Margin additional risk: As the stock index futures market implements the daily debt-free settlement system, arbitrageurs must bear the risk of daily margin changes. When the margin balance is lower than the maintenance margin, investors should make up to the original margin level before the next business day, and those who fail to make up will be forced to close their positions or reduce their positions at the market price at the opening. If the investor's margin balance is lower than the maintenance margin calculated at the trading price of the day, the futures company has the right to execute compulsory liquidation or lightening.

If the arbitrageur's funds are not properly allocated, it may force the arbitrage position of stock index futures to be released ahead of schedule, leading to arbitrage failure. Therefore, some cash should be reserved for portfolio arbitrage to avoid the risk of margin increase.

Risk of joint competition between pure arbitrageurs and quasi-arbitrageurs: Arbitrators can be divided into pure arbitrageurs and quasi-arbitrageurs according to whether they hold spot indexes or not. Quasi-arbitrageurs already have spot positions. When arbitrage opportunities appear, there is no need to establish spot positions in the market, and the arbitrage cost paid is small. However, pure arbitrageurs have to pay higher arbitrage costs when establishing spot parts. Therefore, pure arbitrageurs face a wider price range than quasi-arbitrageurs. In this way, for the arbitrage opportunities of quasi-arbitrageurs, pure arbitrageurs are at a disadvantage and it is more difficult to make profits.

Liquidity risk: If arbitrageurs encounter daily limit or daily limit when buying and selling spot, and cannot buy or sell on the same day, they will face the risk of price fluctuation delayed to the second trading day. When the liquidity of the two cities is inconsistent, the same trading volume will lead to inconsistent changes in futures and spot prices. Therefore, we should pay close attention to the liquidity differences between the two cities and control positions.

Uncertainty risk of dividend distribution: cash dividends of listed companies participate in the calculation of arbitrage interval of index futures, but the dividend distribution time in China's stock market is uncertain, so dividend distribution time must be considered when calculating arbitrage interval.

Variable cost: it is difficult to estimate the impact cost and waiting cost accurately, which not only depends on the amount of arbitrage funds, but also has a great relationship with the market liquidity on the trading day. Misestimation of variable costs may lead to arbitrage failure.

Tracking error: it is difficult to completely copy the Shanghai and Shenzhen 300 index when arbitrage with the Shanghai and Shenzhen 300 index futures contract, and the copying cost is high. When the Shanghai and Shenzhen 300 Index is used instead of the spot for arbitrage, we should pay attention to the possibility that there is a big deviation between them during the arbitrage period, which may lead to arbitrage failure.