Cross-market arbitrage trading includes three trading procedures: SSE 50ETF secondary market trading, primary market purchase redemption and secondary market purchase redemption of a basket of stocks. To understand the whole arbitrage process, we must first understand the specific methods of buying and redeeming.

Purchase and redemption: SSE 50ETF can be traded in the secondary market, and can also be purchased and redeemed in the primary market. When purchasing and redeeming SSE 50ETF funds, a basket of stocks (50 constituent stocks) is exchanged for SSE 50ETF fund shares, and other open-end funds are exchanged for cash and fund shares.

Subscription-exchange a basket of shares of the fund company for the SSE 50ETF fund share, and vice versa-exchange the SSE 50ETF fund share for a basket of shares of the fund company, and the proportion of various stocks in the basket is consistent with the SSE 50 index (see the previous table for details).

The subscription and redemption of SSE 50ETF fund is called "50 application for redemption" for short, and the code is "5 105 1". The value displayed in this code represents the latest reference fund share net value (i.e. IOPV value) of SSE 50ETF Fund, which is calculated according to the market price of 50 constituent stocks of SSE 50 Index and updated every 15 second according to the price changes of constituent stocks. The minimum purchase and redemption unit is 6,543,800 fund shares. Subscription and redemption are applied according to share, and the application is irrevocable after submission. The subscription and redemption fee is 0.5% of the subscription or redemption share.

Cross-market arbitrage trading: "50 redemption" provides the reference net value of SSE 50ETF fund in a short time, and also reflects the average market price level of a basket of stocks at that time. Large investors can carry out short-term arbitrage trading according to the market price difference between "50 redemption" and "50ETF", and the price difference is expressed by discount/premium rate:

Discount/premium rate = (50 ETF secondary market price P- subscription and redemption reference net value IOPV)/ subscription and redemption reference net value IOPV× 100%.

Discount arbitrage: when the transaction price of ETF in the secondary market is lower than its net share value, that is, when a discount transaction occurs, a large number of capital investors can buy ETF at a low price in the secondary market, and then redeem (sell at a high price) their shares in the primary market (that is, fund companies) in exchange for a basket of stocks, and then sell them in the secondary market to realize arbitrage trading.

Premium arbitrage: when the transaction price of ETF in the secondary market is higher than its net share value, a premium transaction occurs. Large investors can buy a basket of stocks in the secondary market, then use these stocks to buy ETFs in the primary market (that is, buy ETFs at a low price), and then sell ETFs at a high price in the secondary market to realize arbitrage trading.

The premise of arbitrage success and profit is that the discount rate is higher than the arbitrage transaction cost, and the arbitrage cost of the first-class transaction broker is the lowest, only 0.3545%. Only consider other necessary transaction costs after exempting commission and subscription and redemption fees. At this time, the arbitrage premium space only needs more than 30 basis points, that is, the price premium difference of 0.3 points; Followed by ordinary trading brokers, 0.8545%, which increased the subscription redemption fee by 0.5% on the basis of the former; The average investor has the highest arbitrage cost of 1.35%. If you can enjoy the commission discount, you can make it a little lower.

If the secondary market price of SSE 50ETF, that is, the "50ETF" shows a price of 0.865 yuan and the reference net value IOPV of the subscription and redemption fund is 0.879 yuan (that is, the estimated net value of SSE 50ETF fund), the process of investor arbitrage is as follows:

1. If the secondary market buys at least 1 10,000 copies of 50 ETFs, the funds required to buy 1 10,000 copies of ETF funds are 0.865×1000000× (1+0.25%) = 867/kloc-.

2. Redeem 6,543,800 ETF funds purchased from fund companies in the primary market, and get a basket of stocks, of which the share quantity of 50 stocks is shown in the table in the previous period, and pay 0.5% of the subscription redemption fee to the securities company, totaling 5,000 yuan.

3. At the same time, a basket of stocks obtained will be sold synchronously in the secondary market, and the selling amount is expected to be 0.879×1000000× (1-0.3%-0.1%) = 874605 yuan, of which 0.3% will be paid.

4. The profit of arbitrage spread is: 874605-5000-867162.5 = 2442.5 yuan.

In this case of discounted arbitrage investment, with the help of ETF arbitrage software, this series of operating procedures can be completed quickly in a short time, which can reduce the market risk brought by price changes. The above income calculation is also carried out under the assumption that the market price has not changed.

If investors can get discounts on commissions and subscription and redemption fees, arbitrage gains will greatly increase;

If the instantaneous discount rate is low, but investors think that the SSE 50 index will rise in the afternoon, this can extend the completion time of the above-mentioned series of operations. After the SSE 50 index (SSE 50ETF and 50 constituent stocks) rises, selling a basket of stocks or ETF funds that were successfully redeemed on the same day in time can obtain high and reliable returns.