FangQuant › Financial Futures

Daily Review of Future/Spot Arbitrage Opportunity for 2020/8/27

Fang submitted 2020-08-27 23:14:03

Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
------------------------------------------------------------------------------------------------------------------------------
Graph 1: Future (Current Month)-Spot Arbitrage Opportunity for CSI300 contract (in the view of price difference)

Graph 2: Future (Current Month)-Spot Arbitrage Opportunity for SSE50 contract (in the view of price difference)

Graph 3: Future (Current Month)-Spot Arbitrage Opportunity for CSI500 contract (in the view of price difference)

Graph 4: Future (Next Month-Current Month) Arbitrage Opportunity for CSI300 contract (in the view of price difference)

Graph 5: Future (Next Month-Current Month) Arbitrage Opportunity for SSE50 contract (in the view of price difference)

Graph 6: Future (Next Month-Current Month) Arbitrage Opportunity for CSI500 contract (in the view of price difference)

Currently no Comments.