Research On Spread Of CSI300Index Futures Of China

On April16,2010, China officially launched the CSI300index futures, to make up China’s embarrassed stock market that investors can only be bulls but can not be bears, and the CSI300index futures bring potentially profitable opportunities for investors that meets the market’s demand. The Stock index futures are leveraged, directly to do a long or short stock index futures not only requires accurate judgment and a keen nose for the market, but also to assume greater risks, so it is more difficult for investors to make profit. Therefore, I would like to write from the small and medium investors’ point of view, to dig out the arbitrage with stable profit, easy operation and lower level of risk.Futures arbitrages generally include time present arbitrage, calendar spread arbitrage, across-species arbitrage and cross-market arbitrage. The time present arbitrage needs buying in both the futures market and the stock market, and takes the advantage of futures and stocks price volatility to make profit. As large amount of money is needed in the stock market, it is not adapt to small and medium investors, so this paper will not make the analysis of time present arbitrage. While China’s capital market has no across-species arbitrage and cross-market arbitrage opportunities at this stage, so this paper will focus on analyzing the calendar spread arbitrage.Theoretical analysis of spread principle can be derived from a variety of arbitrage strategies for different situations. For example, the contract spread of the different months becomes wider abruptly, and the investors expect the spread will gradually return to normal levels and the carry out arbitrage strategies that the spread would narrow. Based on the research and analysis of the CSI300index futures data from April16th,2010to December16th2011, this paper concluded the characteristics of the different month of contract spreads gradually reduced in most cases, and initially built the overall spread model:carrying out the arbitrage strategy to the direction of the spread narrowed, and finding out the make-profit point and stop-loss point, and introducing the concept of arbitrage signals. This is the innovation of this paper.Subsequently, this paper analyzed the profitability of the model, the results shows that the model makes more than10%of annual percentage yield under the circumstances that the CSI300Index drops sharply. This model not only helps increasing the value of the assets, but also provides a low-risk calendar spread arbitrage for small and medium investors to make consistent profits even in the bear market.