A few days ago, I wrote a case of using spot (stock) and futures index arbitrage:
★★★★★★★★★ Explain an example of stock index futures arbitrage operation ★★★★★★★
A Case Study on Hedging and Arbitrage with Stock Index Futures;
Now the price of Shanghai and Shenzhen 300 is 37 10 (intraday price in May 10).
But now the contract price of Shanghai and Shenzhen 300 stock index futures in 65438+February has risen to around 5900. That is to say, if you short 65438+February stock index futures at the price of 5900 points, then after the closing of the Shanghai and Shenzhen 300 index on the third Friday of 65438+February, the stock index futures contract in 65438+February will be settled at the closing price of that day. Assuming that the closing price of the day (65438+the third Friday in February) is 5500, the first-hand profit and loss of the contract you sold in early May is calculated as: 1 lot *(5900-5500) 300 yuan/spot = 120000.
Premise-suppose you buy 6.5438+0 million shares now, most of which are heavyweights of the Shanghai and Shenzhen 300 Index, which means that your stock will definitely rise when the market rises. And the ups and downs are similar. . . . . So now you can do it like this:
Hey, hey, now we boldly hold shares and dance with Zhuang! Based on the short term index of 65438+February, the investment deposit is about170,000 (assuming that the calculation method is 5900*300 yuan/point * 10%= 177000). So, you have effectively hedged the 17700000 shares you bought, and. ! And you can completely prevent the losses caused by the stock market decline in the future! ! ! ! ! ! !
Why can I? Suppose the stock market falls in a month or two, then the stock index will fall faster and more in June 5438+February, and the profit of the stock index can almost far exceed the shrinkage loss caused by your stock.
Suppose that on the third Friday of 65438+February, the Shanghai and Shenzhen 300 Index rose to 5800 points, and the stock index was finally fixed at 5800 points, then your stock must have earned a lot, and the futures index also earned: (5900-5800)X300=30000 yuan.
If the Shanghai and Shenzhen 300 Index rises to 6000 points, then the stock return is roughly calculated as: (6000-37 10)/37 10 times 100000, and the result is = 617,000. Loss on stock index futures: (6000-5900)*300 yuan/point = 30,000. After hedging, the profit is still as high as 587 thousand! ! ! ! !
Because of the use of margin system, futures investment is better than the financing (commonly known as overdraft) in stock trading in previous years, which is 10 times financing! So if the operation is not good, the risk is great. For example, in the above case, just buying a stock index can hedge or arbitrage the spot of 654.38+0 million. The investment is only 6.5438+0.7 million. . . . . .
The full name of stock index futures is stock price index futures, which can also be called stock index futures and futures index. It refers to the standardized futures contract with the stock index as the subject matter. The two sides agreed that on a specific date in the future, they can buy and sell the underlying index according to the size of the stock index determined in advance. As a type of futures trading, stock index futures trading has basically the same characteristics and processes as ordinary commodity futures trading.
Basic characteristics of stock index futures
1. Common characteristics of stock index futures, other financial futures and commodity futures
Contract standardization. The standardization of futures contracts means that all the terms of futures contracts except the price are predetermined and have the characteristics of standardization. Futures trading is conducted by buying and selling standardized futures contracts.
Centralized trading. The futures market is a highly organized market, with strict management system, and futures trading is completed centrally in the futures exchange.
Hedging mechanism. Futures trading can end the performance responsibility through reverse hedging operation.
Daily debt-free settlement system. After the daily trading, the Exchange will adjust the margin accounts of each member according to the settlement price of the day to reflect the profit or loss of investors. If the price changes in a direction that is not conducive to investors' positions, investors must add margin after daily settlement. If the margin is insufficient, the investor's position may be forced to close.
Leverage effect. Stock index futures use margin trading. Since the amount of margin to be paid is determined according to the market value of the traded index futures, the exchange will decide whether to add margin or withdraw the excess according to the change of market price.
2. The uniqueness of stock index futures.
The subject matter of stock index futures is a specific stock index, and the quotation unit is the index point.
The value of a contract is expressed by the product of a currency multiplier and the quotation of a stock index.
The delivery of stock index futures adopts cash delivery, not through the delivery of stocks, but through the settlement of price differences to settle positions in cash.
The difference between stock index futures and commodity futures trading
The target index is different. The subject matter of stock index futures is a specific stock price index, not a real target asset; The object of commodity futures trading is goods with physical form.
Different delivery methods. Stock index futures are delivered in cash, and positions are settled in cash by clearing the difference on the delivery date; On the other hand, commodity futures are delivered in kind and settled by the transfer of physical ownership on the delivery date.
The standardization degree of contract expiration date is different. The maturity date of stock index futures contracts is standardized, generally in March, June, September, 65438+February, etc. The maturity date of commodity futures contracts varies according to the characteristics of commodities.
The cost of holding is different. The holding cost of stock index futures is mainly financing cost, and there is no physical storage cost. The stock you hold sometimes pays dividends. If the dividend exceeds the financing cost, there will be holding income. The holding cost of commodity futures includes storage cost, transportation cost and financing cost. The holding cost of stock index futures is lower than that of commodity futures.
Speculation is different. Stock index futures are more sensitive to external factors than commodity futures, and the price fluctuates more frequently and violently, so stock index futures are more speculative than commodity futures.