arbit raju l
DESCRIPTION
ArbitrajulTRANSCRIPT
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ARBITRAJULPrezentareRolul arbitrajului n piaExemplu de arbitraj
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ARBITRAJULDefinitie:Arbitrajul este o strategie care urmrete cumprarea i vnzarea simultan a unor mrfuri echivalente (cash sau futures) n piee diferite pentru a profita de diferenele de pre.Rolul arbitrajului este de a uniformiza discrepanele de pre ntre anumite piee
Etape:Selecia celor dou piee care prezint diferenele de pre la un moment dat; ndeplinirea condiiilor de acces n pieele pe care se realizeaz arbitrajul, aceasta se rezum la deschiderea de cont-client pe cele dou piee;Asigurarea condiiilor tehnice de meninere a poziiilor deschise pe durata arbitrajului (n cazul tranzaciilor la termen);nchiderea poziiilor cel trziu la scadena contractului futures.
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ARBITRAJULarbitrajul presupune cumprarea i vnzarea simultan a unor mrfuri echivalente (cash sau futures), n aceeai cantitate, pe piee diferite.un exemplu de arbitraj este cel spot-futures. Un operator care are acces la piaa spot i futures de la Sibiu, poate realiza arbitraj ntre aceste doua piee, astfel: el urmrete cotaiile de pe ambele piee i cumpr spre exemplu 100.000 de aciuni SIF5 la preul de 3,28 i vinde instantaneu 100 contracte DESIF5, la Sibiu, la preul de 3,8501, cu scadena DEC06.
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ARBITRAJUL
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ARBITRAJUL
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ARBITRAJUL
Alte variante de arbitraj (tranzactii spread) -acelai activ suport, dar scadene diferite; -pe mrfuri derivate; -mrfuri diferite dar cu element de corelare de cel puin 0,7 ;Riscuri -prin nsui mecanismul su, arbitrajul este o operaiune cu risc sczut; -un risc care trebuie luat n considerare, este riscul de lichiditate al pietelor pe care se realizeaz tranzaciile de cumprare i respectiv de vnzare.
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Chart2
3.854.2
3.814.11
3.8014.1111
3.70814.01
3.714.08
3.724.06
3.654
3.62133.93
3.61943.9199
3.573.935
3.48013.83
3.443.75
3.41763.715
3.553.8075
3.453.715
3.493.8
3.53.7777
3.453.849
3.4883.8
3.483.78
3.46743.7845
3.493.82
3.48013.815
3.51993.8299
3.49943.8235
3.4613.8193
3.4693.8178
3.453.7701
3.4353.7501
3.323.62
3.37983.675
3.35993.659
3.323.6103
3.18663.5
3.21993.5345
3.21983.535
3.23.5101
3.233.555
3.2213.5499
3.143.4401
3.1253.429
2.99523.31
2.93123.23
2.783.0484
2.833.1613
2.793.1698
2.773.096
2.8553.188
2.81253.143
2.7623.065
2.672.97
2.6122.9231
2.60612.918
2.683.0035
2.6212.938
2.632.9361
2.7553.139
2.85993.24
2.713.1032
2.7753.169
2.83.195
2.9383.28
2.943.255
2.8923.1855
2.95053.26
2.9593.26
2.9833.2825
3.0433.343
3.07113.3751
3.1853.53
3.16413.5008
3.1773.53
3.323.71
3.4133.84
3.193.59
3.02013.425
3.243.63
3.433.8261
3.28553.702
3.363.772
3.33983.731
3.33983.731
3.33983.731
3.52753.931
3.4923.89
3.37733.785
3.2253.6321
3.17013.579
3.1533.5555
3.113.51
3.0953.5198
