The width of the no-arbitrage interval depends on the handling fee and impact cost.

The impact cost depends on the correlation degree of the stocks in the index. The higher the correlation, the greater the impact cost (the more you buy, the faster the index rises and the stock price is very sensitive). There are many stocks in A, and the suspension of stocks can only explain the low correlation, which is not the reason for the expansion of the no-arbitrage interval. However, it is mentioned in D that IC500 lacks spot short-selling tools, so it can only construct a spot portfolio-buy stocks in the index! As the spot target of IC500 futures, how much is the handling fee?

B mainly explains the correlation of individual stocks in the index, and the concentration of the industry increases the impact cost and the width of the no-arbitrage interval.

Good liquidity and low impact cost.