The main difference between stock index futures arbitrage and commodity futures arbitrage lies in the different attributes of futures contract targets. The object of commodity futures contract is tangible goods, which involves the specifications, performance, grade, durability, storage, transportation and delivery of goods, and will have an important impact on arbitrage. The target of stock index futures is the stock index, which is just an intangible concept and has no relevant restrictions on tangible goods. At the same time, the delivery of stock index futures adopts cash delivery, so it is very convenient in delivery and arbitrage. In addition, due to the irregular dividend distribution of constituent stocks, different financing costs and spot index design, the theoretical price of stock index futures is more difficult to accurately price than commodity futures. These differences are the main reasons for the differences between stock index futures arbitrage and commodity futures arbitrage in specific categories.
Spot arbitrage
Spot arbitrage refers to a futures contract. When there is a price difference between the futures market and the spot market, it uses the price difference between the two markets to make a profit by buying low and selling high. Theoretically, the futures price is the future price of commodities, and the spot price is the price of commodities. According to the same price theory in economics, the difference between them, that is, "basis" (basis = spot price-futures price) should be equal to the holding cost of goods. Once the basis significantly deviates from the cost of holding, there will be opportunities for spot arbitrage. Among them, the futures price is higher than the spot price and exceeds all kinds of delivery costs, such as transportation cost, quality inspection cost, storage cost, increased invoicing cost and so on. Spot arbitrage mainly includes forward buying spot arbitrage and reverse buying spot arbitrage.
Intertemporal arbitrage
Intertemporal arbitrage is also called "position cost arbitrage", "cross-crop annual arbitrage" or "new and old crop annual arbitrage" Intertemporal arbitrage refers to an operation mode in which the same member or investor establishes the same number of trading positions in opposite directions in different contract months of the same futures product for the purpose of earning the difference, and ends the trading by hedging or delivery. Intertemporal arbitrage is one of the most commonly used hedging profit transactions, which is divided into bull spread, bear market arbitrage and butterfly arbitrage in practice. Intertemporal arbitrage mainly has several factors: 1, and the recent monthly contract fluctuations are generally more active than the forward ones. 2. The movement of short positions makes the spread bigger next month, while the movement of long positions makes the spread smaller next month. 3. Inventory is the decisive factor of monthly price difference. 4. Reasonable price difference is an important factor in the rational return of price difference.
Cross-market arbitrage
Cross-market arbitrage refers to the activity that speculators use the futures prices of the same commodity in different exchanges and buy and sell futures contracts in two exchanges at the same time to make profits. The specific operation method is that the futures exchange buys futures contracts for one delivery month and sells futures contracts for the same delivery month at another exchange. When the price difference of the same commodity in two exchanges exceeds the transportation cost of the commodity from the delivery warehouse of one exchange to the delivery warehouse of another exchange, it can be expected that their prices will shrink, reflecting the real cross-market delivery cost in a certain period in the future. For example, if the price of wheat is much higher than that of Kansas City Futures Exchange, which exceeds the transportation cost and delivery cost, then a spot dealer will buy wheat from Kansas City Futures Exchange and transport it to Chicago Futures Exchange for delivery. In China, the listed products of the three exchanges are different, and there is no way to connect with foreign exchanges. Therefore, cross-market arbitrage cannot be achieved.