ETF Ethereum futures
Publish: 2021-04-18 13:43:05
1. Ethereum ETF fund can be sold at a specific price by opening a fund account.
2. ETF is a fund, the other is futures, the two are different. However, ETF is based on a stock index portfolio as the basic investment structure. The relationship between the two, for example, stock index futures is a horse race or ball game, and ETF is an off-site gambling based on this game.
3. Generally speaking, the market price trend of index futures and spot index keep a high degree of synchronization, and the correlation between index futures price and spot index price is relatively high. However, when there is a big deviation between the market price of index futures and its reasonable price, there will be some price deviation between the two markets, which provides a basis for arbitrage trading between the two markets
when using stock index futures for arbitrage, we need to observe the changes of index futures. Generally speaking, the change of index futures should be within a certain range. Once the change of index futures exceeds the range, there will be arbitrage opportunities. When the market price of index futures is higher than the given upper limit, it will carry out forward arbitrage, that is, to buy the spot index and sell the index futures; When the market price of index futures is less than the given lower limit, reverse arbitrage will be carried out, that is, selling spot index and buying index futures
because ETF has no stamp ty, it only needs to consider the Commission of ETF trading, which saves a lot of costs. At the same time, the mobile bank of ETF is better, and unlike stocks that may be suspended for some reason, we use ETF as the spot of index futures to analyze the upper and lower limits of arbitrage, and draw a conclusion: when the market price of index futures fluctuates between the upper limit and the lower limit, We think that the price of index futures is reasonable and there is no arbitrage space at this time. When the price of index futures exceeds the range of upper and lower limits, it can immediately enter the arbitrage space to obtain low-risk arbitrage returns
ETF (Exchange Traded Fund) is a trading open-end index fund. It combines the advantages of closed-end funds and open-end funds. Investors can buy and sell ETF shares in the secondary market as well as purchase or redeem ETF shares from fund management companies through designated ETF dealers. However, their purchase and redemption must exchange a basket of shares for ETF shares or exchange ETF shares for a basket of shares
for forward arbitrage, when the actual price of the index futures contract is higher than that of the spot ETF, the operation strategy is to buy the ETF and sell the index futures contract. Our arbitrage space is the difference between the index futures and the spot ETF, and we have locked in the difference between them when we build the position, When it comes to maturity, the price of index futures converges to the spot price, and the risk-free arbitrage space is obtained
ring the forward arbitrage operation, our costs mainly include: 1. Commission for trading ETFs; 2. The impact cost of trading ETF; 3. The transaction cost of index futures; 4. The impact cost of trading index futures contracts. So when the arbitrage space is greater than the cost of arbitrage, we can carry out the actual operation. In this way, the upper limit of index futures arbitrage is: spot ETF price + transaction cost
for reverse arbitrage, when the actual price of index futures is lower than the theoretical price of index futures, the operation strategy is to sell ETF and buy index futures. Our arbitrage space is the difference between spot ETF and index futures, and we have locked in the difference between them when we build a position, When it comes to maturity, the price of index futures converges to the spot price, and then close the position, so as to obtain the risk-free arbitrage space smoothly
ring the operation of reverse arbitrage, our costs mainly include: 1. Commission for trading ETF; 2. The impact cost of trading ETF; 3. The transaction cost of index futures; 4. The impact cost of trading index futures contracts. So when the arbitrage space is greater than the cost of arbitrage, we can carry out the actual operation. In this way, the upper limit of index futures arbitrage is: spot ETF price transaction cost< In this way, we get the upper and lower limits of the interval pricing model of index futures:
upper limit: spot ETF price + transaction cost
lower limit: spot ETF price transaction cost
when the market price of index futures fluctuates between the upper limit and the lower limit, we think that the price of index futures is reasonable, and there is no arbitrage space.
