Option, also known as option, is a contract that gives the option buyer the right (but not the obligation) to buy or sell the underlying assets at a specific price on or before a specific date. Options, like stocks and bonds, are also a kind of securities. At the same time, it is also a binding contract with strictly defined terms and characteristics. As derivatives, options and futures have the functions of risk management, asset allocation and price discovery. But compared with other derivatives such as futures, options have unique functions and functions in risk management and risk measurement.

Options, futures and spot can be completely converted. For example, options can be synthesized into futures (buy bullish and sell bearish synthetic long futures, buy bearish and sell bullish synthetic short futures), and a theoretical futures price can be calculated according to the spot, so that they can be compared with each other. When the three futures prices are different, they can theoretically arbitrage each other. The arbitrage between options and spot is generally called conversion arbitrage and anti-conversion arbitrage, the arbitrage between futures and spot is generally called current arbitrage, and the arbitrage between futures and options is generally called current arbitrage.

Option synthetic futures: According to the option parity formula C+K e-rt= P+S and the futures pricing formula F=S ert, we can get C-P = (F-K) E-RT, generally ignoring the interest rate, and the futures price F=K+C-P (both synthetic long futures and short futures are this formula). 2016 65438+February 9 50ETF closing price 2.4 13, 65438+February 50 stock index futures IH is 2407.6, and we use the exercise price of 65438+February 2.40 to synthesize futures price F = 2.4+0.0334-0.0252 = 2.42

The prices of the three futures are obviously different. Is there an arbitrage opportunity?

Let's first look at futures between futures and spot, so we have to buy futures and sell spot, but it is difficult to set because it is not easy to short 50ETF; Between the option and the spot, it is also because it is not easy to short the 50ETF, so the futures price synthesized by the option has been lower than the spot price and cannot be set; Between options and futures, futures can be short, but option portfolio futures and futures are similar, and the cost is not much, not to mention that even if there is an opportunity, they are not our individual investors.

However, if you are willing to hold or already hold 50ETF, in this market situation, it is best to directly convert them into cheaper stock index futures IH or synthetic futures and options. For the same thing, we should choose discount, which is the concept of relative income.