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How to Arbitrage Huatai CSI 300etf
Arbitrage is also called spread trading. Arbitrage refers to buying or selling an electronic trading contract while selling or buying another related contract. Arbitrage trading refers to trading in the opposite direction in related markets or related electronic contracts by taking advantage of the price difference changes between related markets or related electronic contracts, and making profits in the expectation of price difference changes.

Arbitrage trading modes can be summarized into four types, namely: stock index futures arbitrage, commodity futures arbitrage, statistics and option arbitrage.

Stock index futures:

Arbitrage of stock index futures refers to the behavior of taking advantage of the unreasonable price of stock index futures market, participating in the trading of stock index futures and stock spot market at the same time, or trading stock index contracts with different maturities and different (but similar) categories at the same time to earn the difference. Stock index futures arbitrage is divided into futures arbitrage, intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage.

Commodity futures:

Similar to the hedging of stock index futures, commodity futures also have arbitrage strategies. When buying or selling a futures contract, they sell or buy another related contract and close both contracts at a certain time. It is similar to hedging in transaction form, but hedging is to buy (or sell) physical objects in the spot market and sell (or buy) futures contracts in the futures market; Arbitrage only buys and sells contracts in the futures market, and does not involve spot trading. There are four kinds of commodity futures arbitrage: spot arbitrage, intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage.

Statistics:

Different from risk-free arbitrage, statistical arbitrage is a kind of risk arbitrage by using the historical statistical law of securities prices, and its risk lies in whether this historical statistical law will continue to exist in the future. The main idea of statistical hedging is to find out several pairs of investment varieties (stocks or futures, etc.). ) has the best correlation, and then find out the long-term equilibrium relationship (cointegration relationship) of each pair of investment varieties. When the price difference (residual of cointegration equation) of a pair of varieties deviates to a certain extent, they start to open positions-buying relatively undervalued varieties, shorting relatively overvalued varieties, and taking profits when the price difference returns to equilibrium. The main contents of statistical hedging include stock matching transaction, stock index arbitrage, short-selling hedging and foreign exchange arbitrage transaction.

Options:

Option, also known as option, is a derivative financial instrument based on futures. The essence of option is to price the rights and obligations in the financial field separately, so that the transferee of the right can exercise his right to trade or not to trade within a specified time, and the obligor must perform it. When trading options, the buyer is called the buyer and the seller is called the seller. The buyer is the transferee of the right, and the seller is the obligor who must fulfill the buyer's right. The advantages of options are unlimited income and limited risk loss. Therefore, in many cases, using options instead of futures for short-selling and arbitrage trading will have less risk and higher returns than simply using futures arbitrage.