when using stock index futures for arbitrage, we need to observe the changes of index futures. Generally speaking, the change of index futures should be within a certain range. Once the change of index futures exceeds the range, there will be arbitrage opportunities. When the market price of index futures is higher than the given upper limit, it will carry out forward arbitrage, that is, to buy the spot index and sell the index futures; When the market price of index futures is less than the given lower limit, reverse arbitrage will be carried out, that is, selling spot index and buying index futures
because ETF has no stamp ty, it only needs to consider the Commission of ETF trading, which saves a lot of costs. At the same time, the mobile bank of ETF is better, and unlike stocks that may be suspended for some reason, we use ETF as the spot of index futures to analyze the upper and lower limits of arbitrage, and draw a conclusion: when the market price of index futures fluctuates between the upper limit and the lower limit, We think that the price of index futures is reasonable and there is no arbitrage space at this time. When the price of index futures exceeds the range of upper and lower limits, it can immediately enter the arbitrage space to obtain low-risk arbitrage returns
ETF (Exchange Traded Fund) is a trading open-end index fund. It combines the advantages of closed-end funds and open-end funds. Investors can buy and sell ETF shares in the secondary market as well as purchase or redeem ETF shares from fund management companies through designated ETF dealers. However, their purchase and redemption must exchange a basket of shares for ETF shares or exchange ETF shares for a basket of shares
for forward arbitrage, when the actual price of the index futures contract is higher than that of the spot ETF, the operation strategy is to buy the ETF and sell the index futures contract. Our arbitrage space is the difference between the index futures and the spot ETF, and we have locked in the difference between them when we build the position, When it comes to maturity, the price of index futures converges to the spot price, and the risk-free arbitrage space is obtained
ring the forward arbitrage operation, our costs mainly include: 1. Commission for trading ETFs; 2. The impact cost of trading ETF; 3. The transaction cost of index futures; 4. The impact cost of trading index futures contracts. So when the arbitrage space is greater than the cost of arbitrage, we can carry out the actual operation. In this way, the upper limit of index futures arbitrage is: spot ETF price + transaction cost
for reverse arbitrage, when the actual price of index futures is lower than the theoretical price of index futures, the operation strategy is to sell ETF and buy index futures. Our arbitrage space is the difference between spot ETF and index futures, and we have locked in the difference between them when we build a position, When it comes to maturity, the price of index futures converges to the spot price, and then close the position, so as to obtain the risk-free arbitrage space smoothly
ring the operation of reverse arbitrage, our costs mainly include: 1. Commission for trading ETF; 2. The impact cost of trading ETF; 3. The transaction cost of index futures; 4. The impact cost of trading index futures contracts. So when the arbitrage space is greater than the cost of arbitrage, we can carry out the actual operation. In this way, the upper limit of index futures arbitrage is: spot ETF price transaction cost< In this way, we get the upper and lower limits of the interval pricing model of index futures:
upper limit: spot ETF price + transaction cost
lower limit: spot ETF price transaction cost
when the market price of index futures fluctuates between the upper limit and the lower limit, we think that the price of index futures is reasonable, and there is no arbitrage space.
4. ETF is the abbreviation of exchange traded fund, which is also called exchange traded fund. ETF is an open-end fund in essence, which has no essential difference from the existing open-end funds. However, it also has its own distinctive characteristics in three aspects: first, it can be listed and traded on the stock exchange, and investors can directly trade ETF shares on the stock exchange like trading indivial stocks or closed-end funds; 2、 ETF is basically an index type open-end fund, but compared with the existing index type open-end fund, its biggest advantage is that it is listed on the stock exchange and trading is very convenient; 3、 Investors can only use a basket of stocks corresponding to the index to purchase or redeem ETF, rather than cash purchase and redemption of existing open-end funds
the portfolio of ETF usually completely replicates the underlying index, and its net value performance is highly consistent with the specific index pegged. For example, the net value performance of Shanghai 50 ETF is highly consistent with the rise and fall of Shanghai 50 index< br /> http://ke..com/view/92662.htm
the full name of stock index futures is stock price index futures, also known as stock index futures and futures index. It refers to the standardized futures contract with stock index as the subject matter. The two parties agree that at a specific date in the future, it can be determined according to the size of the stock index in advance, Trading in the underlying index. As a type of futures trading, stock index futures trading and ordinary commodity futures trading have basically the same characteristics and processes< Basic characteristics of stock index futures
1. Common characteristics of stock index futures, other financial futures and commodity futures
Contract standardization. The standardization of futures contract means that all terms of futures contract are pre-defined and have the characteristics of standardization except price. Futures trading is carried out by buying and selling standardized futures contracts
transaction centralization. Futures market is a highly organized market, and the implementation of strict management system, futures trading in the futures exchange centralized completion
hedging mechanism. Futures trading can end the obligation of performance through reverse hedging
daily debt free settlement system. At the end of each trading day, the exchange adjusts the margin account of each member according to the settlement price of that day to reflect the profit or loss of the investor. If the price changes in a direction that is not concive to the position held by investors, investors will have to add margin after daily settlement. If the margin is insufficient, the position of investors may be forced to close out
leverage effect. Stock index futures use margin trading. As the amount of margin to be paid is determined according to the market value of the index futures traded, the exchange will decide whether to add margin or withdraw the excess part according to the market price change
2. The unique characteristics of stock index futures
the subject matter of stock index futures is a specific stock index, and the quotation unit is the index point
the value of a contract is expressed as the proct of a certain monetary multiplier and the quoted price of a stock index
the delivery of stock index futures adopts cash delivery, not through the delivery of stocks, but through the settlement of price difference to settle the position in cash
the difference between stock index futures and commodity futures
the underlying index is different. The target of stock index futures is a specific stock index, not a real target asset; The object of commodity futures trading is the commodity with physical form
delivery methods are different. Stock index futures are delivered in cash, and cash is used to settle the position on the delivery day by clearing the price difference; On the other hand, commodity futures are delivered in kind, which is cleared through the transfer of physical ownership on the delivery date
the degree of standardization of contract expiration date is different. The maturity date of stock index futures contract is standardized, generally in March, June, September, December and so on; The maturity date of commodity futures contract is different according to the characteristics of commodity
the cost of holding is different. The holding cost of stock index futures is mainly the financing cost, and there is no physical storage cost. Sometimes, there is a dividend in the stock. If the dividend exceeds the financing cost, there will be holding income; The holding cost of commodity futures includes storage cost, transportation cost and financing cost. The holding cost of stock index futures is lower than that of commodity futures
speculative performance is different. The response of stock index futures to external factors is more sensitive than that of commodity futures, and the price fluctuation is more frequent and intense, so stock index futures are more speculative than commodity futures.
