CME상해골드선물(SGU)-COMEX골드선물(GC) 스프레드

상해골드프리미엄을 어떻게 측정하는지 궁금하다.

COMEX 금선물(GC)와 CME 상해금선물USD(SGU)간의 스프레드를 프록시로 써도 되지 싶긴한데,

SGE(상해금거래소)고시 금 가격이랑 London OTC bullion 시장에서 고시하는 금 가격의 차이가 아마 가장 근본이지 싶다. 

SGU는 나오지 얼마안되서 데이터가 별로 없다. 

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https://www.cmegroup.com/education/articles-and-reports/trading-the-spread-between-sge-gold-and-comex.html

Trading the spread between SGE Gold and COMEX - CME Group

"The spread between GC and the SGE PM benchmark is more volatile and is usually negative, meaning that SGE spot trades at a premium to the prevalent GC price. The Chinese gold market is not fully liberalized, and bullion banks require special licenses to import gold into the country. A premium for SGE gold could be warranted if tight import restrictions limit the supply of gold into the country. In addition, China is a net importer, and the price set locally needs to attract gold into China."

Higher volatility and dispersion of the Shanghai/GC spread shows that the cross-market price discovery between onshore Chinese and international marketplaces is currently not as efficient as OTC London/GC. Many of the international market participants do not have direct access to the Chinese exchanges, and vice versa. By using both COMEX gold futures and the new COMEX Shanghai Gold futures contracts, customers can directly trade the price difference between the two locations on the same platform for the first time. As both GC gold and the new Shanghai Gold Futures are cleared via CME Clearing, margin offsets between the two products are applied and can make trading the spread capital efficient.

 

https://www.cmegroup.com/markets/metals/precious/shanghai-gold-usd.contractSpecs.html

Shanghai Gold (USD) Futures Contract Specs - CME Group