Research On Future-Spot Arbitrage Strategy Of Stock Index Futures Based On ETF And Options

On April 16,2015,the official launch of China securities 500 stock index futures provided various types of investors with a large number of investment and risk control tools,improved the efficiency of the capital market,and promoted the healthy development and steady operation of the market.The forward carry trade is very important for the development of stock index futures market.It can correct the deviation between futures and spot prices and improve the market liquidity.First of all,this paper describes the domestic and foreign stock index futures arbitrage research progress,so as to determine the need for improvement and innovation.Then it summarizes and describes the theories related to futures arbitrage,which lays a foundation for the derivation of no-arbitrage interval.In previous studies on futures arbitrage of the CSI 500 stock index,the setting of relevant parameters is incomplete and inaccurate.Therefore,this paper makes a comprehensive and systematic consideration of relevant parameters.After determining the no arbitrage interval,the computer program can be used to determine the specific entry and entry signals.Secondly,the paper analyzes the basis fluctuation of CSI 500 stock index futures,and finds that it has a trend of reverse regression when it reaches a certain level.Moreover,the level of basis is proportional to the contract maturity date,that is,the longer the contract maturity date is,the larger the basis is.After comprehensive comparison,this paper chooses the southern China securities500 ETF as the spot to participate in arbitrage,while futures have four types of contracts for the current month,the next month and the following two quarters.Through statistical test,it is found that the return rate series of the current month and the current quarter contract have a stronger correlation with the spot sequence,so the two futures contracts are selected for empirical analysis.Finally,the sample was divided into two time periods with the time of futures margin change as the cut-off point.The program of futures arbitrage was written with MATLAB,and the direction,times and income of arbitrage were counted.The results show that the forward arbitrage strategy is more suitable for the situation of active market,large trading volume and strong speculative power.