It's just that time is short and there is no risk, so it's hard to grasp.

Risk-free arbitrage refers to arbitrage by using the discount-premium relationship between ETF and corresponding index. For example, the current selling price of ETF is 1, and the cost of buying the constituent stocks corresponding to ETF is 0.99, then investors can buy the constituent stocks corresponding to ETF and sell ETF at the same time, realizing risk-free arbitrage of 0.0 1. If there is a discount between ETF and index, there is also an arbitrage opportunity. But at the same time, arbitrage also has costs. If the arbitrage cost is greater than the discount premium, investors will not arbitrage.

It is precisely because of the above reasons that risk-free arbitrage opportunities are only captured by those investors with cost advantages and technological advantages, and it is difficult for other investors to achieve risk-free arbitrage. The historical data of overseas markets also illustrate this point. For example, more than 90% of risk-free arbitrage in Taiwan Province Province is realized by brokers. If the lowest arbitrage cost in the market is 50BP, no investor will arbitrage in this area. At the same time, investor A has incomparable advantages over other investors. His arbitrage cost is 50BP, and he is willing to arbitrage when the discount premium is 60BP. Because of his arbitrage, the fluctuation range of discount premium will be limited to 60BP (under normal circumstances), so investors whose arbitrage cost exceeds 60BP will have no chance at all. At the same time, because of competition, if A wants to arbitrage, he has to lower his arbitrage trigger point.

Through the above analysis, we know that risk-free arbitrage can only be mastered by investors with cost advantages and technological advantages. Generally speaking, they mainly participate in securities firms because they have no commission cost. At the same time, we should also see that even their risk-free arbitrage gains are minimal.