1, cash arbitrage
Arbitrage trading by investors based on the difference between the index futures contract and the basic index. When the price difference between the stock index futures contract price and the spot price reaches a certain level, investors can buy undervalued assets, sell overvalued assets, and conduct reverse trading after the price difference between them returns to a normal level, thus obtaining relatively stable returns. This kind of transaction is called long-term cash arbitrage.
2. Time arbitrage
Arbitrage trading by traders based on the price difference between futures contracts of the same variety listed on the same exchange but with different delivery months. For example, when the spread between the if 1009 contract and the if10/2 contract of the Shanghai and Shenzhen 300 stock index futures reaches a certain level, investors can carry out intertemporal arbitrage, which is an essential way to realize the arbitrage of stock index futures.
3. Cross-market arbitrage
Arbitrage trading based on the price difference between two futures contracts listed on different exchanges, the two futures contracts have the same variety (the same basic index) and the same delivery month. The most typical is the Nikkei 225 index. Stock index futures contracts based on this index are traded on relevant exchanges in Japan, Singapore and the United States. When the spread of one-month contracts in different exchanges reaches a certain level, investors can carry out cross-market arbitrage.
4. Cross-species arbitrage
Arbitrage trading based on the spread of futures contracts with the same delivery month but different basic indexes. Of course, there must be some correlation between the two basic indicators, and the higher the correlation, the better. These two kinds of futures contracts can be listed on the same futures exchange or on different exchanges, which is the way to realize stock index futures arbitrage.