At present, among domestic stock market ETFs, Huaxia SSE 50ETF(5 10050) has the best liquidity. If it is a forward arbitrage operation, when the actual price of the SSE 50 index futures contract is higher than the spot ETF, the operation strategy is to buy ETF and sell the SSE 50 index futures contract. Our arbitrage space is the difference between index futures and spot ETF. When we opened the position, we had locked the price difference between them until the price of index futures expired.
The cost of forward arbitrage operation mainly includes: ① commission and impact cost of buying and selling ETF; (2) Commission and impact cost of buying and selling index futures contracts. When the arbitrage space is greater than the arbitrage cost, the actual operation can be carried out, so the upper limit of index futures arbitrage is: spot ETF price+transaction cost.
If it is a reverse arbitrage operation, when the actual price of index futures is lower than the theoretical price of index futures, the operation strategy is to sell ETF and buy index futures, and our arbitrage space is the difference between spot ETF and index futures. We locked the price difference between the two when we opened the position. When the stock index futures price converged to the spot price on the maturity date, we closed the position and successfully obtained the risk-free arbitrage space.
In the process of reverse arbitrage operation, the costs mainly include: ① commission and impact cost of buying and selling ETF; (2) Commission and impact cost of buying and selling index futures contracts. When the arbitrage space is greater than the arbitrage cost, the actual operation can be carried out, so the upper limit of index futures arbitrage is: spot ETF price-transaction cost.
In this way, we get the upper and lower bounds of the interval pricing model of index futures:
Upper limit: spot ETF price+transaction cost
Lower limit: spot ETF price-transaction cost
When the market price of index futures fluctuates between the upper and lower limits, we think that the price of index futures is reasonable, and there is no arbitrage space at this time. When the market price of index futures is greater than the given upper limit, there is an arbitrage opportunity and forward arbitrage can be carried out. The specific operation is to buy a certain share of ETF and sell index futures; When the market price of index futures is less than the given lower limit, reverse arbitrage can be carried out, that is, selling a certain share of ETF and buying index futures.
situation
On July 1 day of a certain year, the spot index of SSE 50 in the stock market was 1350, and the August contract price of SSE 50 stock index futures in the stock index futures market was 1420. Assuming the delivery date is August 20th (the third Friday of the month), is there any arbitrage opportunity in the current market during this period?
According to the steps of spot arbitrage of stock index futures:
(1) Apply the theoretical pricing model of stock index futures to calculate the reasonable price of current stock index futures contracts.
Assuming that the financing annual interest rate r=6%, the current dividend yield in the A-share market is around 2.6%, and the reasonable price of the current stock index futures contract is:
F =1350+1350× (6%-2.6% )× 51/365 =1356.4 (point)
(2) Calculate the no-arbitrage interval of stock index futures contracts and determine the arbitrage cost.
Assuming that the lending spread δr = 1%, the bilateral handling fee of futures contracts is equivalent to 0.2 index points; The market impact cost is 0.2 index points; The bilateral handling fee and market impact cost of stock trading are 1%, so they are converted into index points:
Borrowing cost =1350×1%× 51/365 =1.9 (point)
Bilateral handling fee and market impact cost of stock trading =1350x1%=13.5 (point)
Bilateral handling fee and market impact cost of futures trading = 0.2+0.2 = 0.4 (points)
Total TC =1.9+13.5+0.4 =15.8 (points)
It is found that the reasonable price of the futures contract is 1356.4 points, then:
Upper limit of no arbitrage opportunity interval =1356.4+15.8 =1372.2 (point)
Lower bound of arbitrage-free opportunity interval =1356.4-15.8 =1340.6 (point)
No arbitrage opportunity interval = [1340.6, 1372.2]
That is to say, when the August futures contract is above 1372.2, it will be profitable to carry out forward arbitrage or reverse arbitrage below 1340.6; Moreover, the higher the rise, the safer the forward arbitrage, and the deeper the fall, the safer the reverse arbitrage.
(3) Judge whether there is arbitrage opportunity.
At this time, the futures contract price in August is 1420 points, which is greater than 1372.2 points, so it can be determined that there is a positive arbitrage opportunity.
(4) Determine the trading scale, and conduct stock index futures contracts and stock trading at the same time.
Taking 1 lot futures contract as an example, it is assumed that the margin of stock index futures contract is 12%, and each index point represents 300 yuan. First, short the 1 hand contract on the stock index futures:
Required deposit =1420× 300×12 %×1= 51120 (yuan)
Arbitrage trading requires holding stock index futures contracts for a period of time. In order to prevent short-term price fluctuations, extra margin is needed and there is room for fund management. So you have to prepare 50 thousand yuan.
At the same time, buy SSE 50ETF in the spot market, and the corresponding SSE 50 index point is 1350. Assuming that the transaction price of the fund at this time is 1.350 yuan, the fund share to be bought is:
Need to buy SSE 50ETF share =1420× 300/1.350 = 315555.6 (copies)
Because buying a fund can only be an integer multiple of 100, which is about 3 15600.
(5) Looking for opportunities to end arbitrage.
When the stock index futures contract is delivered on August 20th at the latest, regardless of its settlement price, this arbitrage transaction can be profitable:
Profit point =1420-1372.2 = 47.8 (point)
Profit = 47.8× 300×1=14340 (yuan)
Although the arbitrage cost 527 180 yuan \ [5120+315600×1.350+50000 yuan (reserve fund) \], it only earned/kloc-.