In the book Quantitative Investment-Strategy and Technology (edited by Ding Peng, Electronic Industry Press, 20 12/ 1), the arbitrage trading modes are classified into four types, namely: stock index futures arbitrage, commodity futures arbitrage, statistics and option arbitrage. Option, also known as option, is a derivative financial instrument based on futures. The essence of option is to price the rights and obligations in the financial field separately, so that the transferee of the right can exercise his right to trade or not to trade within a specified time, and the obligor must perform it. When trading options, the buyer is called the buyer and the seller is called the seller. The buyer is the transferee of the right, and the seller is the obligor who must fulfill the buyer's right. The advantages of options are unlimited income and limited risk loss. Therefore, in many cases, using options instead of futures for short-selling and arbitrage trading will have less risk and higher returns than simply using futures arbitrage.