What is Volatility Arbitrage?
Delayed arbitrage refers to the fact that investors buy and sell ETFs and a basket of stocks "asynchronously", and it takes longer to complete a complete circle of transactions. This type of arbitrage is actually more like a T + 0 transaction. Delay arbitrage is an extension of instant arbitrage. ETF arbitrage can adopt a delayed arbitrage mode.
Delayed arbitrage
Right!
- Chinese name
- Delayed arbitrage
- Explanation
- Refers to investors buying and selling ETFs and a basket of stocks
- Advantages
- Mainly T + 0; T + 0 transaction;
- Risk
- risky
- Delayed arbitrage refers to the fact that investors buy and sell ETFs and a basket of stocks "asynchronously", and it takes longer to complete a complete circle of transactions. This type of arbitrage is actually more like a T + 0 transaction. Delay arbitrage is an extension of instant arbitrage. ETF arbitrage can adopt a delayed arbitrage mode.
- Take full advantage of ETF trading rules, buy or buy ETFs at relatively low points, and sell or redeem ETFs at relatively high points. Compared with instant arbitrage, the success of this type of arbitrage is more important for the short-term trend of the index, and the risk is greater. In practice, in order to ensure the stability of returns and reduce risks, a transaction cycle is usually completed on the same day.
- 1. There are many opportunities for delayed arbitrage. Delayed arbitrage is basically equivalent to band operation. There are many opportunities every day. However, delayed arbitrage is not a simple ETF band operation. Delayed arbitrage is T + 0, which can be entered and exited multiple times a day, and there are more opportunities for operation. If appropriate, you can operate most of the daily fluctuations, which can get greater Profit. According to the recent ETF50, the daily amplitude is more than 1%, and it fluctuates many times a day. In theory, ETF profits can exceed the shocks of the day, and the daily profit is more than 1%.
- 2. Delay arbitrage is mainly based on T + 0, which can effectively avoid many systemic risks. Many of the government's negatives were launched after the market closed, resulting in a big drop the next day.
- 3. Delayed arbitrage is T + 0 trading, and has a good stop loss mechanism. Under the T + 1 mechanism, once the price drops sharply after buying, it can only be sold the next day. It needs to bear a relatively large loss. Time arbitrage is sold immediately when the price drops, which can better avoid risks.
- 4. Delayed arbitrage can save transaction costs. On the one hand, delayed arbitrage can discuss lower transaction costs with securities companies. The most important thing is that the existence of the difference between the market price and market value of ETFs has solved the problem of transaction costs.
- Compared with instant arbitrage, delayed arbitrage is also risky, mainly reflected in the price decline after delay, and a mechanism needs to be established to solve this problem:
- Compared with instant arbitrage, delayed arbitrage requires a high level of operator skill. The development of software technology basically fools instant arbitrage. Although good operator skills will increase profitability, it cannot change the high dependence on software. Delayed arbitrage requires the operator to better grasp the future trend of each band, judge the general trend, and obtain better arbitrage gains.