股指期货上市四个月,根据我们持续跟踪的期现套利模型,发现随着时间推移,期现套利机会和收益率均有明显下降。事实的确如此,随着期指市场套利参与者增多,市场效率提升,传统期现套利机会逐步缩减,利润越来越薄。相反,倒是我们前期不怎么关注的跨期套利,表现相对稳定,存在一些不错的套利机会。下面我们探究几种比较可行的跨期套利机会。 Stock index futures listed four months, according to our ongoing tracking of the current arbitrage model and found that over time, the timing of arbitrage opportunities and yields have dropped significantly. Indeed, with the increase of futures market arbitrage participants and the improvement of market efficiency, the traditional arbitrage opportunities are gradually reduced and profits are getting thinner and thinner. On the contrary, it turns out that we did not pay much attention to the intertemporal arbitrage in the prior period. The performance was relatively stable with some good arbitrage opportunities. Below we explore several more feasible interim arbitrage opportunities.