Futures arbitrage refers to arbitrage by using the fluctuation of price difference between related futures contracts. After using historical data and actual storage fees, transportation fees, processing fees, etc. to determine a reasonable price difference. When the price difference between related futures contracts deviates from a reasonable range, arbitrage can be carried out in this way:

1. When the price difference is too large, you can buy low-priced contracts and sell high-priced contracts at the same time. Once the spread narrows, you can make a profit.

2. When the price difference is too small, you can sell low-priced contracts and buy high-priced contracts. Once the price difference becomes larger, you can make a profit.

There are generally two types of futures arbitrage methods:

The first is spot arbitrage, which refers to arbitrage by using the unreasonable price difference between the futures market and the spot market of the same commodity. Arbitrators construct arbitrage portfolio of spot and futures.

In order to expect the basis to return to a reasonable value range in the future, and obtain arbitrage profits. The second is cross-month arbitrage, which is most commonly used to profit from the relative change of the price difference between different delivery months of the same commodity futures contract.