3.05013.474
3.123.55
3.1553.5901
3.1773.61
3.08413.56
3.133.62
3.1683.634
3.09653.57
3.08053.5749
3.083.587
3.0753.565
3.0193.49
SIF2 -scadenta iunie 07
SIF5 -scadenta iunie 07
Evolutia DESIF2 si DESIF5 scadenta iunie 2007
pret cotare sif2 si sif5
DATASIF2 -scadenta iunie 07SIF5 -scadenta iunie 07
3-Jan-073.85004.2000
4-Jan-073.81004.1100
5-Jan-073.80104.1111
8-Jan-073.70814.0100
9-Jan-073.71004.0800
10-Jan-073.72004.0600
11-Jan-073.65004.0000
12-Jan-073.62133.9300
15-Jan-073.61943.9199
16-Jan-073.57003.9350
17-Jan-073.48013.8300
18-Jan-073.44003.7500
19-Jan-073.41763.7150
22-Jan-073.55003.8075
23-Jan-073.45003.7150
24-Jan-073.49003.8000
25-Jan-073.50003.7777
26-Jan-073.45003.8490
29-Jan-073.48803.8000
30-Jan-073.48003.7800
31-Jan-073.46743.7845
1-Feb-073.49003.8200
2-Feb-073.48013.8150
5-Feb-073.51993.8299
6-Feb-073.49943.8235
7-Feb-073.46103.8193
8-Feb-073.46903.8178
9-Feb-073.45003.7701
12-Feb-073.43503.7501
13-Feb-073.32003.6200
14-Feb-073.37983.6750
15-Feb-073.35993.6590
16-Feb-073.32003.6103
19-Feb-073.18663.5000
20-Feb-073.21993.5345
21-Feb-073.21983.5350
22-Feb-073.20003.5101
23-Feb-073.23003.5550
26-Feb-073.22103.5499
27-Feb-073.14003.4401
28-Feb-073.12503.4290
1-Mar-072.99523.3100
2-Mar-072.93123.2300
5-Mar-072.78003.0484
6-Mar-072.83003.1613
7-Mar-072.79003.1698
8-Mar-072.77003.0960
9-Mar-072.85503.1880
12-Mar-072.81253.1430
13-Mar-072.76203.0650
14-Mar-072.67002.9700
15-Mar-072.61202.9231
16-Mar-072.60612.9180
19-Mar-072.68003.0035
20-Mar-072.62102.9380
21-Mar-072.63002.9361
22-Mar-072.75503.1390
23-Mar-072.85993.2400
26-Mar-072.71003.1032
27-Mar-072.77503.1690
28-Mar-072.80003.1950
29-Mar-072.93803.2800
30-Mar-072.94003.2550
2-Apr-072.89203.1855
3-Apr-072.95053.2600
4-Apr-072.95903.2600
5-Apr-072.98303.2825
6-Apr-073.04303.3430
10-Apr-073.07113.3751
11-Apr-073.18503.5300
12-Apr-073.16413.5008
13-Apr-073.17703.5300
16-Apr-073.32003.7100
17-Apr-073.41303.8400
18-Apr-073.19003.5900
19-Apr-073.02013.4250
20-Apr-073.24003.6300
23-Apr-073.43003.8261
24-Apr-073.28553.7020
25-Apr-073.36003.7720
26-Apr-073.33983.7310
27-Apr-073.33983.7310
2-May-073.33983.7310
3-May-073.52753.9310
4-May-073.49203.8900
7-May-073.37733.7850
8-May-073.22503.6321
9-May-073.17013.5790
10-May-073.15303.5555
11-May-073.11003.5100
14-May-073.09503.5198
15-May-073.05013.4740
16-May-073.12003.5500
17-May-073.15503.5901
18-May-073.17703.6100
21-May-073.08413.5600
22-May-073.13003.6200
23-May-073.16803.6340
24-May-073.09653.5700
25-May-073.08053.5749
28-May-073.08003.5870
29-May-073.07503.5650
30-May-073.01903.4900
pret cotare sif2 si sif5
SIF2 -scadenta iunie 07
SIF5 -scadenta iunie 07
Evolutia DESIF2 si DESIF5 scadenta iunie 2007
Chart1
3.85390854.2
3.81390864.11
3.801390874.1111
3.7081390904.01
3.71390914.08
3.72390924.06
3.65390934
3.6213390943.93
3.6194390973.9199
3.57390983.935
3.4801390993.83
3.44391003.75
3.4176391013.715
3.55391043.8075
3.45391053.715
3.49391063.8
3.5391073.7777
3.45391083.849
3.488391113.8
3.48391123.78
3.4674391133.7845
3.49391143.82
3.4801391153.815
3.5199391183.8299
3.4994391193.8235
3.461391203.8193
