Inter-period arbitrage: use the price difference between stock index futures contracts in different months to trade in the opposite direction and profit from it.
Cross-market arbitrage: Arbitrators trade two similar futures contracts in opposite directions on two exchanges at the same time.
Cross-variety arbitrage: arbitrage trading is carried out by using the price difference between two different varieties that are mutually substituted or affected by the same supply and demand factors.
(1) long intertemporal arbitrage
When the trend of the stock market is upward and the futures contract price in the forward delivery month is more likely to rise rapidly than that in the recent month, investors who carry out long-term arbitrage sell the recent month contract and buy the forward month contract.
Forward arbitrage of stock index futures
(The forward contract price rises faster than the recent contract price)
Recent contract
forward contract
Basic difference
Start selling 1 June s&; P500 index futures contract was bought at 97.00 1 copy 65438+February.
Standard & Poor's. P500 index futures contract 2.00
1June s&the purchase ends at 95.00; In February, the P500 index futures contract was sold at 98.00 1 share.
Standard & Poor's. P500 index futures contract 2.50
Price difference change -0.50+1.00 2.00
As the arbitrageurs expected, the market rose, the spread between the forward contract 65438+February and the recent contract in June widened, and the net spread profit was (-0.5+1.00) × 500 = $250.
If the stock market trend is upward, and the price of futures contracts with close delivery months rises faster than that of forward contracts, investors will buy futures contracts with close delivery months and sell forward contracts, and then sell futures contracts with close delivery months and buy forward contracts when prices rise in the future.
Forward arbitrage of stock index futures
(The recent contract price rises faster than the forward contract price)
Recent contract
forward contract
Basic difference
Start selling 1 June s&; P500 index futures contract was bought at 97.00 1 copy 65438+February.
Standard & Poor's. P500 index futures contract 2.00
1June s&the purchase ends at 95.00; In February, the P500 index futures contract was sold at 98.00 1 share.
Standard & Poor's. P500 index futures contract 2.50
Price difference change -0.50+1.00 2.00
In this long inter-temporal arbitrage transaction, the spread between the forward stock index futures contract and the recent stock index contract is enlarged, and the profit that the arbitrageur can get is (0.50-0.25) × 500 = 125 USD.
(2) Short-term intertemporal arbitrage
When the trend of the stock market is downward, and the price of futures contracts with distant delivery months is more likely to fall rapidly than that of recent contracts, investors who carry out short-term inter-period arbitrage buy recent contracts and sell forward contracts.
Short-term arbitrage of stock index futures
(The forward contract price falls faster than the recent contract price)
Recent contract
forward contract
Basic difference
I started to buy 1 copy at 95.00 in June.
Standard & Poor's. P500 index futures contracts were sold 1 share in 97.0065438+February.
Standard & Poor's. P500 index futures contract 2.00
1 copy sold at 94.00, as of June.
Standard & Poor's. P500 index futures contract was bought at 96.50 1 copy 65438+February.
Standard & Poor's. P500 index futures contract 2.00
Price difference change -0.50+1.00
As the arbitrageurs expected, the market fell, the spread between the forward contract 65438+February and the recent contract in June widened, and the net spread profit was (-0.5+1.00) × 500 = $250.
If the stock market trend is downward, and the price of futures contracts close to the delivery month falls faster than that of forward month contracts, investors will sell futures contracts in the near month and buy forward month contracts, and then buy recent contracts and sell forward contracts when the price falls in the future.
Short-term arbitrage of stock index futures
(The recent contract price has fallen faster than the forward contract price)
Recent contract
forward contract
Basic difference
I started to buy 1 copy at 95.00 in June.
Standard & Poor's. P500 index futures contracts were sold 1 share in 97.0065438+February.
Standard & Poor's. P500 index futures contract 2.00
The sale ended at 94.00 in June 1 copy.
Standard & Poor's. P500 index futures contract was bought at 96.50 1 copy 65438+February.
