1 positive arbitrage refers to the trading method of short selling index futures and buying spot index at the same time when the index futures price is overvalued and the spot price index is undervalued. By analyzing the forward arbitrage mechanism, we can get the upper bound of the no-arbitrage interval of stock index futures.

Because the net cash flow at time T is zero, once the total profit and loss of futures and spot markets at time T is greater than zero, arbitrage opportunities will appear. You can go to futures talent. Learn more.

2. Determination of the lower limit of the no-arbitrage interval of stock index futures in reverse arbitrage.

Reverse arbitrage refers to the trading method of doing multi-index futures and shorting the spot index at the same time when the index futures price is undervalued and the spot price index is overvalued. By analyzing the reverse arbitrage mechanism, we can get the lower bound of the no-arbitrage interval of stock index futures.

3. Stock index futures have no arbitrage range.

After analyzing the upper and lower bounds of the no-arbitrage interval of stock index futures, we can get that the no-arbitrage interval of stock index futures is:

If the price of stock index futures is within the above-mentioned no-arbitrage range, then the price is reasonable and there is no arbitrage opportunity. If the futures index price exceeds the upper limit of the no-arbitrage interval, there is a positive arbitrage opportunity to buy spot and sell futures; On the contrary, if the futures index price falls below the lower limit of the no-arbitrage interval, there is a reverse arbitrage opportunity to sell spot and buy futures.