The trading of Shanghai and Shenzhen 300 stock index futures includes speculative trading, arbitrage trading and hedging. Speculation refers to the behavior that investors make profits by holding unilateral positions according to their own analysis. Arbitrage refers to obtaining risk-free income by holding risk hedging positions. Arbitrage can generally be divided into current arbitrage, intertemporal arbitrage and cross-species arbitrage. Hedging is the behavior of investors to set up positions with equal value and opposite direction in stocks and stock index futures to offset profits and losses, or roughly offset and avoid the risk of price changes.
Compared with unilateral speculative positions, futures arbitrage trading has the characteristics of low risk and stable returns. Moreover, in the change of market price, the loss of one futures contract trader will be compensated by the profit of another futures contract, and finally there will be a surplus, and the operation is relatively simple, so this method is very popular among small and medium investors now.
A method with less risk and more stable profit-arbitrage trading.
1. Use the reasonable price arbitrage of stock index futures.
Theoretically speaking, as long as the actual transaction price of stock index futures contracts is higher or lower than the reasonable price of stock index futures contracts, arbitrage trading can make a profit. But in fact, transactions need costs, which leads to the reasonable price of forward arbitrage moving up and the reasonable price of reverse arbitrage moving down, forming an interval in which arbitrage will not only lead to profits, but also lead to losses, which is the no-arbitrage interval. Only when the current period refers to the actual transaction price higher than the upper limit of the interval can forward arbitrage be carried out; On the contrary, the current period means that when the actual transaction price is lower than the lower limit of the interval, reverse arbitrage is appropriate.
Generally speaking, compared with the current index, the holding cost of futures contracts in the corresponding time is greater. Therefore, the reasonable price of stock index futures contracts can be expressed as: f (t; T)= s(T)+s(T)×(r-d)×(T-T)/365；
S(t) is the spot index at time t, R is the annual financing interest rate, D is the annual dividend yield, and T is the delivery time. For example, at present, the annual dividend yield of dividend-paying companies in the A-share market is about 2.6%. Assuming that the annual financing rate is 6%, according to the spot Shanghai and Shenzhen 300 Index 1224. 1 on August 7th, the reasonable price of futures for delivery on August 7th is F (August 7th, 65438+1October 7th.
The no-arbitrage interval of stock index futures contracts is calculated as follows. The basic data is assumed as above, assuming that the rate of return and market financing spread required by investors are 1%. The bilateral handling fee for futures contracts is 0.2 index points; The market impact cost is 0.2 index points; The bilateral handling fee and market impact cost of stock trading are 1%. Then converted into index points, the differential cost of lending rate is1224.1×1%×1/6 = 2.04, and the bilateral handling fee and market impact cost of stock trading are1224.1×/.
It is found that the date of 65438+10.7 means that the reasonable price of the contract is 123 1.04, so the upper bound of the arbitrage interval is1231.04+14.68 =/. The lower bound of the arbitrage interval is1231.04-14.68 =1216.36, and the no-arbitrage interval is [12 16.36]
That is to say, the current period refers to the profit only when the forward arbitrage is above 1245.72 or the reverse arbitrage is below 12 16.36. The higher the increase, the greater the profit margin of the forward arbitrage, and the lower the decline, the greater or safer the profit margin of the reverse arbitrage.
Second, arbitrage by using spreads.
The theoretical price of Shanghai and Shenzhen 300 index futures is equal to the stock index value plus the net financing cost of futures contracts during the remaining contract period. The price difference between two futures contracts with different contract validity periods is called intertemporal spread. In any period, the theoretical spread is entirely due to the different financing costs of the remaining two contracts. When the net financing cost is greater than zero, the longer the remaining validity of the futures contract, the greater the basis, that is, the higher the futures price is than the spot value of the stock index. If the stock index rises, the basis of the two contracts will increase proportionally, that is, the absolute value of the spread will increase. Therefore, there is an opportunity to arbitrage by selling spreads, that is, selling futures contracts with short remaining contracts and buying futures contracts with long remaining contracts. If the price falls, the opposite reasoning holds. If the profit of cash position is higher than the financing cost, the futures price will be lower than the stock index value (positive basis difference). If the index rises, the positive basis difference will become larger, and it will be profitable to adopt the reverse opening strategy.
Note: Selling spread refers to selling stock index futures contracts that expire earlier and buying stock index futures contracts that expire later; Buying is the opposite.