Stock index futures attracted the active participation of investors just after listing, and generated huge trading volume in just a few days, even exceeding the spot market. Although speculators occupy the main body of stock index futures trading, at the same time, the price difference between stock index futures and spot is relatively large in the initial stage of listing, and the price difference between contract and spot is even as high as 100 point in recent months, which brings good investment opportunities to arbitrageurs. The trading volume of spot assets close to Shanghai and Shenzhen 300 such as 180ETF, 100ETF and Shanghai and Shenzhen 300LOF has obviously increased, which is closely related to the activity of arbitrageurs.
It is the right time to carry out positive spread arbitrage.
Theoretically, there are two ways to arbitrage between stock index futures and spot. When the price of stock index futures is higher than the spot price, we can buy short contracts and assets close to stock index futures on the spot, so that no matter whether the market goes up or down in the future, we can obtain stable price difference income through hedging of futures and spot. On the other hand, if the spot price is higher than the futures price and there is a negative spread, you can buy a long contract on the stock index futures and short the assets close to the stock index futures on the spot, so that no matter whether the market goes up or down in the future, you can get a stable spread income. Of course, because there are many restrictions on spot short selling, not only are there limited varieties of stocks that can be short-sold, but funds can't short-sell. Therefore, it is easier for us to arbitrage positive spreads at this stage.
The main factors affecting the current arbitrage income
The benefits and risks of stock index futures and spot arbitrage mainly depend on three aspects: first, the size of the spread. It is easy to understand that the greater the price difference, the greater the income; The second is the similarity between stock index futures and spot assets. The closer the two are, the more complete the hedging can be, and the smaller the risk of arbitrage; The third is liquidity, which is very important in both futures market and spot market. Arbitrators often have a large amount of funds, and poor liquidity will produce a large impact cost and bring certain risks. At present, there are only Shanghai and Shenzhen 300 stock index futures in China, so there are several options for arbitrage of spot assets: one is to buy 300 stocks directly, but this method is very troublesome and it is very difficult to operate 300 stocks; The second is to directly purchase funds close to the assets of CSI 300. Because the spread is always changing, ETFs and LOF index funds that can be listed and traded are good arbitrage options, which can easily lock the spread between stock index futures and spot in real time. ETF is the best spot asset for spot arbitrage, because it uses stocks for subscription and redemption. Compared with LOF funds, ETF has the smallest tracking error, lower management rate and higher liquidity. Unfortunately, there is no cross-market Shanghai and Shenzhen 300ETF in China, and many investors can only use 180ETF, Shenzhen 100ETF and Shanghai and Shenzhen 300LOF funds close to the Shanghai and Shenzhen 300 index for arbitrage.
Calculation method of arbitrage income
So how to calculate the arbitrage rate of return? Let's give a simple example: suppose that the contract price of a stock index futures in recent months is 3 100 points, the spot price of Shanghai and Shenzhen 300 is 3040 points, and the spread is 60 points.
The funds required to purchase 1 short stock index futures contract = 3100 * 300 *15% =139500 yuan.
Funds required for purchasing spot assets =3040*300=9 12000 yuan.
When the stock index futures contract expires, it is assumed that both the stock index futures price and the spot asset price are 3200 points, and the futures loss is =- 100*300=-30000 yuan.
Spot profit =160 * 300 = 48,000 yuan.
The final arbitrage income = 48,000-30,000 = 1.8 million yuan.
Arbitrage yield (month) =18000/(139500+912000) =1.71%.
As the recent contract expires in one month, the above rate of return is monthly income, and the annualized income exceeds 20%, which is still considerable. Of course, this can only be achieved when the spread is always relatively large, and the above-mentioned income does not consider the transaction cost, and the transaction cost of spot and futures is relatively low, which has little impact on arbitrage income.
The current arbitrage income will continue to shrink.
The spread between the main contract of stock index futures and the spot of Shanghai and Shenzhen 300 has narrowed to about 22 points compared with the initial stage of listing, but it has increased with the market crash, and the spread has expanded to about 60 points, which has certain arbitrage space. Of course, with the continuous growth of futures traders, especially the participation of institutional investors such as insurance funds and funds, the spread will remain rational and the opportunities for arbitrage will become less and less.