3.469391213.8178
3.45391223.7701
3.435391253.7501
3.32391263.62
3.3798391273.675
3.3599391283.659
3.32391293.6103
3.1866391323.5
3.2199391333.5345
3.2198391343.535
3.2391353.5101
3.23391363.555
3.221391393.5499
3.14391403.4401
3.125391413.429
2.9952391423.31
2.9312391433.23
2.78391463.0484
2.83391473.1613
2.79391483.1698
2.77391493.096
2.855391503.188
2.8125391533.143
2.762391543.065
2.67391552.97
2.612391562.9231
2.6061391572.918
2.68391603.0035
2.621391612.938
2.63391622.9361
2.755391633.139
2.8599391643.24
2.71391673.1032
2.775391683.169
2.8391693.195
2.938391703.28
2.94391713.255
2.892391743.1855
2.9505391753.26
2.959391763.26
2.983391773.2825
3.043391783.343
3.0711391823.3751
3.185391833.53
3.1641391843.5008
3.177391853.53
3.32391883.71
3.413391893.84
3.19391903.59
3.0201391913.425
3.24391923.63
3.43391953.8261
3.2855391963.702
3.36391973.772
3.3398391983.731
3.3398391993.731
3.3398392043.731
3.5275392053.931
3.492392063.89
3.3773392093.785
3.225392103.6321
3.1701392113.579
3.153392123.5555
3.11392133.51
3.095392163.5198
3.0501392173.474
3.12392183.55
3.155392193.5901
3.177392203.61
3.0841392233.56
3.13392243.62
3.168392253.634
3.0965392263.57
3.0805392273.5749
3.08392303.587
3.075392313.565
3.019392323.49
SIF2 -scadenta iunie 07
volum SIF2 iunie 2007
SIF5 -scadenta iunie 07
DESIF2 & DESIF5-IUN07
cotare si volum sif2 si sif5
DATASIF2 -scadenta iunie 07volum SIF2 iunie 2007SIF5 -scadenta iunie 07volum SIF5 iunie 2007
3-Jan-073.8500704.200031
4-Jan-073.8100184.110032
5-Jan-073.8010124.111133
8-Jan-073.7081564.0100104
9-Jan-073.7100474.080057
10-Jan-073.7200664.060024
11-Jan-073.65005744.0000645
12-Jan-073.6213973.930048
15-Jan-073.6194983.919931
16-Jan-073.57004533.9350218
17-Jan-073.48011553.8300117
18-Jan-073.44002833.7500130
19-Jan-073.4176253.7150100
22-Jan-073.55004593.8075267
23-Jan-073.45003183.7150188
24-Jan-073.4900753.8000208
25-Jan-073.500023.77773
26-Jan-073.4500233.849099
29-Jan-073.48801003.800088
30-Jan-073.4800743.78006
31-Jan-073.4674573.784550
1-Feb-073.49001293.8200122
2-Feb-073.48011023.815056
5-Feb-073.5199173.829937
6-Feb-073.4994813.823575
7-Feb-073.4610143.81937
8-Feb-073.4690363.81783
9-Feb-073.45001283.770195
12-Feb-073.4350283.750155
13-Feb-073.32004553.6200246
14-Feb-073.37981713.6750157
15-Feb-073.35992463.6590397
16-Feb-073.32001583.6103122
19-Feb-073.18664603.5000204
20-Feb-073.21998433.5345484
21-Feb-073.21984193.5350356
22-Feb-073.200063.5101102
23-Feb-073.2300963.555068
26-Feb-073.22103003.5499263
27-Feb-073.14003923.4401510
28-Feb-073.12505473.4290997
1-Mar-072.99526173.3100588
2-Mar-072.93124043.2300914
5-Mar-072.78001,2883.04841,572
6-Mar-072.83001,0553.16131,802
7-Mar-072.79007403.1698939
8-Mar-072.77004303.0960586
9-Mar-072.85504833.1880765
12-Mar-072.81257143.14301,012
13-Mar-072.76208673.06501,176
14-Mar-072.67002,3332.97002,658
15-Mar-072.61201,7422.92311,907
16-Mar-072.60614,7872.91802,749
19-Mar-072.68003,2313.00353,182
20-Mar-072.62104,5302.93804,413
21-Mar-072.63002,0372.93611,634
22-Mar-072.75508,5713.139010,428
23-Mar-072.859910,0013.24007,268
