Ccbtc fund arbitrage
in short, bitcoin ETF tracks the price of bitcoin. If the price of bitcoin ETF goes up, then the price of bitcoin goes up; On the contrary, if the price of bitcoin falls, the price of bitcoin ETF will fall. The difference between bitcoin and bitcoin ETF is that we don't have to worry about the bitcoin in our wallet being stolen by hackers, and we don't have to worry about where our bitcoin should be stored. This is a promotion on the technical level. If we buy bitcoin ETF, we will no longer have to learn how to operate bitcoin on the computer.
The rapid rise of bitcoin's price comes from the fact that its use value is graally recognized by popular business services such as green ecology. For example, Jack Dorsey, the founder of Twitter and square, made a high-profile promotion and planning of BTC in Silicon Valley in the United States, which is also called the original ecological currency of the next generation Internet technology, and announced the purchase of $50 million BTC< naturally, apart from the Internet technology circle, it is also like the BTC Private Fund released by grayscale, a financial enterprise, which helps traditional financial enterprises get BTC financial planning
at present, the total position cost of BTC commodity futures is about 6.3 billion, which has increased 133% since the beginning of this year and constantly updated new historical records. Unlike the spot trading market, the increase of non compulsory position closing trading position of derivative procts in zero sum game indicates the contradiction level between buyers and sellers on spot trading base price
In a broad sense, arbitrage is a way of making profits in the capital market, which has a broad meaning. Here we briefly discuss the futures arbitrage. In fact, the best way to understand futures arbitrage is to download tonghuashun futures link , and feel through the simulation disk
futures arbitrage refers to the use of the price difference changes between the relevant markets or contracts, Reverse trading in a related market or contract in order to make profits when the spread changes favorably
There are three arbitrage strategies:first, the current arbitrage
the current arbitrage refers to the reverse operation of spot and futures, which is widely used in interest rate futures and stock index futures markets. The arbitrager will buy or sell the existing goods in the spot market, sell or buy the futures contract of the asset in the same scale according to the same underlying asset in the futures market, and close the position at the same time in the future
In fact, because it takes a long time to buy and sell constituent stocks, and the market situation will change instantly, most people use computer programs to trade automatically in practice. In other words, once the parity relationship between index spot and futures is broken, the computer will carry out arbitrage trading according to the pre-designed programSecond, intertemporal arbitrage
intertemporal arbitrage is usually carried out between futures of the same futures variety with different maturities. Specifically, it refers to buying or selling a short-term financial futures, selling or buying another long-term financial futures with the same underlying assets, and hedging the two futures at or before the expiration of the short-term financial futures contract
compared with current arbitrage, intertemporal arbitrage has less restrictions. Intertemporal arbitrage is carried out in the same market, but there is no short selling restriction in the futures market. Therefore, intertemporal arbitrage is a widely used arbitrage strategy. The index of intertemporal arbitrage is basis. When the basis of different futures contracts based on the same underlying asset exceeds the normal range, risk-free profit can be obtained through intertemporal arbitrage
Third, cross market arbitrage is mainly carried out in the forward foreign exchange market, which is widely used in currency futures. Trading financial futures contracts of one exchange, trading the same number of financial futures contracts of the same term of another exchange, and hedging in the futureand then brush advanced pictures
for example, you can sell fragments of nightmare simulacra this season
300 fragments for one
a nightmare simulacra is
1E
brush 14, 15, 16 can start missions in Zana, you have a chance to get out of the guard map, save 17 fragments in the guard map, and beat 17 to get rid of 18 fragments
18 fragments are also very valuable, A set of 18 is now 4E
this season,
oil insects
is very cheap, you can buy oil by yourself,
insects to eat,
red map,
relatively speaking, fossils are also very cheap, because the ratio of C and E is too low,
on the first day of service, the plot is very simple, I usually finish in seven hours
the role of reclaiming wasteland should choose the role that has harm and survival.
there are many reclaiming wasteland videos in station B. each role has a detailed explanation. You can have a look when you have time
for example, after the first day of the plot, you can move more than 70 items
unidentified equipment
change to C. One is 2c, 1e is 40
more C
< On the third day of the service, the equipment is complete, either special liver or direct currency purchase on the website
now playing assassin
ice sword
COC, the website should be enough to buy 10e, ice sword 2E, clothing magic foundation burst, buy your own base to wash, other
Gold
use the market to wash it
if you haven't got all the watchstone now, In short, there are many ways to earn money,
hunting demons,
, mining, painting, playing 18, Cyrus, painting nightmare simulacra, or just slowly moving equipment to change C
the BTC in the currency trading account can be exchanged through BTC / BCH trading pairs in the trading interface, that is, BTC can be used to buy BCH.
