The market prices of CBOT soybean futures in September and November are 568.25 cents/bushel and 595.05 cents/bushel respectively, with a price difference of 26.80 cents/bushel. A trader believes that the price difference is too small, and hopes to buy November and sell September soybean futures contracts for arbitrage. However, he believes that the price difference may further narrow, and hopes to open a position with a price difference of 20 cents per bushel in the hope of greater profits. There is room for profit, so a limit order is used:

Buy November soybean futures contract

Sell September soybean futures contract

November soybean futures contract The price is 20 cents/bushel higher than the September soybean futures price

Using this limit order means that the order will only be issued when the price difference between November and September soybean futures prices is equal to or less than 20 cents/bushel. can be executed. From this order, we can see that arbitrageurs do not focus on the prices of buying and selling futures contracts, but rather on the price difference of the relevant futures contracts. There are many possible transaction results using limit orders, and we can arbitrarily list three.

Scenario 1: Suppose the prices of the two contracts rise. The market prices of soybean futures in September and November rise to 578.05 cents/bushel and 598.05 cents/bushel respectively, and the price difference becomes 20 cents/bushel. bushels, the order is executed immediately at that spread, in which case the transaction is filled at the specified spread.

Scenario 2: Assume that the prices of the two contracts fall, and the market prices of soybean futures in September and November fall to 558.25 cents/bushel and 578.25 cents/bushel respectively, and the price difference becomes 20 cents/bushel. Bushel,

Scenario 3: Assume that the prices of the two contracts rise. The market prices of soybean futures in September and November rise to 569.75 cents/bushel and 589.75 cents/bushel respectively, and the price difference becomes 20 US dollars. However, when the order was issued to the trading system, the prices of the two contracts changed slightly, and the transaction was finally completed at a price difference of 18.55 cents per bushel. In this case, the transaction was completed at a more ideal price difference than the specified one.