Reduce the Uncertainty of Commodity Futures Delivery Return

In China, commodity futures delivery must pay the value-added-tax. It leads to some uncertainty about the arbitrage between futures and cash markets. The investors who take or receive delivery may make an additional profit or incur an additional loss accordingly. This article analyzes this problem and gives a solution. To reduce the uncertainty, investors can make an offsetting by selling or buying some futures contracts at opposite direction simultaneously when they sell or buy futures contracts.