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New Strategy And Effective Verification Of The New High Base Of The Index Basis

2014/7/3 9:17:00 15

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 the index base reached a new high .
 > a href= "http://www.91se91.com/news/index_s.asp" > A shares < /a > the stock index fluctuates sharply last week, the recent index has a big discount, the main contract basis runs down, the trigger point is June 25th, and then the peak base deviation of the index is larger, and the daily basis is short below the -45 point. In the last 5 trading days, the largest premium for the difference was -46, -48, -56, -56 and -59. The spot price fluctuated from 2020 to 2210 points during this period. After conversion, the absolute value of the base rate exceeded 2%. 
 > when the index is listed on December 31, 2012, the maximum discount of the main contract is 30.3 points, the time is May 23, 2012, and the base rate of the day is 1.16%. After the July contract crash in June, the base of the index has not only hit a new high, but also the base rate has been rising. After the formation of the larger discount pattern, a large number of reverse arbitrage opportunities emerge, and there are plenty of opportunities for arbitrage. 
 the scale of the margin is small, and the pattern of large discount for the discount will be ignored. The influence of the reverse arbitrage force can not be ignored. The market will further develop, and reverse arbitrage will be as convenient as the forward arbitrage. The current reverse arbitrage can be seen as an operation mode that is being gradually familiar and used by the current arbitrage. As the 6-7 month is in the dividend intensive period, in order to pay less dividends, the best spot position of reverse arbitrage is 300ETF. When the margin is successful, sell the 300ETF, then sit back to the 0 point, or make use of the last two hours of the delivery date, "spot equal volume buying, futures holding to delivery" form. Since June 25th, the trend of 300ETF has basically converged with the trend of index, and the potential impact cost of repurchase after the sale of short selling securities is relatively small. From the maximum margin margin of 300ETF, the margin stock has risen from 98 million yuan to 359 million yuan between June 24th and June 28th. However, because the overall scale of margin trading is relatively small, the correction force for large discount is still weak. The current pattern of discount will not be realized until mid July. A simple estimate of the percentage of dividends is made by comparing the full equity index and the index trend difference. In the first half, the middle and late July 2012, the dividend index of Shanghai and Shenzhen 300 index is 0.22%, 0.18% and 0.01% respectively. Therefore, the basis may be spanferred from a large paste to a 0 point or even a slight increase on the eve of July's close delivery. For example, the base may rise from -40 to 5 o'clock. 
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 according to the basis of the June 25th to July 1st basis, the market once fell sharply, and after a sharp correction, such as the risk oriented arbitrage strategy, switching to the operational level of "holding the spot continuously, depending on the base discount and continuing to build a warehouse", the profitability is obvious. From Wednesday to Friday, the daily base ranges were 26, 38 and 40 respectively. The biggest discount rates were -46, -48, -56 and -56 points, such as Thursday intervention, and the opportunity of a current arbitrage position on Friday. The above risk period arbitrage strategy is intended to compensate for the potential losses of the underlying adverse movements by acquiring dividends, and to gain a substantial profit from the base. 
 the weak performance of the base, besides the influence of dividend factors, is also affected by the spot trend. The current round of base hit a new low, the 6 trading day, the index did not fall, but rose 1.9%. Therefore, the historical data of the base deviation can not effectively give the market trend. On the contrary, the lower the base, to some extent, the more difficult it is to build up the bears and the higher the potential losses to be paid. Dialectical analysis of the relationship between index and index, index is affected by the constituent stocks, so the analysis index is the constituent stocks of the analysis index. The trend of index and stock is not independent of each other. The change of index market is not spontaneous. The trend of index futures has its explanatory factors. Its factor is < a href= "http://www.91se91.com/news/index_s.asp > > Shanghai Shenzhen > /a > 300 index earnings expectations and other factors. The futures index is closely related to the trend of these stocks. The futures price is pulled by spot price, and the spot performance is bad. Recently, the Fed's withdrawal from the easing policy is expected to become clearer and the domestic economic data are not performing well. The spot performance is not good, and the index has also been in a downward trend. The basis has not been given an effective explanation.