Futures arbitrage means that investors use the price difference between different months, different markets and different commodities to buy or sell two related contracts at the same time, and profit from the fluctuation of the price difference. There are many kinds of futures arbitrage, among which forward futures arbitrage refers to what?

What does forward arbitrage of futures mean?

Forward arbitrage is an arbitrage way to buy near-month contracts and sell far-month contracts. The term forward comes from the forward market, that is, under normal circumstances, the futures price is higher than the spot price. Although the futures price should be higher than the spot price, this difference should have a degree (no arbitrage interval). If it exceeds the normal level, the spread between futures and cash will be reduced. If the spread is reduced, you can buy the near-month contract and sell the far-month contract to make a profit.

In futures arbitrage trading, it is necessary to have an arbitrage interval to arbitrage futures, but it is impossible to arbitrage in a no-arbitrage interval. The so-called no-arbitrage interval refers to the interval formed by moving the theoretical price of futures index up and down respectively after considering the transaction cost.