Hedging of stock index futures refers to taking advantage of the unreasonable price of stock index futures market, participating in the trading of stock index futures and stock spot market at the same time, or buying and selling different (but similar) categories in different periods at the same time to earn the difference. Stock index futures arbitrage can be divided into cash hedging, intertemporal hedging, intertemporal hedging and intertemporal hedging.
2. Commodity futures hedging
Similar to the hedging of stock index futures, commodity futures also have hedging strategies. When buying or selling a futures contract, they sell or buy another related contract, and settle the positions of both contracts at a certain time. In the form of transaction, it is similar to hedging, but hedging is to buy (or sell) physical objects in the spot market and sell (or buy) futures contracts in the futures market; But arbitrage only trades contracts in the futures market and does not involve spot trading. Commodity futures arbitrage mainly includes spot hedging, intertemporal hedging, cross-market arbitrage and cross-variety arbitrage.
3. Statistical hedging
Different from risk-free hedging, statistical hedging is a kind of risk arbitrage by using the historical statistical law of securities prices. The risk lies in whether this historical statistical law will continue to exist in the future. The main idea of statistical hedging is to find several pairs of investment products (stocks or futures, etc.). ) has the best correlation, and then find out the long-term equilibrium relationship (cointegration relationship) of each pair of investment products. When the price difference between a pair of varieties (the residual of the cointegration equation) deviates to a certain extent, we start to open positions-buy relatively undervalued varieties and sell relatively overvalued varieties, and then start to make profits when the price difference returns to balance. The main contents of statistical hedging include stock matching transaction, stock index hedging, securities lending hedging and foreign exchange hedging transaction.