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What is futures arbitrage? What are the risks of futures arbitrage?
1. In the process of arbitrage operation, there will be additional risks of index futures margin. If the investment funds are not properly scheduled, the arbitrage position of stock index futures may be forced to be released in advance, leading to arbitrage failure. Therefore, it is necessary to maintain a certain cash ratio, master the fund scheduling, and avoid the additional risk of the deposit.

2. In reverse arbitrage (buying index futures and selling spot index at the initial stage), if the corresponding operation is short selling, the arbitrage operation will face the risk of additional margin after the stock rises sharply after short selling the spot index, thus increasing capital investment and diluting profits. In addition, in the process of arbitrage, there may be some situations such as suspension of trading, ex-rights, ex-interest, etc., which leads to the forced replenishment of stocks with insufficient margin, exposing some stocks in the simulated stock portfolio to risks and hindering arbitrage trading.

3. When arbitrage is carried out, the arbitrage position must be constructed quickly, otherwise the relationship between futures and spot will change. However, buying or selling the spot on a large scale in a short period of time will cause an imbalance between supply and demand, which will affect the change of spot price and lead to the difference between the final transaction price and the buying and selling price, that is, the market impact cost. Therefore, due to the inconsistent liquidity of different stocks, it is necessary to estimate the market impact cost. If this cost is underestimated, arbitrage may turn into hedging loss, so properly controlling the market impact cost will be one of the keys to the success of arbitrage.

4. When using the holding cost model and futures expectation theory to construct arbitrage operation, the uncertainty of dividend distribution becomes a risk factor in arbitrage operation, because dividend expectation becomes an important part of futures theoretical price estimation.