2. About the cross market arbitrage between box glass and futures glass http://bbs.boce003.com/thread-420-1-1.html
3 On the cross market arbitrage between bocom PTA and futures PTA http://bbs.boce003.com/thread-422-1-1.html
Fourth, about the cross market arbitrage of box coke and futures coke http://bbs.boce003.com/thread-423-1-1.html
v On the cross market arbitrage between BSE coking coal and futures coking coal
http://bbs.boce003.com/thread-424-1-1.html 6. On the cross market arbitrage between BSE sugar and futures sugar http://bbs.boce003.com/thread-426-1-1.html
7 On the cross market arbitrage between bocom silver and futures Silver http://bbs.boce003.com/thread-427-1-1.html 8. About the cross market arbitrage of PVC and futures PVC of box http://bbs.boce003.com/thread-429-1-1.html 9 On the cross market arbitrage between BSE's steam coal and future steam coal http://bbs.boce003.com/thread-430-1-1.html
Arbitrage steps of stock index futures
the basic arbitrage trading mode of stock index futures is to buy stock portfolio, sell index or buy index, and sell index. The arbitrage steps are as follows:
(1) calculate the reasonable price of stock index futures contract
(2) calculate the no arbitrage range of futures contracts
(3) determine whether there are arbitrage opportunities
(4) determine the trading scale, and conct stock index contract and stock (or fund) trading at the same time. When the actual trading price of the stock index futures contract is higher or lower than the reasonable price of the stock index futures contract, arbitrage trading can be profitable. But in fact, the transaction costs, which leads to the reasonable price of forward arbitrage moving up and the reasonable price of reverse arbitrage moving down, forming a range in which arbitrage will not get profits, but will lead to losses. This range is no arbitrage range. Only when the actual transaction price of the current period is higher than the upper bound of the range, can forward arbitrage be carried out. On the contrary, when the actual transaction price is lower than the lower bound, reverse arbitrage is suitable
cost of holding pricing model
cost of holding pricing model is a widely used index futures pricing model, which is derived from a no arbitrage portfolio under the assumption of perfect market. The index futures contract is a temporary substitute for the corresponding stock index spot portfolio. The contract is not a real asset, but an agreement between the buyer and the seller. Both parties agree to carry out spot trading at a certain point in the future. On the one hand, when the agreement is signed, there is no transfer of funds, and the seller has to deliver the corresponding stock spot and receive cash later, This must be compensated for the benefits of not receiving cash immediately. On the contrary, if the buyer wants to pay cash and receive the stock spot later, he must pay the cost of using the cash position to delay the stock spot payment. Therefore, from this point of view, the index futures price is higher than the spot price. On the other hand, because the corresponding stock spot of index futures is a stock portfolio that pays cash dividends, the buyer of index futures contract does not receive dividends because he does not hold the stock portfolio immediately, and the seller receives dividends because he holds the corresponding stock spot portfolio, thus recing his holding cost. Therefore, the price of index futures should be adjusted downward to the extent of dividend, That is:
index futures price = spot index price + financing cost dividend income
TS t time point index spot price
TS maturity t time point index spot price
TF maturity t time point index futures price
R risk-free interest rate
total compound interest of index spot dividend at maturity t time point from time point d t to maturity T
(()
1,
[()]i
n
rTttii
iit
Sdw
De
P
-
=
= ×)， ID is the after tax cash dividend per share issued by the i-th sample stock at the it time point, IW is the index weight of the i-th sample stock at the t time point, it is the cash dividend issued by the i-th sample stock at the t time point, pit is the closing price of the i-th sample stock at the t time point
under the condition of no arbitrage, when the portfolio of buying index futures and buying index spot component stock at the t time point is held to the t time point,
the net cash flow of the two investment methods should be equal: () / (1) () / (1) tttt
ttsfrsdrs - + = + - +
sorted out as (1) TT
ttfsrd-= ×+-
interval pricing model
in the actual arbitrage operation, the transaction cost can not be ignored, including transaction fees, capital costs and impact costs. Taking the transaction cost into the index pricing model and using the no arbitrage condition, the no arbitrage pricing range of index futures is derived, in which the transaction cost is calculated based on the index unit:
(,)
(,) (,
tpsfltplfssccscc
FST
bttbtt
- + +
PLC is the cost of buying spot index
PSC is the cost of short selling spot index
FLC is the cost of buying futures contract
FSC is the cost of short selling futures contract
TS is the price of one unit of underlying asset at T
(, FST is the price of the futures contract for delivery of a unit of underlying assets at maturity T
(,) BTT is the risk-free discount factor from t to T
if the dividend factor is considered and the dividend is assumed to be non random, it becomes:
11
(,) (,)
(,)
TTT
tpsfltplfssccbttdsccbttd
FST
btbtbtbt
ττ< br /> ττ< br /> ττ< br />--
==
---+++-+
≤≤
d τ For in τ The above formula gives the theoretical price of the index futures contract under the previous assumptions. In the real transaction, it is difficult to satisfy all the above assumptions. First of all, it is almost impossible for a brilliant investor to construct a portfolio that is completely consistent with the structure of the stock market index; Second, the short-term stock spot trading often makes the transaction cost larger; Third, e to the differences of market trading mechanism in different countries, for example, short selling of stocks is not allowed in China, which will affect the efficiency of index futures trading to a certain extent; Fourth, the dividend yield is difficult to get in the actual market, because different companies and different markets have different dividend policies (such as the timing and method of dividend payment), and the number and time of dividend payment for each stock in the stock index are uncertain, which will inevitably affect the correct determination of the price of index futures contract