I have an idea to share and hope to add it later. Arbitrage inevitably involves short-selling tools: 1, short-selling securities. 2. Put option. 3. Stock index futures. 4. Overseas short-selling tools. (Wealth management products have a bearish part, but in view of the low income of wealth management products and the upper limit of the highest income, they are not included in short-selling tools. The leverage ratio and capital cost of each tool are different and have not been measured in detail.

Strategy 1: Non-institutional unilateral short selling. Emphasize that non-institutions have too many institutional restrictions, especially on short selling. The most discussed fuse mechanism these days is the impact on liquidity and expectation, which is a bit like centipede game. It seems that 5%-7% will trigger the fuse condition, but in fact, the decline of about 3% is enough to affect the expectation. If it reaches 5%, it will trigger a stampede and go straight to 7% for secondary fuse and transaction termination. Therefore, the leveraged short-selling tool caused the index to fall by 3%, and there is a high probability of secondary fusing. Unilateral short-selling gains huge profits, and bulls are weak. How much ammunition is needed to achieve a 3% decline needs to be calculated and multi-party funds are needed.

Strategy 2: Strategy 1+Hedging Strategy. After shorting unilaterally, close the position the next day or make multiple pairs to flush out most of the short positions. The process of liquidation is to make profits by shorting, and hedging is to prevent risks, both of which can achieve the goal of locking in profits.

Strategy one and strategy two are not risk-free arbitrage, but use the system and environment to obtain leverage benefits, so they only work at a special stage. The fuse system itself should not generate continuous arbitrage opportunities, which should be considered by the regulatory authorities. The fuse system in the United States has not brought more arbitrage opportunities.

The introduction of fuse mechanism is from the perspective of protecting small scattered shares, but there are many shortcomings in the construction of China's stock market system, which are not enough to plug all loopholes. Moreover, after the stock market crash 2.0, the overall valuation has been repaired, the overall P/E ratio has picked up, profit-taking, lifting the ban on shares, realizing at the end of the year, herding effect and other factors, coupled with the impact of fuse on liquidity, leveraged shorting should have a chance to make a profit. (Recently, there are hundreds of millions of stock index futures short-selling profit accounts in Guangfa Futures, which may be found through investigation. )