The Analysis Of Stock Index Futures, ETF Options And ETF’s Arbitrage Strategies In China Market

Approved by the China Securities Regulatory Commission, Shanghai Stock Exchange officially launched the Shanghai 50ETF options on February 9 this year, And the 100 ETF options will be launched in the market by Shenzhen stock exchange。The public listing of Shanghai 50 ETF options will become another important milestone in the development of the China Securities Market, and it is also an important step for China capital market’s progressing and improving constantly. In view of the China financial futures exchange has successfully launched the CSI 300 stock index futures in 2010, and relaunched bond futures in 2013. So far, our country’s financial derivatives markets has expected to form a tripartite confrontation, and the financial derivative products will be developed from the class of stock index futures, bond futures, ETF options to stock index options, stock options, and even individual stock futures, etc.The financial derivatives market is an important part of the capital market system, it is in the top of the capital market. In financial derivatives, options class breed is one of the most abundant, and it’s income-risk portfolio have diversified choices, welcomed and loved by institutional investors and individual investors. No doubt the ETF options launched, with futures and ETF, investors’ investment strategies will have more designs and choices. Investors can not only through the single way of stock index futures to hedge risk, and ETF options can also hedge systematic risk. Once has the incremental in ETF options, also will appear on the spot ETF increment. So it will largely improve ETF market liquidity, and add vitality to the ETF sector. At the same time ETF options also helps to promote the management efficiency of capital market, as a new type of hedging tools, it will bring new vitality to the development of capital market.For ETF spot market, the ETF options listed, with the stock index futures, will bring more investment strategies for investors’investment transactions. In this paper,we conducted a demonstration analysis between Stock index futures,ETF options and ETF arbitrage strategies. First in this paper, we made the basic introduction about concept, content and function of stock index futures, ETF and ETF options. And then we made a analysis and introduce about the arbitrage theory and strategy. Finally, we respectively investigated the arbitrages between stock index futures and ETF and between ETF options and ETF, and carried out a detailed study and empirical analysis.