the portfolio of ETF usually completely replicates the underlying index, and its net value performance is highly consistent with the specific index pegged. For example, the net value performance of Shanghai 50 ETF is highly consistent with the rise and fall of Shanghai 50 index< br /> http://ke..com/view/92662.htm
the full name of stock index futures is stock price index futures, also known as stock index futures and futures index. It refers to the standardized futures contract with stock index as the subject matter. The two parties agree that at a specific date in the future, it can be determined according to the size of the stock index in advance, Trading in the underlying index. As a type of futures trading, stock index futures trading and ordinary commodity futures trading have basically the same characteristics and processes< Basic characteristics of stock index futures
1. Common characteristics of stock index futures, other financial futures and commodity futures
Contract standardization. The standardization of futures contract means that all terms of futures contract are pre-defined and have the characteristics of standardization except price. Futures trading is carried out by buying and selling standardized futures contracts
transaction centralization. Futures market is a highly organized market, and the implementation of strict management system, futures trading in the futures exchange centralized completion
hedging mechanism. Futures trading can end the obligation of performance through reverse hedging
daily debt free settlement system. At the end of each trading day, the exchange adjusts the margin account of each member according to the settlement price of that day to reflect the profit or loss of the investor. If the price changes in a direction that is not concive to the position held by investors, investors will have to add margin after daily settlement. If the margin is insufficient, the position of investors may be forced to close out
leverage effect. Stock index futures use margin trading. As the amount of margin to be paid is determined according to the market value of the index futures traded, the exchange will decide whether to add margin or withdraw the excess part according to the market price change
2. The unique characteristics of stock index futures
the subject matter of stock index futures is a specific stock index, and the quotation unit is the index point
the value of a contract is expressed as the proct of a certain monetary multiplier and the quoted price of a stock index
the delivery of stock index futures adopts cash delivery, not through the delivery of stocks, but through the settlement of price difference to settle the position in cash
the difference between stock index futures and commodity futures
the underlying index is different. The target of stock index futures is a specific stock index, not a real target asset; The object of commodity futures trading is the commodity with physical form
delivery methods are different. Stock index futures are delivered in cash, and cash is used to settle the position on the delivery day by clearing the price difference; On the other hand, commodity futures are delivered in kind, which is cleared through the transfer of physical ownership on the delivery date
the degree of standardization of contract expiration date is different. The maturity date of stock index futures contract is standardized, generally in March, June, September, December and so on; The maturity date of commodity futures contract is different according to the characteristics of commodity
the cost of holding is different. The holding cost of stock index futures is mainly the financing cost, and there is no physical storage cost. Sometimes, there is a dividend in the stock. If the dividend exceeds the financing cost, there will be holding income; The holding cost of commodity futures includes storage cost, transportation cost and financing cost. The holding cost of stock index futures is lower than that of commodity futures
speculative performance is different. The response of stock index futures to external factors is more sensitive than that of commodity futures, and the price fluctuation is more frequent and intense, so stock index futures are more speculative than commodity futures.
5. It will directly increase the trading volume of stock index futures. The newly approved Huatai Bairui CSI 300 ETF and harvest CSI 300 ETF on the 26th can directly participate in the investment of stock index futures, but will not participate in commodity futures.
6. ETF is an index fund, which is passively managed, so it will not actively speculate in stock index futures. Stock index futures is a high-risk financial proct. Although long and short can make money, they may not be able to make money. Any stock fund can not rely on stock index futures to hedge, otherwise it will become a high-risk fund, so the stock index falls, the net value of the fund will also fall
to invest in ETF, just focus on the index. If you are bullish on the stock market, you can buy it. Otherwise, it is wrong to buy it. Because the index rises, ETF will make money, while the index falls, ETF will lose money
now it's 5500 points. How likely is it to rise to 10000 points (100% at most)? How likely is it to fall to 3000 points (maybe lose 50%)? This is the core issue to be considered when investing in stock funds and index funds.
to invest in ETF, just focus on the index. If you are bullish on the stock market, you can buy it. Otherwise, it is wrong to buy it. Because the index rises, ETF will make money, while the index falls, ETF will lose money
now it's 5500 points. How likely is it to rise to 10000 points (100% at most)? How likely is it to fall to 3000 points (maybe lose 50%)? This is the core issue to be considered when investing in stock funds and index funds.
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