1, primary and secondary market arbitrage
The traditional ETF trading mechanism has two layers: first, investors can purchase and redeem ETF shares in the primary market at any time during trading hours; Secondly, in the secondary market, ETFs are listed on the exchange, and investors can buy and sell ETF shares at the market price.
When the secondary market price of ETF is higher than its fund share reference net value (IOPV) to a certain extent, investors can buy ETF shares at a relatively low price and sell them in the secondary market at a higher price to obtain arbitrage income; When the secondary market price of ETF is lower than IOPV by a certain margin, investors can operate in reverse. This arbitrage model requires investors to have a certain capital base, and it is impossible to operate with too little capital.
2. Arbitrage between futures spot markets
Arbitrage between futures spot markets is to profit from the deviation between index futures and ETF (representing a basket of stock spot). Such as arbitrage with the Shanghai and Shenzhen 300 index futures as the trading target. Some investors in the market will use the ETF with high synchronization and occasional deviation between the futures spot market and the Shanghai and Shenzhen 300 Index for arbitrage.
3. Arbitrage between different linked indices
If investors judge that although the overall direction of the market is upward, the prospect of ETF pegged to industry A is better than that pegged to industry B, investors can get the difference between the two ETFs by selling ETFs pegged to industry B and buying ETFs pegged to industry A at the same time.