"Eighteen martial arts" requires at least one or two "fists" or "martial arts".
As the saying goes, know yourself and know yourself. If investors want to become a winning general in the battlefield of stock index futures, they must first understand the rules of the game on how to make money in stock index futures. So, what are the "sharp tools" for these two cities to make money?
The biggest purpose of many foreign stock index futures is to avoid taxes or save taxes. At present, there is no such policy in China, and the main ways to make money by investing in stock index futures are hedging, arbitrage and speculation.
Hedging-hedging to reduce risk
The so-called hedging is to buy (sell) stock index futures contracts with the same quantity as the spot market, but in the opposite direction, so as to compensate the actual price risk caused by the price change in the spot market by selling (buying) stock index futures contracts at some future time.
Hedging is the driving force of the futures market. It can be said that the futures market is not a futures market without hedging. Whether it is the agricultural futures market or the metal and energy futures market, its appearance stems from the spontaneous trading behavior of buying and selling forward contracts when enterprises face the risks brought by the sharp fluctuation of spot prices in the production and operation process. For stock index futures, the significance of hedging is to reduce the future contingent risks of holding stocks to hedge future contingent losses.
So, how to hedge? The most basic types of hedging can be divided into buying hedging and selling hedging. Buying hedging refers to buying futures contracts through the futures market to prevent losses caused by rising spot prices; Selling hedging refers to selling futures contracts through the futures market to prevent losses caused by falling spot prices. Here, just take selling hedging as an example for a brief explanation.
Arbitrage price discovery
If hedging is the patent of institutional investors, arbitrage is relatively popular. Because of the diversification of arbitrage methods, it is more feasible for ordinary investors to participate.
The so-called arbitrage refers to two or more transactions with the same amount and opposite directions in the same market at the same time, so as to lock in the risk-free trading mode.
Arbitrage can be divided into many forms, such as spot arbitrage, cross-market arbitrage, cross-product arbitrage, inter-period arbitrage and so on. But as far as the four contracts of Shanghai and Shenzhen 300 stock index futures are concerned, the feasible arbitrage strategies are generally limited to spot arbitrage and intertemporal arbitrage.
A. spot arbitrage
Spot arbitrage is called "risk-free arbitrage" As stock index futures provide a new short-selling mechanism for A-share trading, it will undoubtedly increase the arbitrage trading opportunities between spot market and futures market. Moreover, stock index futures itself is a financial derivative product, and the price of financial futures will always deviate from the theoretical value, which is an arbitrage opportunity. Of course, it is a very complicated problem to turn this opportunity into an effective trading strategy.
And how to carry out spot arbitrage? First of all. Calculate the theoretical price of futures contracts; Then according to the actual transaction, it is concluded that there is no arbitrage space. When the futures price exceeds the no-arbitrage range, immediately sell overvalued assets, buy undervalued assets, build an arbitrage portfolio, and lock in the profits due.
Intertemporal arbitrage
Intertemporal arbitrage refers to the arbitrage when there is a big deviation in the futures contract of the same target in different delivery months.
Intertemporal arbitrage based on past historical data mining is similar to paired trading, and arbitrage trading is carried out by predicting the future trend of contract spread. Based on the intertemporal arbitrage strategy of "no arbitrage principle", the existence of arbitrage space is observed by calculating the theoretical spread boundary of different contract time.
I have to mention the "due date effect" here. When the contract expires, the futures price and the spot stock index will theoretically converge-this is determined by their convergence. However, if the recent contract has not converged when it expires, it can be converted into a spot position, or it can be converted into a futures arbitrage mode of a forward contract and an index spot.
Speculate-speculate on futures indexes like stock trading.
The data shows that 20% of global stock index futures contracts are hedging, 10% is arbitrage and 70% is speculation. It can be said that speculation is an important operation means of stock index futures. In the first week after the launch of CSI 300, the trading volume was 16 times the position. At first glance, the speculative role of China's stock index futures will be more obvious.
The operation method of using stock index futures speculation is relatively simple for hedging. Holding futures in the same direction as the spot or holding futures contracts without spot can be regarded as speculation. To put it more clearly, futures contracts have been speculated into stocks, but you can buy more and sell short, and trade in both directions.