Get rid of stock index futures, CSI 300 is the spot basis, so the trend of the two is the same, and the spread will fluctuate.

When the spread fluctuates abnormally due to various reasons, resulting in the Shanghai and Shenzhen 300etf points higher than the stock index futures points, the arbitrage opportunity appears at this time.

When it is, it is necessary to buy 300etf and sell stock index futures at the same time according to the weight. At this point, the arbitrage operation is completed. Profit liquidation.

Profit is the difference minus the handling fee.

If you are interested, you can see my space for detailed communication.