Spot arbitrage refers to a kind of futures contract. When there is a price gap between the futures market and the spot market, it takes advantage of the price gap between the two markets to buy low and sell high and make a profit.

On September 1st, 212, the Shanghai and Shenzhen 3 Index was 3,5 points, but the price of the stock index futures contract due in October was 3,6 points (overvalued), so the arbitrageur can borrow 1.8 million yuan (the annual interest rate of the loan is 6%), while buying a basket of stocks corresponding to the Shanghai and Shenzhen 3 Index (assuming that these stocks do not pay dividends during the arbitrage period);

open a position at 36 points and sell one futures contract of this stock index (contract multiplier is 3 yuan/point). When the stock index futures contract expires, assuming that the Shanghai and Shenzhen 3 Index is 358 points, the arbitrageur can make a profit of 1.8 million * (358/35)-1.8 million = 24,7 yuan in the stock market;

since the stock index futures contract is settled at the delivery settlement price when it expires, and its price is also close to 3,58 points, short selling one stock index futures contract will make a profit of (3,6-3,58) * 3 = 6, yuan. The interest on a two-month loan is 2 * 1.8 million yuan * 6%/12 = 1,8 yuan, so that the arbitrageur can make a profit of 2.47+.6-1.8 = 19,9 yuan through spot arbitrage trading.

expanding information

function: spot arbitrage is very important for the stock index futures market. On the one hand, it is precisely because of arbitrage between stock index futures and the stock market that the price of stock index futures will not be divorced from the spot price of stock index and there will be outrageous prices. Spot arbitrage makes the stock index price more reasonable and can better reflect the trend of the stock market.

on the other hand, arbitrage is helpful to improve the liquidity of the stock index futures market. The existence of arbitrage behavior not only increases the trading volume of stock index futures market, but also increases the trading volume of stock market. The improvement of market liquidity is conducive to the smooth trading and hedging operations of investors.

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