期现套利策略失效的原因 期现套利交易中可能存在的风险包括

The failure of arbitrage strategies in the spot-futures market can be attributed to a variety of reasons and risks. Let's delve into some key points and potential risks associated with spot-futures arbitrage trading:

1. Selling more than actual spot quantity

Some spot enterprises engage in hedging and arbitrage operations by selling more spot quantity than they intended to hedge. The excess becomes speculative trading, leading to significant losses if prices surge unexpectedly.

2. Funding costs and execution risks

Spot-futures arbitrage strategies can be affected by high funding costs due to the substantial capital required. Additionally, the limited time for execution in such trades poses execution risks, impacting the profitability of the arbitrage strategy.

3. Reverse arbitrage opportunities

In a scenario where futures prices are lower than spot prices, known as a reverse market, implementing reverse arbitrage by shorting the basis could be challenging. This is because shorting in the spot market is limited, presenting constraints to the execution of reverse arbitrage.

4. Synthetic futures and trade costs

When the spread between synthetic futures and the underlying asset exceeds transaction costs, an arbitrage opportunity arises. Traders can exploit this by buying the asset and shorting synthetic futures if the spread is high or vice versa, targeting profits through the convergence of prices.

5. Risks in constructing spot and futures positions

The process of building and unwinding spot and futures positions in arbitrage trades carries liquidity risks. Ensuring smooth execution and unwinding of positions, especially in volatile market conditions, is crucial to mitigate potential losses.

6. Dividend uncertainty and pricing model risks

Uncertainty in dividend payments and the effectiveness of stock index futures pricing models pose risks to spot-futures arbitrage. Traders need to account for these uncertainties when structuring their arbitrage positions to avoid adverse financial outcomes.

By understanding these reasons and risks associated with spot-futures arbitrage, traders can make informed decisions and implement effective risk management strategies to enhance their chances of success in the market.