20 10/0,65438+10, 12, the Shanghai and Shenzhen 300 Index stood at 3535.4 points, and the contract closing price in March was 4 140 points. Suppose the annual interest rate is 5% and the annual dividend is 3%. What is the arbitrage interval? Is there an arbitrage opportunity?

First, we calculate the theoretical price of the contract 1003:

f=se^(r-q)(t-t)=3535.4×e^(0.05-0.03)(3- 1)/ 12=3547.2

Then we calculate the arbitrage cost Tc:

1. The bilateral handling fee for futures trading is 0.2 point.

2. The impact cost of buying and selling futures is 0.2 index points.

3. Bilateral handling fee for stock trading is 0.4% × 3535.4 = 14438+04.

4. The stamp duty on stock transactions is 0.0 1%×3535.4=0.35.

5. The impact cost of stock trading is 0.5%×3535.4= 17.68.

6. The tracking error of stock portfolio simulation index is 0.2%×3535.4=7.07.

7. Loan spread cost 0.3%×3535.4= 10.6

In this way, the total arbitrage cost Tc=50.2, and the no-arbitrage interval is [3497,3597.4].

65438+1October 65438+February March forward contract 4 140 is completely greater than the upper limit of the no-arbitrage interval of 3597.4 points, and the arbitrage space is huge. In operation, you can buy constituent stocks and sell March forward contracts to achieve arbitrage. However, at present, the Shanghai and Shenzhen 300 index is in the simulation stage, and it is impossible to arbitrage in reality, so there will be such a large arbitrage space.