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 have been successfully purchased and redeemed on the same day in time can obtain high and reliable returns.