Refers to buying and selling two stock index futures contracts with different maturities at the same time. The reason why traders carry out arbitrage trading is mainly because the risk of arbitrage is low. The main function of arbitrage is to help distorted market prices return to normal levels, and the other is to enhance market liquidity.

Generally speaking, the arbitrage of stock index futures can be divided into three categories: intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage.

Cross-market arbitrage is an arbitrage transaction between different markets. When the same stock index futures contract is traded in two or more exchanges, there is a certain price difference between the contracts due to the time zone and geographical differences between regions. Intertemporal arbitrage is one of the most common arbitrage transactions, which makes profits by hedging the same stock index futures with abnormal price changes between different delivery months. Cross-variety arbitrage refers to trading by using the price difference between two different but related index futures products. Cross-variety arbitrage is a trading form of buying and selling stock index futures contracts with the same delivery month but different varieties at the same time.

Second, mode two speculation.

The use of the word "speculation" in futures trading refers to the trading behavior of grasping the opportunity according to the judgment of the market and making use of the price difference in the market to profit from it. Speculation enhances the liquidity of the market and bears the risk of hedging transaction transfer, which is the guarantee for the normal operation of the stock index futures market. The purpose of speculation is very direct, that is, to obtain the profit of price difference. Speculators can "short" or "short".

According to the length of holding stock index futures contracts, speculation can be divided into three categories: the first category is short-term traders, who generally buy and sell stock index futures on the same day or at a certain trading time, and do not hold positions overnight; The second is long-term speculators. After buying or selling stock index futures contracts, these traders usually hold the contracts for days, weeks or even months, and then hedge the contracts when the prices are favorable to them. The third category is profit-seekers. Their trick is to take advantage of small price changes to make small profits. They can make multiple rounds of trading in one day.

Third, the model of three sets of hedging.

Hedging is to buy (sell) stock index futures contracts with the same or similar amount as the spot market, but in the opposite direction, so as to compensate the actual price risk brought by the price change of the spot market at a certain moment in the future by selling (buying) futures contracts.

The most basic types of hedging can be divided into selling hedging and buying hedging. Selling hedging refers to selling stock index futures contracts through the futures market to prevent losses caused by falling spot prices of stocks. Hedging is the driving force of the futures market. Buying hedging refers to buying stock index futures contracts through the futures market to prevent losses due to the rise of stock spot prices;