The introduction of stock index futures and margin trading provides a good tool for shorting the A-share market. Shanghai and Shenzhen stock index futures are the first and only index futures in the domestic A-share market. There are as many as 300 constituent stocks in the Shanghai and Shenzhen 300 Index, which is too large to be completely copied. Trading open index fund (ETF) is a good spot tool in spot arbitrage based on the underlying index, which can be traded in the secondary market. Due to technical reasons, there is no trading open-end index fund (ETF) directly targeting the Shanghai and Shenzhen 300 Index in China. Most investors who carry out spot arbitrage use the compound index trading open index fund (ETF) of "75% SSE 180 trading open index fund +25% SZSE 100 trading open index fund".
Since the listing of stock index futures on April 6, 20 10, the secondary market turnover of SSE 180 trading open index fund (ETF) and SZSE 100 trading open index fund (ETF) has surged. For example, at the initial stage of listing, stock index futures have a certain premium to the spot. The so-called arbitrage is basically buying transactional open-end index funds (ETFs) and selling stock index futures contracts. After the spread between futures and cash is eliminated, the arbitrage position is closed, and traded open-end index funds (ETFs) are sold to buy stock index futures contracts.
This kind of arbitrage generally requires a certain amount of funds, and it is best to have cross-market arbitrage software to support it, because the fluctuations in the spot market and the futures market are changing rapidly, and it is likely that it is difficult to determine arbitrage opportunities by manual calculation.
For details, please consult official website, Shanghai Branch of Guotai Junan Securities.