Standard & Poor's. P500 index futures contract 2.50
Price difference change+1.00 -0.50
As the arbitrageurs expected, the market fell, the spread between the forward contract of 65438+February and the recent contract of June widened, and the net profit was (1.00-0.5) × 500 = $250.
(3) Cross-market arbitrage
For example, an arbitrageur expects the market to rise, and the rising power of major market indexes will be greater than the comprehensive stock index futures contract of new york Stock Exchange, so he buys two major market index futures contracts at 395.50 points and sells the 1 comprehensive stock index futures contract of new york Stock Exchange at 105.00 points, and the price difference at that time is 290.50 points. After a period of time, the spread widened to 295.25 points. The arbitrator sold the futures contracts of two major market indexes at 405.75, and bought the 1 futures contract of the comprehensive stock index of new york Stock Exchange at10.00 to hedge the contracts.
Cross-market arbitrage of stock index futures
major market index futures
New york Stock Exchange Composite Index
Basic difference
At that time, I bought two major market index futures of 65438+February.
Contract, point: 395.00 sell165438+February new york Stock Exchange index.
Futures contract, point: 105.00 290.50
In the future, we will sell 65438+two major market indexes in February.
Futures contract, point: 405.75 buy165438+February NYSE.
Index futures contract, point: 1 10.00 295.75.
As a result, X2 sheets of 10.25 point X250 USD were obtained =
$5 125 lost 5.00 points $ X500 × 1 sheet =
2500 dollars
As the index futures contracts in major markets rose by 10.25 points in the bull market, which was 5.00 points higher than the index futures contracts in new york Stock Exchange, the arbitrageurs gained (5 125-2500) = 2625 USD.
(4) Cross-variety arbitrage
Because different varieties have different sensitivities to market changes, arbitrageurs can choose to do long arbitrage or short arbitrage according to their own development trend prediction.
For example, arbitrageurs expect S&; When the price increase of P500 index futures contract will be greater than that of new york Stock Exchange composite stock index futures contract, buy S&; P500 index futures contracts, selling new york Stock Exchange comprehensive stock index futures contracts; When the arbitrageur expects the price increase of the comprehensive stock index futures contract of new york Stock Exchange to be greater than S&; When the price of P500 index futures contracts rises, S&; P500 index futures contract, buy new york Stock Exchange composite stock index futures contract.
Bull spread problem in futures market.
If the recent price is higher than the forward price in the reverse market of the bull market, the bull market spreads to buy the recent contract and sell the forward contract at the same time. In this case, the bull spread can be classified as buying arbitrage, and only by widening the spread can we make a profit. Namely:
When the bull market spread in the reverse market widens, it will be profitable to sell in the near month/buy in the far month.
My question is, if in the reversal of the bull market, if the spread narrows and arbitrage is sold, that is,
Bull market reverse market spread narrows. When opening positions, buy in the near month/sell in the far month. Selling arbitrage is profitable.
This situation exists in theory, but does it exist in practice? If not, what are the reasons?
1. My topic is a bit wrong, it should be the problem of bull market arbitrage against the market.
2. Simply put, it is profitable to expand the spread in the bull market, but if the spread is narrowed, can it be reversed? If not, what are the reasons?
Let me give you an example that doesn't hold water. For example, in the forward market, arbitrage may lose money if the spread widens. However, because the spread in the forward market is limited by the position fee, if the spread widens and exceeds the position fee, arbitrage will occur, thus limiting the spread. Namely:
When the bull market is widening the market spread, it will be profitable to sell in the near month/buy in the far month.
This situation does not exist.
Is there a similar reason to limit the establishment of a bull market against the market when the spread is narrowing?
If so, what are the reasons? If not, why not mention this method of profit, but only when the bull market is expanding the spread in the market?
I hope celebrities can help me to answer. If I have a satisfactory answer, I will get extra points.