Futures arbitrage BTC
1. Lower risk. The price difference of different futures contracts is far less dramatic than the absolute price level, which reces the risk accordingly, especially avoids the risk of sudden events on the disk
2. Arbitrage trading can attract large funds, because of bilateral positions, it is difficult for major institutions to force arbitrage traders out< 3. Long term stable yield. At the same time, arbitrage is operated by using the unreasonable price difference in the market. In most cases, the unreasonable spread will return to normal soon, so arbitrage has a high success rate
there are three main arbitrage modes: intertemporal arbitrage, cross commodity arbitrage and cross market arbitrage< 1. Intertemporal Arbitrage: it is an arbitrage mode in which futures contracts of the same commodity in the same market in different maturity months are traded, and profits are made by using the price difference changes of contracts in different maturity months. This time we provide you with arbitrage of soybean and natural rubber varieties
2. Cross variety Arbitrage: it is to use the price changes between two different but interrelated commodities to hedge for profit. That is to say, when one month futures contract of a certain commodity is purchased, another similar delivery month futures contract of related commodities is sold at the same time. There are mainly (1): arbitrage between related commodities (this time we provide arbitrage between copper and aluminum) 2 Arbitrage between raw materials and finished procts (such as the arbitrage between soybean and soybean meal)
3. Cross market arbitrage: it is a way of buying (selling) a commodity futures contract in one month in one futures market and selling (buying) the same kind of contract in another market in order to hedge profit taking at a favorable time. This time, we provide the most mature arbitrage between Shanghai copper and London copper and the arbitrage between Dalian soybean and CBOT soybean
arbitrage transaction can be divided into real arbitrage and virtual arbitrage according to whether the physical object is handed over or not. Arbitrage generally try not to take firm offer, through the price difference changes of different contracts to profit. With the rich practical trading experience and the intervention of large funds, many enterprises begin to combine futures and spot, further develop the hedging theory, and raise the goal of hedging to value-added with a more positive attitude. In this way, the more arbitrage the firm offer is,
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but it also needs to have good arbitrage strategy
if the demand for funds is large, the margin can be directly reced to the standard of the exchange
all of these can be adjusted well
if arbitrage is done well, it will be relatively stable
when we have time to communicate with each other, we have been doing arbitrage for several years
There are four kinds of Futures Arbitrage: futures arbitrage, intertemporal arbitrage, cross market arbitrage and cross variety arbitrage
if you say risk-free arbitrage, on the premise of ensuring that you have the ability to deliver, futures arbitrage is the closest way to risk-free arbitrage. The remaining risk is just the risk of dealing with the realization of this result. For example, the risk of margin call of futures position, liquidity risk of position closing, etc
for the other arbitrage methods, the risk increases in turn, and the forward arbitrage & lt; Intertemporal arbitrage & lt; Cross market arbitrage & lt; Cross breed arbitrage
therefore, the so-called risk-free arbitrage still has risks, just the degree of relative risk
The essence ofis to speculate on the price difference. And futures arbitrage looks very simple, but in fact it still needs a certain degree of professionalism. Because we need to understand the nature of the price difference. If the price difference does not return one day, the result will be years of hard work
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arbitrage, also known as hedging profit, refers to the trading behavior of futures market participants using the price difference between different months, different markets and different commodities to buy and sell different types of futures contracts at the same time in order to obtain profits
in the futures market, arbitrage can sometimes provide more reliable potential returns than simple long-term trading, especially when traders conct in-depth research and effective use of the seasonal and cyclical trend of arbitrage
some people say that the risk of arbitrage trading is smaller than that of simple long-term trading, which is not accurate. Although the inherent risk of arbitrage of some seasonal commodities is lower than that of some simple long-term trading, arbitrage is sometimes more risky than long-term trading. When the prices of two contracts and two commodities move in the opposite direction, the two arbitrage transactions will suffer losses. At this time, arbitrage becomes a very risky transaction
therefore, as far as the whole futures trading is concerned, arbitrage trading is still a speculation with high risk and high return. The profit of arbitrage trading comes from one of the following three ways: (1) in the contract holding period, the profit of short is higher than the loss of long 2) In the contract holding period, the profit of long is higher than the loss of short 3) Both contracts are profitable
