Intertemporal arbitrage trading is the most common arbitrage trading in treasury bonds futures. It refers to a trading method in which traders use the price difference between futures contracts with the same subject matter but different maturity months to buy recent contracts and sell forward contracts (or sell recent contracts and buy forward contracts), and then hedge for profit after the price relationship returns to normal. For example, in the month of 20111,an investor found that the futures price of five-year treasury bonds due in March of 20 12 was 106 yuan, and that of five-year treasury bonds due in June of 20 12. If investors predict that after one month, the five-year treasury bond futures contract due in March will increase more than the five-year treasury bond futures contract in June, or the former will decrease less than the latter, then investors can carry out intertemporal arbitrage.

Treasury bond futures basis refers to the price difference between treasury bond futures and spot.

Basis traders always pay attention to the spread between the futures market and the spot market, and actively look for arbitrage opportunities to buy low and sell high. Do multi-basis, that is, investors think that the basis will rise, and the increase (decrease) of spot price will be higher (lower) than that of futures price multiplied by the conversion coefficient, and then buy cash coupons, sell futures, and close positions respectively after the basis rises as scheduled; Short the basis, that is, investors think that the basis will fall, and the increase (decrease) of the spot price will be lower (higher) than that of the futures price multiplied by the conversion coefficient, and then sell emerging bonds, buy futures, and close their positions respectively after the basis falls as scheduled.