Let's talk about spot arbitrage first.
Spot arbitrage refers to the arbitrage between stock index futures and spot index.
Spot arbitrage has two opportunities:
1, the position of stock index futures is greater than the spot index and exceeds a certain range, so you can carry out forward arbitrage, buy the spot index and sell the stock index futures.
2. The position of stock index futures is smaller than the spot index, and if it exceeds a certain degree, you can carry out reverse arbitrage by buying stock index futures and selling the spot index.
Selling spot index needs to use securities lending to achieve the purpose of selling spot, which is complicated and inconvenient to operate. Therefore, in practice, it is difficult to implement the reverse arbitrage of stock index futures.
In other words, when the position of stock index futures is less than the spot index, the arbitrage operation will be more difficult.
We mainly study the forward arbitrage technology of "the point of stock index futures is greater than the point of spot index"
The arbitrage risk of commodity futures is low, but it is not completely zero. The risk of arbitrage is mainly caused by the difficulty of spot delivery. Arbitrage of stock index futures, because it is cash delivery, delivery is very convenient, everyone can deliver, completely breaking the obstacles of delivery, making the arbitrage between stock index futures and spot index completely zero risk.
It is precisely because of the cash delivery system that the arbitrage technology of stock index futures is much simpler than that of commodity futures. Because the arbitrage of stock index futures can be calculated by mathematical formula. Let's talk about how to calculate first.
(A) the future reasonable price difference calculation method
As long as the position of stock index futures is higher than the spot index, and the higher position is greater than the handling fee and interest expense of funds, the arbitrage of "buying spot index funds and selling stock index futures contracts" can be carried out.
The specific formula is:
(contract point-spot index) ×300 yuan
>
Handling fee for buying and selling stock index futures+handling fee for buying and selling spot index funds+interest on all funds used.
As long as this condition is met, risk-free arbitrage can be carried out.
At present, spot arbitrage needs 200,000 yuan to sell stock index futures, 6,543.8+0,000 yuan to buy spot index ETF funds, and 6,543.8+0.2 million yuan to buy a * * *. 1.2000 One-year loan interest is about 58300. (Calculated at half-year loan interest rate)
Divide the interest of 58,300 yuan by 365 days, and the daily interest is 160 yuan.
Futures commission: opening position 150, closing position 150, * * 300 yuan.
The handling fee for ETF trading in the secondary market is the same as that for stock trading, except that there is no stamp duty and transfer fees, and the lowest 5 yuan, we charge one thousandth and two thousandths back and forth. Buying an ETF index fund of 654.38+00,000 yuan requires a handling fee of 2000 yuan.
The specific formula is: 2000+300+ 160× days, for example, there are still 30 days due for delivery, which is 2000+300+160× 30 = 7100.
Every 1 point of stock index futures represents 300 yuan, and 7 100 is divided by 300=23.6 points.
In other words, if the point between the contract to be delivered in the last 30 days and the Shanghai and Shenzhen 300 Index exceeds 23.6 points, the arbitrage will not lose money, which is the break-even point of the 30-day arbitrage.
However, there is no money to make. To make money, the price difference must be greater than 23.6. If it is more than twice, say 50 points, it will be a good arbitrage opportunity.
Breakeven point of 2 months and 60 days: (2000+300+ 160×60) divided by 300=40 points.
Break-even point for 3 months and 90 days: (2000+300+ 160×90) divided by 300=56 points.
6 months, breakeven point 180 days: (2000+300+ 160× 180) divided by 300= 104 points.
Break-even point for 7 months and 2 10 days: (2000+300+ 160×2 10) divided by 300= 120 points.
Arbitrage, we also need to pay attention to two points:
1, the delivery date of each month is different, and the specific days need to be calculated.
2. The above price difference is reasonable, and arbitrage can only be carried out if it exceeds this price difference. If the number of points exceeds twice the reasonable number, the annual zero-risk arbitrage profit will exceed 10%.
You can talk to me in detail.