Perspective on the three major stock index futures trading methods and techniques Money Tips

Category: Money Tips Date: 2007-01-07

Stock index futures seem simple, but his association with the spot market has a strong correlation as well as the settlement date may occur before the arrival of arbitrage and spawned a variety of transaction. Was first launched in Japan, the Nikkei 225 index futures, because of its local securities firms are not familiar with one of the secret, many large brokerage firms and other outside rivals before QFII losses. To this end, for mainland investors are familiar with a variety of trading methods and techniques is very important.

: Stock-index futures is usually divided into speculation, hedging, or hedging, arbitrage three kinds of transactions. Of course, the overwhelming majority of trading is still speculation, could turn to speculative trading skills?

: Stock index futures trading in the securities market is the subject of the stock price index, and are usually the most recent month contracts, stock index futures price discovery function is often not so obvious. Based on personal experience, customers in the trading of stock index futures, many are looking at doing the spot futures.

Speculative transactions, need to focus on "good times or bad spread", that the bids for futures (futures and spot spread). Many investors are seeing the futures price is higher than the spot (for cis-spread), would think that trend will soon set up, continue to collect high, causing futures prices continued to lift. But often the results are not as expected. Because the spot price of futures is due to settle, that is, with the spot price will be the same. Therefore, inflation is not a spot up close to the futures (as opposed to futures prices rose slowly), or the spot unmoved, but futures prices dragged down the corresponding spot (this time to do more, or a loss).

Spread of the factors causing a lot of good times or bad, sometimes because of a large-scale one-stop playing and will have good times or bad spread. However, should understand that good times or bad, but a spread is too large, arbitrage traders would be admitted to do arbitrage, buy low and sell high price makes the balance. Then will face pressure to buy high-and low-selling will have support, but follow the chase sell into, and will be followed by a loss of joint and several. Therefore, investment in their approach, never should first observe the good times or bad it spreads too much, as to what is called too large, yet to be officially began trading after the observation.

Be noted that the good times or bad expansion of spreads, often would be the reversal point Quotes. Generally speaking, when the cis-spread expansion, but the spot does not rise, or backwardation widened, but the spot does not fall when they should pay attention to whether or not to reverse the Quotes. Since it is often triggered stop-loss orders will appear in the final wave of Quotes.

: In the stock index futures by the due date, and the prices are not relatively large fluctuations? What investors need to pay attention for?

: Most stock index futures contracts, the final settlement price, tend to choose the so-called special offer, namely: the last trading day before closing that day or the day after the market opened the average price for a period of time as the final settlement price. In this way, can effectively protect against big moment in the opening to the closing price is manipulated. China Financial Futures Exchange-listed stock index futures soon, we should also use the settlement price.

Often by the due date, futures and spot volatility of the stock market will be relatively large. The U.S. stock market the so-called witch Day 3 (triple witchs day), simply refer to these three kinds of derivatives and the stock market-related financial products expire on the same day, causing the market volatility. Therefore, investors need to note designated date effects, especially the price difference between good times or bad, if still relatively large, it should be the first profit (stop loss) appearance, or switch to the next one month to go.

In addition, pay attention to changes in the spot market. Operation of commodity futures investors, every day through the relevant channels to understand the day the spot price, the transaction price of the commodity spot will only have one day or a few, change is not significant. The underlying index stock index futures are constantly changing every day, while highly transparent. Therefore, the spot news side is the stock futures must always pay attention to.

: Hedge or safe-haven demand for rational traders to operate?

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: Stock index futures hedging function against systemic risk, that is, broad market pullback or transfer of space-time, the use of shorting futures profit, to circumvent the loss on decline in the spot price package. As for individual stocks up or Change does not require the use of stock index futures hedge.

The use of stock index futures commodity futures hedge than the more complex, unless the hands of the investors portfolio of stock index futures and the underlying index is 100% consistent, or will be subject to detailed calculations (BETA value), in order to determine the number of hands in the end need to use futures contracts, to achieve the purpose of hedging.

Ordinary retail investors, the hands of only a few kinds of stocks, in positions not quite the case, in order to avoid systemic risk, but also reluctant to sell shares, the easiest way is to shorting a small number of futures contracts, until the broader market stabilized back stable immediately after covering futures. Institutional investors, due to position large stock index futures is the best hedging tool, but still need to pay attention not to over-hedge. In addition, the contract month must also choose a larger trading volume in recent months, the contract, they would rather switch to maturity, or go to the election of poor liquidity of the contract month as the underlying transactions.

: We have noticed in the international market, the institutions in the stock index futures arbitrage trade very frequently, can you tell us which operating skills and attention to matters?

: Stock index futures arbitrage can be divided into the following three types: a view is arbitrage, cross-period arbitrage and cross-market arbitrage. Arbitrage is a view according to the first spot position to calculate a specific portfolio (subject to the underlying index and the stronger the correlation), when the futures price difference appears Shun, the shorting futures and simultaneously buying a basket of stocks, when the spread converges (necessarily convergence, because the spot price of futures is due to settlement), the open interest, premiums, when the reverse operation. But because of the shorting individual stocks is more difficult, it is generally more difficult for investors when a reverse spread arbitrage approach. In this manner should be noted that the market impact (MARKET IMPACT), namely: to see a price of admission to do arbitrage, transactions, less Que Shibi prices. In addition, the need to pay attention to investment portfolio if there are no transactions in individual stocks, such as Change to stop or suspension of licenses, resulting in a portfolio position can not be fully established, or can not be liquidated.

Intertemporal arbitrage refers to the use of different contracts from month to month due to differences in liquidity caused by the price deviation to arbitrage. Such transactions must be noted: Although the simple formula can calculate the theoretical price of stock index futures, but only for reference. Because the theoretical price exists only in theory, the far month contract due to lack of liquidity, not necessarily in the last month of the contract expiration price will definitely be revised based on the theory, while not like commodity futures, as can be the first delivery and then pay in the far month goods.

Cross-market arbitrage refers to the use of other markets, similar products traded, making arbitrage between the two places. For example, Shanghai and LME copper or Dalian and CBOT soybeans. But the current policy does not allow ordinary investors to trade foreign goods at the same time in different markets, there are still different billing currency exchange rate risk, it is quite difficult.

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