Arbitrage: buying and selling two different futures contracts at the same time Traders buy contracts that they think are "cheap" and sell those "high-priced" contracts at the same time, benefiting from the changing relationship between the prices of the two contracts. In arbitrage, traders are concerned about the mutual price relationship between contracts, not the absolute price level.

Give an example of futures arbitrage:

If a stock is quoted as 40 yuan, the stock will not pay any dividend within 2 years; 2-year futures quote 50 yuan. An investor borrows 4000 yuan (including compound interest) at an annual interest rate of 65,438+00% and buys 65,438+000 shares. At the same time, sell 100 2-year futures. Two years later, the futures contract was delivered. How much can investors earn?

Answer:

Basic spot stock market: 40 futures market: 50 spread is 10=50-40.

The price difference between the futures market and the spot market on the maturity date is 0.

When the spread becomes smaller, the selling arbitrage income 10* 100 (shares) = 1000 yuan.

Capital cost (loan interest) 4000 * (1+10%) (1+10%)-4000 = 840 yuan.

The final income is 1000-840= 160 yuan.