What is the principle of futures arbitrage?
Futures arbitrage is to profit from the fluctuation of the price difference between two related futures contracts. The principle is: when the spread is expected to expand, you can short the futures with lower prices, and at this time do more futures with higher prices, and you can close your positions and make profits at the same time after the spread is expanded; When the spread is expected to narrow, you can short the futures with higher prices and do more futures with lower prices.
Futures arbitrage does not arbitrage any two futures, but two related futures. According to correlation, futures arbitrage can be divided into three types: inter-period arbitrage, cross-market arbitrage and inter-period arbitrage.
1 intertemporal arbitrage: the arbitrage of two contracts of the same futures product in different months.
Cross-market arbitrage: the arbitrage behavior of the same futures contract listed on different exchanges.
3 Cross-variety arbitrage: generally, it is to arbitrage two futures varieties with upstream and downstream relationship, complementary relationship and substitution relationship.