Understanding Futures-Spot Arbitrage
Futures-spot arbitrage exploits price discrepancies between stock index futures and their underlying现货 markets. By design,期货 prices converge with现货指数 prices at contract expiration. However, temporary deviations caused by market factors create profitable套利 opportunities through simultaneous trades in both markets.
Core Principles
- Convergence Mechanism:期货合约 prices align with现货指数 upon maturity
- Price Dislocation: Temporary gaps between期货理论价格 and现货指数 trigger arbitrage
- Risk Mitigation: Lower risk than单向投机 due to hedging across both markets
Types of Futures-Spot Arbitrage
1.正向基差套利 (Cash-and-Carry Arbitrage)
When:现货指数 undervalued &期货合约 overpriced
Strategy:
- Sell overpriced期货合约
- Buy成分股 matching index权重
- Close positions when价差 normalizes
👉 Discover advanced arbitrage techniques
2.反向基差套利 (Reverse Cash-and-Carry Arbitrage)
When:现货指数 overvalued &期货合约 underpriced
Strategy:
- Buy underpriced期货合约
- Short sell成分股 via融券
- Exit positions upon price convergence
Execution Framework
| Step | Process | Key Considerations |
|---|---|---|
| 1 | Calculate期货理论价格 | Include借贷利率, 交易手续费 |
| 2 | Monitor无套利区间 | Track price deviations实时 |
| 3 | Determine交易规模 | Balance获利水平 vs 冲击成本 |
| 4 | Implement程式化交易 | Ensure rapid execution (<500ms) |
| 5 | Monitor头寸 | Adjust positions dynamically |
Risk Factors
- 跟踪误差风险:现货组合 vs index performance mismatch
- 流动性风险: Difficult平仓 during volatile markets
- 股利不确定性: Unexpected dividend changes affect pricing
- 模型风险: Incorrect期货定价 assumptions
Market Impact
Benefits
- Price Discovery: Maintains期货-现货 price equilibrium
- Enhanced Liquidity: Boosts交易量 in both markets
- Efficiency: Corrects市场无效性 from过度投机
Challenges
- Requires sophisticated量化交易 systems
- High initial capital (minimum ￥1M recommended)
- Regulatory constraints on融券 availability
FAQ Section
Q: What's the minimum capital needed for futures-spot arbitrage?
A: Typically ￥1M+, depending on合约乘数 and margin requirements.
Q: How long do arbitrage positions usually last?
A: Most close within 1-30 days as价差收敛, but some hold until contract expiry.
Q: Can retail traders participate effectively?
A: Challenging without机构-grade trading systems. Consider ETF-based approaches instead.
Q: What's the typical annualized return?
A: 5-15% after costs, varying by market conditions and strategy sophistication.
👉 Explore arbitrage trading platforms
Practical Example
Scenario:
- 现货指数: 3500点
- 3-month期货合约: 3600点 (理论价格 3550点)
- 套利成本: 30点
Execution:
- Borrow ￥10.8M at 6% annual rate
- Buy现货组合 while selling 1期货合约
At expiry (指数=3580点):
- 股票获利: ￥24,700
- 期货盈利: ￥6,000
- 利息成本: ￥10,800
- Net Profit: ￥19,900
This demonstrates how arbitrageurs profit from定价异常 while contributing to market efficiency.