Futures arbitrage, also known as spread trading, uses temporary unreasonable spreads to buy and sell and earn spreads. The specific trading method is: when buying or selling a futures contract, sell or buy another related contract, and at a certain time, close the positions of two contracts at the same time (theoretically, one contract is profitable and the other contract is losing money, as long as the price difference is widened or narrowed, it will make money), so as to profit from the price difference.

For example, the following figure is a case of beef scattered: contract A is currently 3600 yuan/ton, contract B is 3700 yuan/ton, and the price difference is 1 000 yuan/ton. Do you think the price gap between Party A and Party B will narrow in the future? So I made more A contracts and shorted B contracts. After a period of time (say, one month), the contract price difference between Party A and Party B really narrowed to 50 yuan/ton. In this way, you earn a contract and lose a month's contract, but you earn the difference of 50 yuan/ton as a whole.

Futures arbitrage can be divided into three types: intertemporal arbitrage, cross-variety arbitrage and cross-market arbitrage.

Intertemporal arbitrage refers to the arbitrage between contracts of the same variety with different delivery dates, such as Douyi 20 12 contract and Douyi 2 103 contract.

Cross-variety arbitrage is arbitrage between two contract varieties that are mutually substitutable or restricted by the same supply and demand factors, such as soybean one and soybean meal futures contract.

Cross-market arbitrage is the arbitrage between different exchange contracts of the same variety, such as Shanghai copper contract and LME copper contract.

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