Arbitrage Tracking: 1) Spreads: On December 19, the SC night session 1-3 month spread stood at -0.8 yuan/barrel (equivalent to -0.11 USD/barrel). Brent 1-3 month spread was 0.67 USD/barrel, while WTI 1-3 month spread reached 0.27 USD/barrel. The SC night session-Brent front month spread was 1.22 USD/barrel, and SC night session-WTI front month spread widened to 4.91 USD/barrel.
2) Arbitrage Opportunities: ① Valuation: At 2:30 AM on December 19, Brent 2602 futures traded at 59.99 USD/barrel, while SC 2603 futures settled at 431.9 yuan/barrel. The theoretical price for SC 2603 was calculated at 451.0 yuan/barrel, indicating a -4.23% deviation from market valuation. Based on the 7-day moving average valuation range of [-5%, 0], current valuations hover near the lower bound of normal parameters. ② Margins: The calculated landing margin for SC2603 showed -18.76 yuan/barrel (-2.67 USD/barrel). ③ Spread Analysis: The SC2603-Brent2602 spread traded at 1.03 USD/barrel versus a theoretical spread of 3.69 USD/barrel, maintaining below theoretical levels. (Note: Last week's Brent front month was 2602; SC front month was 2602; "M" denotes current December)
3) Market Summary: The contango structure remains weak across benchmarks. Following SC crude hitting new annual lows mid-week, Brent breached the critical 60 USD/barrel support level, confirming a technical breakdown. Near-future spreads show limited recovery momentum, continuing their weak trajectory.
Intermarket spreads between SC and Brent have maintained volatility based on 7-day moving averages. Given prevailing bearish oil market sentiment, long spread positions remain unattractive at current levels.
Recent price action saw crude markets attempt to establish a bottom after rapid declines. Early-week geopolitical developments, including reported progress in Russia-Ukraine negotiations, initially pressured prices. However, mid-week support emerged from increased US sanctions on Venezuelan tankers and inventory drawdowns. While oversupply concerns appear priced in, markets currently focus on geopolitical dynamics. Recent dovish signals from Ukrainian leadership and Russian public war fatigue could accelerate ceasefire talks. The expanded US restrictions on Venezuelan oil shipments warrant monitoring - any material export disruptions may provide temporary price support.