Intertemporal arbitrage without cash bonds

Intertemporal arbitrage trading is the most common in treasury bond futures arbitrage trading, which refers to the trading method in which traders profit from the price difference between futures contracts with the same subject matter but different maturity months.

Figure 1 is the 5-minute K-line chart of 10-year treasury bond futures. The February 2020 contract (top) is superimposed with the March 202 1 year contract (bottom). As can be seen from the figure, the ups and downs are similar. Fig. 2 is the price difference chart of June contract closing price of 65438+February contract closing price minus March contract closing price.

Figure 1 10-year treasury bond futures February 2020 contract and March 20021year contract.

Figure 2 10-year treasury bond futures February 2020 and March 20265438 contracts +0.

As can be seen from the spread chart, in less than two trading days, the previous contract is sometimes 0.47 yuan higher than the latter contract, and sometimes it is only 0.37 yuan higher, and the fluctuation range is only about 0. 1 yuan. If you look at the price difference chart of 1 minute, the fluctuation will be even greater.

If you buy the previous contract when the price difference is 0.39 yuan and sell the latter contract at the same time, the price difference is 0.40 yuan. When the price difference rises to 0.45 yuan, the price difference is 0.44 yuan and you earn 0.04 yuan. The profit of that contract = 0.04×100000/100 = 400 yuan (excluding the handling fee). Of course, if you sell at a price difference of 0.44 yuan first (sell the previous contract and buy the latter contract), and then close the position at a price difference of 0.40 yuan, the result is the same.

Note that according to the stipulation that CICC only accepts unilateral margin of two-way positions, the capital cost pressure of carry arbitrage is still relatively small. In addition, the most important thing in intertemporal spread arbitrage is the choice of arbitrage opportunities and the judgment of spread direction. There are many reasons that affect communication. Although some reasons can be analyzed afterwards, there are still many spreads that cannot be found or can be attributed to random phenomena. Therefore, the experience of traders is very important in trading. Finally, it should be noted that the spread chart above only plays the role of tracking and observation, and it cannot cooperate with special trading software in actual trading. In arbitrage trading, specialized trading software is essential.

B

Cross-variety arbitrage of treasury bond futures

Cross-species arbitrage is carried out between treasury bond futures contracts with the same exchange and the same maturity month, but with different contract targets, and profits are made by using the price difference of the contracts.

As we know, the key factor that dominates the price fluctuation of treasury bonds futures is market interest rate. The rise in market interest rates is not good for treasury bonds futures. At this time, 2-year, 5-year and 10-year treasury bond futures will all fall. On the contrary, the decline in market interest rates is good for treasury bonds futures, and 2-year, 5-year or 10-year treasury bonds futures will all rise. However, because the remaining time periods of 2-year, 5-year and 10-year treasury bonds futures are not equal, the same interest rate fluctuations have different effects on them, so when interest rates fall, the prices of some treasury bonds futures will rise faster. It is not difficult to imagine that if we look at the price difference between two futures contracts, we will see that the price difference sometimes widens and sometimes narrows. This provides opportunities for traders engaged in cross-species arbitrage.

Let's take a look at Figure 3, which is the 30-minute price difference between the two-year treasury bond futures price due on June 65438+February 2020 and the 10-year treasury bond futures price (the former minus the latter), from June 1 to the end of August 2020. As can be seen from the figure, the price difference reaches 2.6 yuan when it is high, and only 0.5 yuan when it is low, and the price difference is higher than that of 2 yuan. In fact, if you shorten the time period, for example, use a spread chart with a period of 1 minute, you will see a larger range of spread fluctuations.

Figure 32-year treasury bond futures and 10-year treasury bond futures spread chart.

If cross-species arbitrageurs buy five 2-year treasury bonds futures contracts and sell 10 10 treasury bonds futures contracts respectively when the spread is 0.9 yuan (note that the face value of 2-year treasury bonds futures contracts is 2 million yuan), and the trading spread is 1.0 yuan, 1 month later, they will close their positions when the spread is 2.5 yuan. Profit per contract 1.5 yuan's total revenue =1.5×10×1000000100 =15000000 yuan (excluding fees). It is worth noting that the cross-species arbitrage exchange of treasury bonds futures only accepts unilateral margin.