When using stock index futures for arbitrage, it is necessary to observe the changes of index futures. Generally speaking, the changes of stock index futures should be within a certain range. Once the index futures change beyond this range, there will be arbitrage opportunities. When the market price of index futures is greater than the given upper limit, forward arbitrage will be carried out, that is, buying spot index and selling index futures; When the market price of index futures is less than the given lower limit, reverse arbitrage is carried out, that is, selling spot index and buying index futures.

ETF (exchange traded fund) is called transactional open index fund. It combines the advantages of closed-end funds and open-end funds. Investors can not only buy and sell ETF shares in the secondary market like buying and selling stocks, but also buy or redeem ETF shares from fund management companies through designated ETF dealers. However, their subscription and redemption must be exchanged for ETF shares with a basket of stocks, or exchanged for ETF shares with a basket of stocks.

If it is a forward arbitrage operation, when the actual price of the index futures contract is higher than the spot ETF, the operation strategy at this time is to buy ETF and sell the index futures contract. Our arbitrage space is the price difference between futures index and spot ETF, and we have locked the price difference between them when we opened the position. When the stock index futures price converges to the spot price on the maturity date, we will close the position, thus obtaining the risk-free arbitrage space.