the loss of arbitrage trading comes from the opposite way: (1) in the contract holding period, the profit of short is less than that of long 2) In the contract holding period, the profit of long is less than the loss of short 3) Both contracts lost money
for example, on May 22, 2003, a trader arbitraged the August and November soybean meal contracts, sold 10 August contracts at 2092 yuan / ton, and bought 10 November contracts at 2008 yuan / ton. On May 29, the price of the August contract dropped to 2059 yuan / ton, and the price of the November contract rose to 2029 yuan / ton. The arbitrage trader can issue a closing order to end the arbitrage transaction. As a result, the trader made a profit of 330 yuan on the August contract and 210 yuan on the November contract, with a total profit of 540 yuan (excluding handling charges). This is a case where both contracts are profitable. Of course, this is less likely to happen< (6) methods of futures arbitrage
there are three main forms of arbitrage in futures market, namely cross delivery month arbitrage, cross market arbitrage and cross commodity arbitrage< (1) cross delivery month Arbitrage (cross month arbitrage)
the activity of speculators in the same market, taking advantage of the change of the price gap between different delivery periods of the same commodity, buying futures contracts in one delivery month and selling similar futures contracts in another delivery month to make profits. Its essence is to make profit by using the relative change of the price difference between different delivery months of the same commodity futures contract. This is the most common form of arbitrage. For example, if you notice that the price difference between May soybean and July soybean exceeds the normal delivery and storage fees, you should buy the May soybean contract and sell the July soybean contract. Later, when the July soybean contract is closer to the May soybean contract and the price difference between the two contracts is narrowed, you can get a profit from the change of the price difference. Cross month arbitrage has nothing to do with the absolute price of commodities, but only with the trend of price difference between different delivery periods.
Futures arbitrage, also known as spread trading, is to make use of the temporary unreasonable spread to make a buy and sell transaction in order to earn the spread. The specific trading method is: when buying or selling a certain futures contract, selling or buying another related contract, and closing the positions of the two contracts at the same time at a certain time (in theory, one contract earns money and the other contract loses money as long as the spread expands or narrows), so as to earn profit from the spread
for example, the following figure is a case of bull market arbitrage: Contract A is currently 3600 yuan / ton, contract B is 3700 yuan / ton, and the price difference is 100 yuan / ton. Do you think the price difference between contract a and contract B will narrow in the future. So long a contract, short B contract. After a period of time (for example, one month), the price difference between Party A and Party B is reced to 50 yuan / ton. In this way, you earn one contract and lose one month's contract, but you earn a price difference of 50 yuan / ton as a whole
futures arbitrage can be divided into intertemporal arbitrage, intertemporal arbitrage and intertemporal arbitrage
intertemporal arbitrage refers to the arbitrage between different delivery date contracts of the same variety, such as Douyi 2012 contract and Douyi 2103 contract
cross breed arbitrage refers to the arbitrage between two kinds of contracts, such as soybean futures contract and soybean meal futures contract, which are mutually substitutive or restricted by the same supply and demand factors
cross market arbitrage is the arbitrage between the same variety and different exchange contracts, such as Shanghai copper contract and LME copper contract
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(1) sell out hedging is used to protect the future decline of stock portfolio price. Under such hedging, the hedger sells the futures contract, which can fix the future cash price and transfer the price risk from the holder of the stock portfolio to the buyer of the futures contract. One of the situations of hedging is that investors expect the stock market to fall, but they ignore to sell their stocks; They can then sell short the stock index futures to compensate for the expected loss of holding stocks
(2) purchase hedging is used to protect the change of future purchase stock portfolio price. Under this kind of hedging, the hedger buys futures contracts. For example, the fund manager predicts that the market will rise, so he hopes to buy stocks; However, if there is no immediate supply of funds for buying stocks, he can buy the futures index. When there are enough funds, he can sell the futures and buy stocks. The futures income will offset the cost of buying stocks at a higher price< 2. The concept of Hedging:
hedging is to use futures to fix the value of investors' stock portfolio. If the rise and fall of the stock price in the portfolio follow the change of the price, the loss of one investor can be offset by the profit of the other. If profit and loss are equal, this kind of hedging is called complete hedging. In the stock index futures market, full hedging will bring risk-free return
note: hedging is not so simple; In order to achieve full hedging, the return of the stock portfolio should be exactly the same as that of the stock index futures contract.