A Case Study on Hedging and Arbitrage with Stock Index Futures;

Now the price of Shanghai and Shenzhen 300 is 37 10 (intraday price in May 10).

But now the price of the Shanghai-Shenzhen 300 stock index futures contract in 65438+February has risen to about 5900, which means that if you short the stock index futures in 65438+February at a price of 5900 points, the stock index futures in 65438+February will be settled at the closing price of the day after the closing of the Shanghai-Shenzhen 300 index on the third Friday of 65438+February. Suppose the closing price of the day (the third Friday of 65438+February) is 5500, and the first-hand profit and loss of the contract you sold in early May is calculated as: 1 lot *(5900-5500=)400 300 yuan/spot = 120000.

Ok, let's get to the point-suppose you buy 1 10,000 shares now, most of which are heavyweights of the Shanghai and Shenzhen 300 Index, which means that your stock will definitely rise when the market rises. And the ups and downs are similar. . . . . So now you can do it like this:

Hey, hey, now we boldly hold shares and dance with Zhuang! The 65438+February futures index is empty, and the investment margin is about170,000 yuan (assuming the calculation method is 5900*300 yuan/point *10% =177,000 yuan), then you have effectively hedged the170,000 shares you bought. ! ! It can also be said that it is basically guaranteed that there will be nearly 600,000 profits by the stock index delivery date of 65438+February in late June! ! ! !

Why can I? Assuming that the stock market falls two months later, the stock index of 12 will fall faster and more, and the profit of this stock index futures can almost far exceed the shrinkage loss of your stock. For example, when 65438+ was finally delivered in late February, the Shanghai and Shenzhen 300 Index fluctuated to 3500 points, and the loss of spot stocks was about: (37 10-3500)/37 10 times 100000 = 56600, but at the same time, the profit of the stock index futures would be:

Suppose that on the third Friday of June 5438+February, the Shanghai and Shenzhen 300 Index rose to 5800 points, and the stock index finally stopped at 5800 points, then your stock must have earned a lot, which is about: (5800-37 10)/37 10 times 1 10,000 yuan = 5. At the same time, the futures index is also profitable: (5900-5800) x300 = 30,000 yuan. The total income is about 600,000!

If the Shanghai and Shenzhen 300 Index rises to 6,000 points by the final delivery, the stock return is roughly calculated as: (6000-37 10)/37 10 times 100000, and the result is = 617,000. Loss on stock index futures: (6000-5900)*300 yuan/point = 30,000. After the two items are relatively offset, the profit is still as high as 587,000! ! ! ! !

Because of the use of margin system, futures investment is better than the financing (commonly known as overdraft) in stock trading in previous years, which is 10 times financing! So if the operation is not good, the risk is great. For example, in the above case, just buying a stock index can hedge or arbitrage the spot of 654.38+0 million. The investment is only 6.5438+0.7 million. . . . . .