Even if it is arbitrage, the liquidity problem in the futures market will bring risks to the operation of products. If the liquidity of one market is insufficient, or the two markets or two contracts of arbitrage are relatively asymmetrical in depth and breadth, there will be problems in the scale, opening and appearance of arbitrage, and the book profit will be greatly different from the actual profit, and even the book profit will turn into actual loss.
For example, in the domestic futures market, a variety usually has only one month as the main month (referring to the month with the largest trading volume and positions). If the contract interval of futures products is long, the risk of liquidity asymmetry between short-term contracts and long-term contracts still exists.
In the current risk control measures in the futures market, apart from the position limit and the large declaration system, exchanges and the only futures trading intermediary-futures companies can take measures to increase margin to limit traders' positions in the face of drastic market changes. When the trader's margin is not enough to support the position due to adverse changes in the market, the futures company can also force the liquidation of the customer, but the forced liquidation often only involves the main month. "Therefore, it is very likely that the original arbitrage position will become a risky open position, and arbitrage trading will be forced to become unilateral speculation, and this risk is unpredictable.
Therefore, even the arbitrage trading of commodity futures will face risks such as asymmetric liquidity. Commodity futures investors not only pay attention to the rise and fall of commodity prices, but also need to fully evaluate other risk factors in the whole commodity market. Although the fiery performance of the commodity market is mouth-watering under the background of inflation, it is still the first thing to do to correctly estimate the risk tolerance of investors.