Arbit Raju l

ARBITRAJULPrezentareRolul arbitrajului n piaExemplu de arbitraj

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.

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.

ARBITRAJUL

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.

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


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



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


volum SIF2 iunie 2007


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



DESIF2 iunie 2007-pret cotare si volum

sif5 spot futures

&A

Page &P



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

Arbit Raju l

Documents

Transcript of Arbit Raju l