Buy 1 month contract and sell May contract. Forward arbitrage means that the price ratio between futures and spot is higher than the upper limit of no-arbitrage range, and arbitrageurs can sell futures and buy spot with the same value at the same time. After the current spot price ratio falls back to the no-arbitrage range, they will close their positions at the same time to obtain arbitrage income.
Five steps of forward arbitrage:
(1) Borrowing funds at market interest rates, and the futures contracts have the same term;
② Buy the CSI 300 constituent stocks according to the current price and the weight of each constituent stock, and simulate the spot of the CSI 300 index;
(3) according to the current futures price, sell the same amount but not the same amount of futures contracts;
(4) At the end of arbitrage or the expiration of futures, sell the Shanghai and Shenzhen 300 constituent stocks at the spot price;
⑤ Repay the loan principal and interest.