Example:
Intertemporal arbitrage: The rebar futures in May and 10 are futures contracts of the same variety in different months, and the price difference should fluctuate within a community, with the fluctuation range between 200 yuan and 400 yuan. If it exceeds 400 yuan, the price difference will approach 400 yuan in the future. You can do the spread reduction transaction of this futures product, and make a profit by buying contracts with small fluctuations and selling contracts with large fluctuations. If the spread is lower than that in 200 yuan, you can make a transaction with a wider spread, sell contracts with smaller fluctuations, and buy contracts with larger fluctuations to make a profit.
Spot arbitrage: March contract of stock index futures and March trend of spot CSI 300 stock index should be highly consistent. If short-term stock index futures deviate from the spot due to the imbalance of long and short funds, we can use the principle that the price will be the same when the delivery date comes to make the difference, and we can get the profit of this deviation. Operation method: If the stock index futures bias is greater than the spot index, buy the CSI 300ETF and sell the stock index futures; If the deviation of stock index futures is less than the spot index, sell the CSI 300ETF and buy stock index futures. When the prices of the two tend to be consistent, they are sold at the same time, and the two positions are closed to obtain profits.
Although spread trading is also called arbitrage trading, its essence is speculation, because it is betting on whether the spread will narrow or widen, which has great uncertainty. For example, the contract price of soybean meal in May is higher than that in September, but it will rise even higher in May when the demand for aquaculture is high; However, due to the listing of new soybeans in September, the output of soybean meal will be even greater and will fall even more. Soybean meal is protein powder, and it will also be affected by protein powder such as rapeseed meal, so it is not possible to simply do spread trading.
To sum up, spread trading is still not a low-risk and easy-to-master trading method.