26-Mar-072.710010,2693.103210,015
27-Mar-072.775010,0323.169011,220
28-Mar-072.800012,4653.195014,232
29-Mar-072.938011,9833.280010,904
30-Mar-072.940010,2503.255010,248
2-Apr-072.89205,7723.18556,358
3-Apr-072.95057,4253.26007,901
4-Apr-072.959012,7683.260010,582
5-Apr-072.98309,1553.28257,193
6-Apr-073.04306,5753.34303,612
10-Apr-073.07115,3113.37514,665
11-Apr-073.185012,7933.530011,310
12-Apr-073.164113,2143.500810,934
13-Apr-073.17706,2743.53008,157
16-Apr-073.320010,1153.710011,546
17-Apr-073.413013,5753.840014,069
18-Apr-073.190019,2123.590019,559
19-Apr-073.020122,3323.425020,841
20-Apr-073.240014,3233.630011,364
23-Apr-073.430015,7073.826113,234
24-Apr-073.285522,2943.702015,793
25-Apr-073.36009,5273.77208,190
26-Apr-073.339812,0993.731010,037
27-Apr-073.339803.73100
2-May-073.339803.73100
3-May-073.52758,5313.93108,648
4-May-073.49208,3773.89004,841
7-May-073.37735,8123.78505,410
8-May-073.22509,6073.63217,434
9-May-073.170110,3803.57909,949
10-May-073.15309,4963.555510,051
11-May-073.110011,4613.51006,564
14-May-073.09504,9963.51983,565
15-May-073.05018,1913.47404,100
16-May-073.12006,0713.55005,026
17-May-073.15506,0623.59014,986
18-May-073.17704,3853.61003,646
21-May-073.08415,6033.56002,733
22-May-073.13004,6673.62003,089
23-May-073.16803,2453.63402,206
24-May-073.09653,4643.57002,476
25-May-073.08052,7953.57493,712
28-May-073.08003,0093.58702,470
29-May-073.07501,2703.5650876
30-May-073.01903,0763.49002,183
cotare si volum sif2 si sif5
&A
Page &P
SIF2 -scadenta iunie 07
volum SIF2 iunie 2007
DESIF2 iunie 2007-pret cotare si volum
sif5 spot futures
&A
Page &P
SIF5 -scadenta iunie 07
volum SIF5 iunie 2007
DESIF5 iunie 2007- pret cotare si volum
desif5
DataPret cotare dec 2006Curs BVB
02-Oct-063.16892.9500
03-Oct-063.16302.9600
04-Oct-063.22003.0700
05-Oct-063.21653.0700
06-Oct-063.21783.0800
09-Oct-063.24793.0700
10-Oct-063.22383.0200
11-Oct-063.20002.9600
12-Oct-063.25003.0000
13-Oct-063.30403.0600
16-Oct-063.46863.1500
17-Oct-063.57003.1900
18-Oct-063.53203.2000
19-Oct-063.59703.2400
20-Oct-063.64003.3000
23-Oct-063.57483.1900
24-Oct-063.64893.2100
25-Oct-063.76463.3300
26-Oct-063.85003.3700
27-Oct-063.85803.3300
30-Oct-063.76403.2400
31-Oct-063.85013.2800
01-Nov-064.00503.4900
02-Nov-063.95503.5800
03-Nov-063.96003.5800
06-Nov-063.95003.6800
07-Nov-063.70123.5500
08-Nov-063.42123.3100
09-Nov-063.52003.4800
10-Nov-063.55113.5000
13-Nov-063.28003.4000
14-Nov-063.43503.3300
15-Nov-063.43003.3700
16-Nov-063.25973.2400
17-Nov-063.48003.2500
20-Nov-063.65493.4800
21-Nov-063.58003.4900
22-Nov-063.60103.5300
23-Nov-063.57013.4800
24-Nov-063.64003.4600
27-Nov-063.57803.5000
28-Nov-063.42563.4000
29-Nov-063.34503.2800
30-Nov-063.37003.3000
04-Dec-063.07053.1000
05-Dec-063.09003.1000
06-Dec-063.17003.2000
07-Dec-063.13003.1800
08-Dec-063.12503.1400
11-Dec-063.14993.1300
12-Dec-063.15793.1300
13-Dec-063.20003.1700
14-Dec-063.37973.3400
15-Dec-063.35503.3700
18-Dec-063.40003.4200
19-Dec-063.45003.5300
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Pret cotare dec 2006
Curs BVB
DESIF5 scadenta decembrie 2006 vs SPOT