What is stock index futures arbitrage?

arbitrage

Arbitrage is a strategy that can achieve long-term stable profits. There are many prerequisites. Relatively speaking, those who can maintain stable profits for a long time are those with strong anti-risk ability and the people with the highest returns in this market.

Stock index futures arbitrage, stocks have corresponding stock index futures, understand this stock as spot stock, and stock index futures are understood as a period arbitrage carried out by futures. The spot corresponding to this stock index futures is to use ETF to replace this basket of stocks. It’s cheap, basically a few dollars per sheet, and thousands of dollars if multiplied by 100. Everyone can do it, as long as the corresponding market value of the stock is calculated through the beta coefficient. In addition, the second point is that the cost of shorting domestically is relatively high, so you can only do arbitrage when the stock index futures rise, that is, sell futures and then buy stocks. Shorting stocks is because the cost of securities lending is relatively high , and often fail to melt. When the stock price rises, and the market and individual stocks are all rising, investors will have an expectation for the future of this market. Superimposed on futures, stock index futures is a leveraged transaction, and leveraged transactions will have a leverage effect. Good expectations and high enthusiasm will make stock index futures rise very fast, faster than the spot market. It means that the stock will rise faster. After a period of time, the futures price will appear, and its expected price will be much higher than the spot price of the stock. Then the opportunity for arbitrage will come at this time. It will tend to be consistent, at least very close, and one of the price differences is the profit margin, and since one is bought and one is sold, so when one is rising and making money, the corresponding short of the other is When losing money, generally speaking, there is neither profit nor loss, so most people can bear this risk. When the market is too hot and most people enter the market, the leverage effect of the futures price will be pushed up very high. This is an excellent arbitrage opportunity.

risk

Compared with unilateral arbitrage, it is much more stable. But it is not risk-free. Its risk points lie in two aspects. One is the occupation of margin. Our arbitrage is two-way, that is to say, you need to open positions in two aspects, and you need to occupy double the margin , If more margin is occupied, there will be a certain risk. The second risk is that when the price difference has not returned, when the price difference continues to expand, it is forced to stop loss. This is also a risk point, mainly in the Two ways. The risk of arbitrage is relatively small, and its profit is also very small. By holding it for a long time to gain a return of its price, when its price returns for a long time and tends to be consistent for a long time, you can do it in reverse and make it a The widening of the spread.