[{"data":1,"prerenderedAt":130},["ShallowReactive",2],{"\u002Fpost\u002F2026\u002Farbitrage":3,"post-alt:\u002Fpost\u002F2026\u002Farbitrage":129},{"id":4,"title":5,"body":6,"category":117,"cover":118,"date":119,"description":12,"excerpt":118,"extension":120,"lang":121,"meta":122,"navigation":123,"path":124,"seo":125,"stem":126,"tags":118,"translationKey":118,"type":127,"__hash__":128},"post\u002Fpost\u002F2026\u002Farbitrage\u002Findex.md","套利",{"type":7,"value":8,"toc":111},"minimark",[9,13,16,19,38,41,44,47,53,59,87,93,99,105],[10,11,12],"p",{},"期货套利（Arbitrage）是指在期货市场中，利用同一商品在不同市场、不同合约月份、或相关商品之间的价格差异，同时进行方向相反的交易，锁定无风险或低风险利润的交易策略。",[10,14,15],{},"套利的核心逻辑是：价格偏离必然回归。当两个相关合约\u002F品种的价格关系暂时失衡时，套利者同时买入低估端、卖出高估端，待价差回归正常后双向平仓获利。",[10,17,18],{},"套利的主要类型",[20,21,22,26,29,32,35],"ul",{},[23,24,25],"li",{},"跨期套利",[23,27,28],{},"跨市场套利",[23,30,31],{},"跨品种套利",[23,33,34],{},"期现套利",[23,36,37],{},"组合套利",[39,40,34],"h3",{"id":34},[10,42,43],{},"2026 年 8 月 30 日，A 公司持有云南某郑商所交割仓（仓库升贴水为 −110）一级白砂糖现货 10,000 吨，当前市场价格为 4,800 元\u002F吨。当前 SR2609 合约（最后交割日为 9 月 17 日）价格为 5,157 元\u002F吨。仓储费成本为每吨每天 0.5 元。",[10,45,46],{},"郑商所白砂糖期货业务细则规定：",[48,49,50],"blockquote",{},[10,51,52],{},"N 制糖年度生产的白糖，只能交割到 N 制糖年度结束后的当年 11 月份。从当年 9 月合约交割起（包括 9 月合约交割），每交割月增加贴水 20 元\u002F吨，即 9 月贴水 20 元\u002F吨，11 月贴水 40 元\u002F吨，贴水随货款一并结算。",[10,54,55],{},[56,57,58],"strong",{},"各项成本：",[20,60,61,72,75,78,81,84],{},[23,62,63,64],{},"合计升贴水：−130 元\u002F吨\n",[20,65,66,69],{},[23,67,68],{},"仓库升贴水：−110 元\u002F吨",[23,70,71],{},"时间升贴水：−20 元\u002F吨",[23,73,74],{},"仓储费用：18 日 × 0.5 元 = 9 元\u002F吨",[23,76,77],{},"交割手续费：0.5 元\u002F吨",[23,79,80],{},"检验费：2.25 元\u002F吨",[23,82,83],{},"资金占用成本：约 16.75 元\u002F吨（按现货 4,800 元 + 期货保证金 516 元计算，年化 5%，18 天）",[23,85,86],{},"增值税（价差部分）：约 26.12 元\u002F吨",[10,88,89,92],{},[56,90,91],{},"A 公司实际到手收入："," 5157 元\u002F吨 − 130 元\u002F吨 = 5027 元\u002F吨",[10,94,95,98],{},[56,96,97],{},"A 公司总成本："," 4800 元\u002F吨 + 9 元\u002F吨 + 0.5 元\u002F吨 + 2.25 元\u002F吨 + 16.75 元\u002F吨 + 26.12 元\u002F吨 = 4854.62 元\u002F吨",[10,100,101,104],{},[56,102,103],{},"A 公司实际利润："," 5027 元\u002F吨 − 4854.62 元\u002F吨 = 172.38 元\u002F吨",[10,106,107,110],{},[56,108,109],{},"总利润（10,000 吨）："," 172.38 元\u002F吨 × 10,000 吨 = 172.38 万元",{"title":112,"searchDepth":113,"depth":113,"links":114},"",4,[115],{"id":34,"depth":116,"text":34},3,"交易笔记",null,"2026-08-29","md","en",{},true,"\u002Fpost\u002F2026\u002Farbitrage",{"title":5,"description":12},"post\u002F2026\u002Farbitrage\u002Findex","rc","MBix-je9n45QBJT2_omPv9r7PTXXCugT7hHaAu12GGk",false,1788058692509]