There are often contract combinations with abnormal price distribution in the market, some of which can be good targets for investors' arbitrage trading, while others are "arbitrage traps". For various reasons, the spread can't make a good return, and sometimes there will even be surprising changes, leading to arbitrage failure. Therefore, investors should pay special attention to the following "arbitrage traps".

1. There is no inter-annual and inter-temporal arbitrage.

For example, the arbitrage opportunities of soybean (information, market) 0809 and 090 1 contract, which were generally concerned by the industry in the early stage. We can't simply carry out intertemporal arbitrage, because the supply and demand of soybeans were tight in 2007/2008, and the supply and demand of soybeans in 2008/2009 were affected by two different redundant basic factors, which led to the "upside down" of the prices of 0809 and 090 1, and the intertemporal arbitrage idea of buying near and selling far was not desirable.

2. Don't do positive arbitrage affected by non-short-term factors.

Because arbitrage opportunity is an opportunity to find short-term price deviation according to long-term price relationship, and the factors that cause arbitrage opportunity are generally short-term or unexpected price changes, there is generally no need to intervene in positive arbitrage opportunities affected by non-short-term factors. For example, the fundamental difference between soybean contracts 0809 and 090 1 is the factor that affects the long-term trend.

3. The arbitrage risk of "forced liquidation"

Its risk is very important in intertemporal arbitrage. Generally speaking, intertemporal virtual arbitrage does not involve spot, but the risk of short position is that there is no spot position to maintain. When the market situation shows unilateral short position, the monthly contract of short position is stronger than other months, and the price difference does not return "rationally", which leads to losses.

4. Don't make contracts with poor liquidity.

If one or two futures contracts in the arbitrage portfolio have poor liquidity, we should pay attention to whether the arbitrage portfolio can open and close positions smoothly at the same time. If not, you should consider giving up arbitrage opportunities. In addition, if the portfolio is large enough, both contracts of the portfolio have certain impact costs. In spot arbitrage and intertemporal arbitrage, the arbitrage involved in delivery must ensure that there are enough funds for delivery.

5. Opportunity cost and borrowing cost of capital

In actual investment, both trading accounts should have sufficient reserves, which will increase the interest cost and reduce the rate of return. We need to consider whether the source of funds is self-owned funds or borrowed funds. The borrowing period of funds may not match the holding period of arbitrage positions.

To sum up, in the process of implementing investment, only by doing what you can and can't do and trading according to scientific investment strategy can you reduce the risk in investment and obtain more stable income.