The trading behavior of arbitrage by using the unreasonable relationship between futures index and current index is called risk-free arbitrage, and the trading of arbitrage by using the unreasonable relationship between futures contract prices is called spread trading.
Stock index futures and spot index arbitrage principle
It refers to the trading strategy of investing in stock index futures contracts and a corresponding basket of stocks in order to make profits from the price difference of the same group of stocks in futures and spot markets.
(1) When the actual futures price is greater than the theoretical price, sell the stock index futures contract and buy the constituent stocks in the index to obtain risk-free arbitrage income.
(b) When the actual futures price is lower than the theoretical price, buy stock index futures contracts and sell the constituent stocks in the index to obtain risk-free arbitrage income.
Risk-free arbitrage between futures index and spot index
For example, buyers and sellers sign forward contracts and deliver a stock portfolio three months later, which completely corresponds to the Hong Kong Hang Seng Index. The current market value is HK$ 750,000, corresponding to Hang Seng Index 15200 (the multiplier of Hang Seng Index futures contract is HK$ 50), which is 76 points higher than the theoretical index 15 124. Assuming the annual interest rate of the market is 6%, it is estimated that you can get a cash dividend of 5,000 yuan after one month.
Step 1: sell a Hang Seng Index futures contract at the transaction price of 15200, borrow HK$ 750,000 at the annual interest rate of 6%, and buy the corresponding stock portfolio;
Step 2: After one month, collect HK$ 5,000 and lend it at an annual interest rate of 6%;
Step 3: In another two months, the delivery date will arrive. At this time, the two cities closed their positions at the same time. (Spot delivery price is the same)