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From the current cross-market ETF in the secondary market, arbitrage of now introduced.
1, how to conduct a secondary market arbitrage positions mode arbitrage?
When T day premium arbitrage opportunities arise when investors buy portfolio and cross-market ETF purchase, acquire ETF shares; while the ETF shares it holds to sell in the secondary market;
In Castrol CSI 300ETF example, when the transaction is less than the net price, a premium arbitrage opportunities, investors buy securities portfolio and purchase Castrol CSI 300ETF, get ETF shares; at the same time it holds Castrol 300ETF share in the secondary market on selling.
When T day discount arbitrage opportunities arise when investors can buy in the secondary market and cross-market ETF redemption of ETF shares get portfolio; portfolio at the same time would have been held to sell.
In Castrol CSI 300ETF example, when the transaction is greater than the net price after discount arbitrage opportunities, investors can buy Castrol CSI 300ETF in the secondary market, and obtain redemption Castrol CSI 300ETF share portfolio; at the same time portfolio has held sold.
2, how to use margin conduct a secondary market arbitrage?
For no ETF share and portfolio investors, also by means of margin can be realized "T + 0" arbitrage, investors need to open a trading business. Specific operations are as follows:
When T Day ETF at a premium, investors can sell the securities company and obtain premium income by trading ETF share and buy at a reasonable price for the portfolio and purchase ETF shares, T + 2 days of purchase ETF shares will repay trading, arbitrage returns at this time for the sale of the balance of the ETF spreads deduction of transaction costs;
When T Day ETF discount, investors can sell into the portfolio and, at the same time to buy ETF shares and T + 1 settlement date of the ETF shares available for redemption, T + 2-3 days will redeem the resulting portfolio for further coupons.
3, if the arbitrage?
When the futures price is higher than the spot price, investors can buy stock at the time of short selling futures when futures prices and spot prices tend to converge by hedge positions or to obtain delivery of the balance of profits. Conversely when the futures price is lower than the spot price, selling stock when buying futures, were open when the punch futures prices and spot prices tend to converge earn the difference between profit or settlement.
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