that, in fact, the regularity of the price difference between the two varieties is not strong. Judging arbitrage by historical trend can not be regarded as arbitrage in the strict sense, which is equivalent to operating the price difference as a product and a trend transaction
Zhang Yu, a chemical analyst at Donghai futures, said: "as far as the respective industrial chains of PVC and polyethylene are concerned, they are not suitable for arbitrage, but it can also be achieved by using their seasonal cycle arbitrage. However, this arbitrage is generally long-term, with fewer operations in a year, which is not suitable for short-term operations. In fact, this arbitrage can also be used in other seasonal products, such as rebar and polyethylene arbitrage."
Miao Huaxin suggested using fundamental factors such as the boom of real estate and the rise of electricity prices for arbitrage. For example, PVC is more sensitive to real estate than polyethylene. When real estate is stronger, PVC will go faster than polyethylene. If the electricity price increases, because the electricity cost of PVC accounts for a higher proportion than that of polyethylene, the cost of PVC will increase by 80 yuan/ton for every 0.01 yuan/kwh electricity price increase. The increase in electricity prices will also lead to PVC being stronger than polyethylene
for real estate boom arbitrage, Zhang Yu said, "since 60% to 70% of the downstream PVC uses 2. Gb/t22435 (2) 008 light alloy wheels for motorcycles and mopeds in real estate, when the real estate boom, the demand will naturally increase. However, this is mainly to optimistic about the prospect of PVC rising, but it does not mean that polyethylene will definitely fall. Because the low and peak seasons of PVC and polyethylene are not synchronized, this arbitrage is organic."
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