| On August 17,2018,the 2-year treasury futures contract was officially listed on CFFEX.This paper takes the 2-year treasury futures contract as an example to conduct an in-depth study on the basis arbitrage,in order to provide investors with corresponding operational strategies.First of all,before the formulation of the basis arbitrage strategy,this paper analyzes and introduces the arbitrage market environment,the 2-year treasury futures contract and the special factors in the contract transaction,and clearly defined the spot trading market and short selling operation mode of strategy implementation.At the same time,it points out the arbitrage advantages of 2-year treasury bond futures contracts over 5-year and 10-year contracts,paving the way for the development of strategic research;Then,the treasury futures contract is arbitrage-free,and the basis arbitrage strategy is introduced and reviewed based on the pricing;Subsequently,analyze the delivery options of CFFEX's contract,introduce it into the basis arbitrage strategy of no-arbitrage futures pricing,and systematically and deeply analyze the advantages of the arbitrage strategy incorporating delivery options from the theoretical level.Based on the previous analysis,the empirical analysis of the 2-year treasury bond futures basis arbitrage is carried out,and the advantages of the basis arbitrage strategy incorporating the delivery option are tested.The empirical results are consistent with the theoretical analysis.Finally,the shortcomings and risks of the strategy are reviewed,and the future research is prospected.There are three possible innovations in this paper: First,consider the friction factor in arbitrage trading,construct a reasonable basis interval,and make the strategy more suitable for the market;second,incorporate the delivery option into the basis arbitrage strategy to improve the strategy;third,transforming the binary asset exchange option pricing model into a dynamic model makes it more suitable for basis arbitrage. |
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