Stock index futures will bring many arbitrage opportunities after listing, and investors should distinguish their risk-return characteristics while grasping these arbitrage opportunities. Settlement day arbitrage is a kind of arbitrage with the least risk, but its probability is very low, the yield of each arbitrage is very small, and the amount of funds available for arbitrage is also very small.
At the initial stage of stock index futures listing, it is expected that the yield of futures arbitrage will be 1% to 2%. As the stock index futures market gradually reaches equilibrium, futures arbitrage may only appear with major events. Considering the impact cost, the size of a single fund using stock portfolio for spot arbitrage should be controlled within 300 million yuan, and the size of a single fund using index fund to copy the index should be controlled within 5 million yuan.
Arbitrage method of stock index futures;
1, settlement date arbitrage
2. Spot arbitrage
3. Intertemporal arbitrage
Intertemporal arbitrage has a mechanism to make up for losses because of the conversion to current arbitrage, and the risk is slightly higher than current arbitrage. Considering the long time span between contracts, it is expected that there will be an intertemporal arbitrage opportunity of 3% to 5% single profit in the initial stage of listing.
4. Alpha arbitrage:
It is a typical arbitrage model with high returns and high risks. This arbitrage is only suitable for investors who have the ability to choose stable alpha securities products, and investors should combine the market driver monitoring system for analysis when doing alpha arbitrage.
Alpha arbitrage, because of its high risk and high return, may become the mainstream arbitrage mode when the stock index futures market returns to equilibrium and the opportunities for low-risk arbitrage decrease. In short, investors should choose the most suitable arbitrage method according to their own situation to improve unit income.