From "small leek learning circle"
Q
I am now long held ic. I have observed IC1907 and IC1909 premium difference is subject to fluctuations. Sometimes, IC 1907 rose more, sometimes IC1909 up more. And one day this trend is relatively stable. Then I thought: if at the time of IC 1909 rose more than IC1907 will change hands in 1909 to 1907, when IC1907 IC1909 rose more than wait until 1907 and then change to 1909 to achieve the objectives of enhanced index. I think this is a simple to operate than ic buy low and sell high to make the difference between short and reliable. Is probably not much chance. Maybe a month a few chances. But the advantage is I do always have the goods, there is no Ta and stuck. Just simply do enhanced index. The wisdom of small leek, do you think there is no problem with this approach? Where risk points?
A
This strategy is essentially done on intertemporal arbitrage, maturity refers to the use of different futures, a buy a sell, wash away the risk of price changes on their own, away to earn revenue fluctuations of both price difference. Your method is equivalent superimposed on the intertemporal arbitrage holding period means that essentially wants to enhance the earnings of part or intertemporal arbitrage.
The risk is that the index is due time, but before the expiry time comes, the difference does not guarantee return. For example, such as we hold ic1909, today ic1909 ic1907 up much more than that, we switched to the ic1907, the results of the rest of the day, ic1909 been up even more, did not rise much until 1907, 1907 expires, which when we are forced to sell in exchange for 1907 1909 (or 1908), which has been held in relation to 1909 it produced a loss.
Generally speaking, when market sentiment repair, optimistic about the future market prices when the far month contract premium will narrow even more in recent months because of the forthcoming expiration of the contract, and a limited degree of deviation from the index, so the forecast different months of premiums and discounts change, in fact, evolved into guess the market ups and downs, but doing it in fact is not easy.
I did a while before intertemporal arbitrage, often continued making a lot of money to catch up with the market while mutation, and again back losses, in general, is not recommended in this way, or holding a premium honestly eat it .