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.

The factors that affect forward arbitrage are: the price of buying recent contracts, the price of selling forward contracts, storage fees, capital interest, value-added tax, transaction fees and delivery fees. Their relationship with profit is as follows: arbitrage profit = selling forward contract price-buying recent contract price-storage fee-capital interest-value-added tax-transaction delivery fee.

Extended data

Steps:

(1) Borrowing funds at the market interest rate of the same period when the futures contract expires;

2. Buy CSI 300 constituent stocks according to the current price and the weight of each constituent stock, and simulate the spot of CSI 300 index;

(3) Selling futures contracts with the same value but not the same value at the current futures price;

(four) at the end of the arbitrage or futures maturity, according to the spot price to sell the Shanghai and Shenzhen 300 constituent stocks;

⑤ Repay the loan principal and interest.

Assume that the contract price of thread futures in May is 3200 yuan/ton, and the contract price in June is 5438+ 10 is 3400 yuan/ton. The contract price of the former is lower than that of the latter, 200 yuan. Speculators think that the contract price in May is low, or the contract price in June is 5438+00, and the price difference is larger than that in normal years. If the market mechanism works normally, the price difference between the two will return to normal.

Therefore, speculators decided to buy 1 contract in May and sell 1 contract in October, with a view to closing their positions at a favorable opportunity in the future.

Reference source: Baidu Encyclopedia-Positive Arbitrage