这两天引爆市场的一条消息是，中国银行的原油宝投资者亏掉了本金，还倒欠银行一大笔钱。这种情况是怎么出现的？2019年， Christopher Leonard在他的KochLand这本书里，就对这种情况进行了一些描述。粗浅介绍如下：
Oil fell from nearly $145 a barrel to roughly $35 a barrel in a matter of months. The reason was oversupply. When prices were high, oil companies ran at full throttle to produce as much crude as possible. When demand collapsed, all that oil was stranded, with no one to buy it. This oversupply created an obscure follow-on effect that was only visible to people like Koch’s oil traders in Houston. The markets entered a rare period that the traders called “contango.” Koch looked for gaps in the market, and this was one of the biggest in years.
在几个月的时间里，原油从145美金一桶，跌到了35美金一桶。导致这个情况的原因是供给过剩。当价格高的时候，生产商马力全开尽可能多的生产石油。当需求不足的时候，这些石油找到不买家，就只能搁置在那里。这种供应过剩带来了潜在的交易机会。这种机会，只有Koch在休斯顿的原油交易员才能发现。市场此时进入了被成为“期货溢价”的特殊时期。Koch在市场上寻找交易的空间，而这正是难得的好时机。
It’s difficult for outsiders to even understand the nature of a contango market. In essence, the price of oil in spot markets, which reflect the price of oil today, tends to be lower than the price of oil to be delivered in the future. This is attributable to a host of complex reasons. In the relatively rare scenario when oil today is cheaper than oil in the future, the markets are said to be in contango, and it doesn’t tend to last very long. Usually the market reverts to its normal state of cheaper oil in the future.
外行很难理解“期货溢价”市场。本质上，这是指：现货市场（今天的油）价格比较比期货市场（未来的油）低。导致这种情况出现的原因比较复杂。一旦出现了这种比较少见的情况，就表示市场进入“期货溢价”阶段。这种情况不会持续很久，通常市场很快就会调整到正常状态。
When the market goes into contango, it presents a whole host of ways for Koch’s traders to profit. In late 2008, the potential profits were extraordinary. The size of the contango became enormous—the gap between oil sold today and oil sold for delivery a few months out became roughly $8 a barrel. A more common level of contango would be in the range of $2 or $4 a barrel. And the gap wasn’t just wide, it was long-lasting. The markets remained in contango for several months.
当市场进入这个状态的时候，就给了Koch的交易员大量获利的办法。2008年晚期，潜在的收益巨大。期货溢价的空间，现货和期货的价差到了8美元每桶。通常情况下的溢价差是2或者4美元每桶。这个交易的空间不仅大，而且持续时间长——有几个月之久。
Koch Industries, and a handful of other giant oil producers, were able to exploit this gap in a special way. Because Koch Industries traded in both the futures markets and the physical markets, it could execute something called the “contango storage play.” One former senior trader within Koch Supply & Trading called the contango storage play a “bread-and-butter” strategy for Koch’s crude oil department.
Koch和其他少数炼油巨头可以通过特殊的方式利用这个机会来获利。原因是：Koch同时在期货和现货市场交易，他可以用期货溢价存储策略来获利。Koch石油交易公司的前高层说，这是一个非常实用的策略。
The mechanics of the contango storage play seem deceptively simple. A trader at Koch Industries buys oil in the spot markets, where it is cheap. Then, the trader sells oil for delivery in the futures markets, where oil is more expensive. When the contango gap is $8, it is easy to picture how quickly the profits pile up. The trader can buy oil for $35 and sell it for $43, almost instantly.
这个策略看上去非常简单。他们在现货市场低价买入，然后到期货市场高价卖出。当价差是8美元每桶的时候，可以想象获利的速度有多快。交易员瞬间就能完成35买入，43卖出的交易。
There is a catch, however. To execute the contango storage play, the trader must be able to do something that most traders can’t do—they must be able to deliver the actual, physical oil in that future month. If a typical oil speculator—who did not own an oil refinery, storage tanks, or an oil tanker ship—tried to execute the contango storage trade, they could find themselves shut out. Executing the contango storage trade didn’t just require deep knowledge of arcane shipping markets and transportation law; it also required deep relationships in the private world of oil production. “You have to have a lot of support systems to take advantage of it,” Beckett said. Koch had that support system. Koch could deliver the oil.
这里有一个关键点。要使用这个策略，交易员需要能够实际完成石油在物理上的交割。大多数交易员都不具备这个能力。如果没有炼油厂、储油罐或者运油船，投机者们根本就无法完成这个交易。使用这个策略，不仅需要对复杂的运输市场和规则有深厚的了解，还需要在生产方面有深厚的背景。需要有足够多的支持系统，才能抓住这个机会。Koch有这些系统，有能力交付这些石油。
从上述描述，以及中国银行原油宝的情况来看， 5月原油期货合约即将到期，进入交割时期，此时的期货可以被视为现货。当油价到-37美元每桶的时候，和6约的期货价格20美元每桶之间，有着57美元每桶的差价。如同2008年晚期，koch面临的情况一样，这是一个执行"期货溢价存储“获利的机会。但也正如上文说的那样，对于没有“足够多支持系统”的投资者，这个获利的机会反倒变成了一个巨大的陷阱。
假设你投入1000美元（大约7000人民币），在1美元每桶的价格时买入了1000桶，当价格跌倒了-37的时候，意味着你要付出37000美元，才能卖掉这些原油。而中国银行要按照-37来结算，这个时候，你亏了本金1000美元，还欠银行36000美元。
如果你像Koch一样，那这还是个获利的机会。
P.S. 中国银行原油宝 和 投资客户之间的关系，是投资中介，还是做市商，由于缺乏第一手资料，有些不好判定。
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