If the arbitrageur expects the futures contract spread in different delivery months to be narrow, the arbitrageur can arbitrage by selling the party with higher price and buying the other party with lower price. We call this arbitrage Bell spread.
Extended data:
Way of selling arbitrage
Because the increase of the party with high price is smaller than that of the party with low price, the price difference is narrowed. Selling arbitrage will make the loss of futures contracts on the higher price side less than the profit on the lower price side, and the whole arbitrage result is profitable.
This is a profitable situation when the futures price rises. Of course, when futures prices fall, there may also be profits, that is, if the higher side falls more than the lower side.
Selling arbitrage makes the profit of higher selling price greater than the loss of lower buying price, and the whole arbitrage result is also profitable. It can be seen that as long as the spread narrows, whether the futures price rises or falls, selling arbitrage is profitable.
Baidu encyclopedia-buy arbitrage
Baidu encyclopedia-selling arbitrage