Inter-period arbitrage involves constructing equal quantity, opposite direction trading positions in different contract months of the same futures variety, ultimately obtaining profits through hedging or delivery completion.

Contracts for the same commodity with different delivery months have a reasonable relationship or correlation in their prices, which may stem from factors such as seasonality, supply and demand, inventory, and costs. Once this relationship deviates, arbitrage opportunities arise, such as buying low-priced contracts in one delivery month and selling high-priced contracts in another delivery month to obtain risk-free returns.

There are various arbitrage methods. The simulated delivery method calculates the simulated delivery arbitrage cost, closing positions to profit when the price spread returns to a reasonable range. The cointegration test method checks for cointegration between two series; if there is a relationship, arbitrage can occur. The price spread method observes the fluctuations in futures contract price spreads, aiming to profit from the price difference by establishing positions and ending transactions through hedging or delivery.

The timing of opening and closing positions also varies between long and short positions. For long-term arbitrage, open long positions below the moving average about six months before the delivery month, and close the position when profits retrace around 30%. For short-term arbitrage, open positions on the intraday average price below when the price spread is widening, and close the position above the intraday average price.

It is important to note that while inter-period arbitrage carries low risk, reasonable stop-loss measures are indispensable. The choice between long or short arbitrage, and the timing of opening and closing positions, should be based on personal judgment and market conditions.

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