The basic principle of arbitrage trading is that traders simultaneously carry out the same amount of reverse trading, and at the same time close positions and open positions. However, according to the risk control and management measures of stock index futures, when there is a continuous unilateral market in a delivery month, the trading ownership will force the contract to lighten its position. Because stock index futures closed later than the stock market.
15 minutes, if the stock index futures market starts the compulsory lightening measures of the exchange after the stock market closes, and because the compulsory lightening of the stock index futures by the exchange has no preferential treatment for arbitrage positions, it will be held in the stock index futures market.
Some arbitrage positions may be forced to lighten up by the exchange. If hedgers or spot arbitrageurs are forced to lighten their positions in the future, it will lead to the risk exposure of stock spot positions.
2. The risk of forced liquidation caused by untimely margin increase.
Arbitrage trading needs to be carried out in the spot market, different delivery months in the same market, related trading products in the same market or different trading markets of the same product at the same time, because up to now, domestic stock index futures
The trading rules do not give preferential treatment to arbitrage trading in terms of handling fee and margin, so the cost of arbitrage trading in terms of trading margin and handling fee is twice as high as that of pure speculation. At this point, if stock index futures appear,
The market fluctuates greatly, whether the exchange raises the margin level or the arbitrage trader makes up for the floating loss, it needs to add a lot of margin. At this time, the pressure of arbitrage traders to pursue insurance is obviously greater than that of pure speculative trading. if
If the arbitrage trader fails to replenish the margin in time, the transaction will face the risk of being forced to close the position in a certain delivery month. Once a contract is forcibly closed, another futures contract will become one-way speculation and arbitrage.
Traders need to bear the corresponding speculative risks.
Third, there may be a large impact cost in the process of arbitrage trading, which may offset arbitrage profits and even lead to arbitrage losses.
Intertemporal arbitrage traders need to trade in the same amount and in opposite directions at the same time in two different delivery months in the same market. Judging from the actual operation of foreign stock index futures, stock index futures are often concentrated in a certain exchange.
Deadline, transactions in other delivery months are often relatively light. When the liquidity of stock index futures in individual delivery months is insufficient, if transactions may occur in that month, they may not be completed in time or the transaction price is far from their own expectations.
A large gap may increase the arbitrage cost, affect the arbitrage profit and even lead to arbitrage losses.
Four, spot arbitrage, because the spot stock portfolio is inconsistent with the index stock portfolio, there may be simulation errors.
In the stock index futures market, spot arbitrage is a main form of arbitrage. Accurate spot arbitrage requires buying and selling stock index futures contracts and corresponding stock portfolios in the spot market. However, in the actual operation process, it is difficult to achieve accurate correspondence between the two.