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外汇市场上的利差交易意味着同时开展两笔不同结算日期的相反交易,即结束已开设交易的同时开设另一笔交易。因此利差交易是金额相同、方向相反且结算日期不同的两笔交易的组合。此类操作的主要目的是让开设的交易可以隔夜滚动到次日。

在利差交易的货币对中买入的货币加入存款,卖出的货币记为赊欠。由于持有头寸的时间预先并不知道,存贷的精确计算在开设的头寸滚存时完成。这一策略只有在经纪商支持掉期交易时才能使用。掉期的存入和扣除是以存款和贷款利率之间的差别为基础的。如果存款利率高于贷款利率,掉期将存入交易账户。如果贷款利率高于存款利率,掉期将从交易账户结余中扣除。

让我们使用央行设定的利率为例计算掉期。给出欧洲央行的利率是0.05%;美国的是0.25%。买卖1手EUR/USD (在InstaForex一手等于10000单位的基础货币,在本例中即欧元),价位为1.2702。年总掉期是((0.05% – 0.25%)* 10000 * 1.2702) / 100% = -25.404美元;即 -25.404美元/365 = -0.0696美元/24小时。如果我们开设一个EUR/USD的多头头寸(买入),那么我们在0.25%的年利率下借入美元,并且在0.05%的年利率下存入欧元。贷款利率高于存款利率,因此交易账户每日将被扣除0.0696美元。

EUR/USD空头(卖出)头寸的开设将发生相反的情况:欧元以0.05%的年利率借入,而美元按0.25%的年利率存入。存款利率高于贷款利率,因此每天有0.0696美元加入交易账户。

周三到周四之间的掉期是平常的三倍,因为周三开设头寸的结算日期是周五。当我们在周三到周四之间持有过夜头寸时,结算日期不是1天,而是3天,即周一。因此周三周四之间的掉期按三倍计算。利差交易策略对利率差别巨大的货币对有很好的效果,例如NZD/JPY、AUD/JPY等。请注意,计算时使用了2014年十月的真实数据,其可能不同于您阅读本文时的数据。

查看本视频中无风险套利交易的手把手指导:

 
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