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回到2020年，在WTI原油储存危机最严重的时候，我自作聪明地尝试利用正价差进行交易。想法很简单：通过展期期货合约，从近月和远月之间的价差中获利，押注实物储存问题在好转之前会变得更糟。我当时关注新闻，看到满载原油的油轮停滞不前，陆上储存设施也快满了。这感觉就像一个低风险的套利机会。我的错误是什么？我没有完全意识到期货价格能跌到多负，也没有充分认识到实际交割的巨大物流噩梦。当合约开始出现负值，即使只是短时间，也给我敲响了警钟，让我明白那些“显而易见”的交易可能会有你从未想象到的尾部风险。幸运的是，我没有在-$40时被套牢，但平仓那些本应是“安全”的正价差展期头寸所造成的损失，给我上了一堂严酷的课，让我明白要理解商品交易的每一个环节，而不仅仅是近月价格走势。即使你只交易纸面合约，也必须始终考虑实物现实。那些看似唾手可得的钱很快就蒸发了。
The contango play seemed obvious then, but the execution was tougher than it looked. Everyone saw the same opportunity, which always complicates things.
It's easy to get caught up in those types of plays when the narrative is so strong. The risk of the contango breaking down, or storage being less constrained than anticipated, always looms large. Did you manage to exit without taking a massive hit?
That contango play was certainly tempting on paper, especially with the visuals of tankers at sea. However, the execution risks in commodity markets, particularly during extreme conditions, often outweigh the apparent simplicity of the arbitrage. It's a classic case of fundamentals getting steamrolled by logistics.
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