The relevant content has not been written into the main text, and the lamplight is unwilling to turn the book into a copy or paste vehicle. Interested readers can read it.

It should be noted that the current Shanghai Stock Exchange 50etf is a fake stock index futures. It is simply a closed fund, with greatly reduced risks, and of course the profit cannot be compared with real stock index futures at all.

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The following is the main text, updated tonight

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Stock index futures have the function of hedging. Huang Ming, dean of the School of Finance, Shanghai University of Finance and Economics, said: "Stock index futures can avoid stock market risks. Our market is now unilaterally driven. With stock index futures, investors who are pessimistic about the market can also make profits in the bearish position."

Hedging

In general, the price of stock index futures and stock spot prices are affected by the same factors, so their direction of change is consistent. Therefore, as long as an investor establishes a position opposite to the stock spot market in the stock index futures market, when the market price changes, he will inevitably make a profit in one market and lose in another market. By calculating the appropriate hedging ratio, the approximate balance between loss and profit can be achieved, thereby achieving the purpose of value preservation.

Let's simulate the trading process of a stock index futures.

On November 29, 2007, the total value of the stock portfolio held by an investor was RMB 5 million, which is calculated as the mid-customer level. Assuming that the Shanghai and Shenzhen 300 (5605.232, -83.31, -1.46%) index was 1650 points at that time. The investor expects the stock market to decline in the next three months. However, since its stock portfolio has strong dividend and bonus potential at the end of the year, the investor decided to use the Shanghai and Shenzhen 300 Stock Index Futures Contract that expired in March 2008 (assuming the contract multiplier is 300 yuan/point) to implement short hedging on its stock portfolio.

Assuming that the price of the 0803 Shanghai and Shenzhen 300 Stock Index Futures on November 29 is 1670 points, the investor needs to sell 10 contracts [i.e., 5 million yuan/(1670 points x 300 yuan/point)] 0803 contracts. If the 0803 Shanghai and Shenzhen 300 Index fell to 1485 points on March 1, 2008, the total market value of the investor's stock portfolio also fell to 4.5 million yuan, and the loss was 500,000 yuan. However, at this time, the price of the 0803 Shanghai and Shenzhen 300 Stock Index Futures fell to

At 1503 points, the investor closes his futures contract and will make a profit (1670-1503) point x 300 yuan/point x 10=501,000 yuan, just make up for the losses in the stock market and achieve hedging. On the contrary, if the stock market rises, the total market value of the stock portfolio will also increase, but with the corresponding rise in the stock index futures price, the investor's short positions in the stock index futures market will suffer losses, which will also offset the profit in the stock market.

Trend profit

It is easier to make profits for long positions in stock index futures.

For example, an investor is optimistic about the recent Chinese A-share market and wants to make a profit from it, but lacks enough cash to build an investment portfolio. He does not have to buy and sell stocks, but can buy and sell Shanghai and Shenzhen 300 index futures and make a profit when the Chinese A-share market rebounds. On the first day, he bought an if0711 contract at 3,000 points, with the contract value of 3,000 points x 300 yuan/point x 1 contract = 900,000 yuan. According to the 10% amplification effect, the investor can only use 90,000 yuan of funds.

One day later, the stock market rebounded further. If0711 Shanghai and Shenzhen 300 Stock Index Futures rose to 3100 points. Investors felt that the price was high enough and decided to sell for profit. Sell an if0711 contract at 3100 points. (3100-3000) x 300 yuan/point x 1 contract = 30,000 yuan. The investor's 90,000 yuan short-term profit of 30,000 yuan.

Things must not be that simple. If the Shanghai and Shenzhen 300 Index fell 10% the next day, 2700x300 yuan/point = 810,000 yuan, the investor's contract account lost 90,000 yuan, and the funds in the margin account just fill the losses in the contract account. At this time, the exchange will notify you to replenish the position. If the position continues to fall the next day, continue to lose money; if the position is not replenished, once the amount of funds falling below the margin account, it will be forced to close the position. This is the "stimulus" of stock index futures.

Stock index futures trading is a real "zero-sum game". If there is a winner, there must be a loser. The total number of winnings and the total number of losses must be equal. Overall, the investment risk of stock index futures is much greater than that of stocks. Lai Meiling, a financial researcher at Hong Kong Ming Pao, said: "Hong Kong's stock index futures are a game of big funds. In the past month, almost all bearish stock index futures sell orders have lost. Hong Kong's data from 2004 to 2005 showed that hedging transactions accounted for 45%, and up and down trend transactions accounted for 36%.

Futures and Spot Arbitrage

The above mentioned are only the two simplest profit methods for Shanghai and Shenzhen 300 Stock Index Futures. More complex profit methods are also arbitrage between futures and spot markets. Investors can make profits by buying low and selling high in the futures market, which is the futures and spot arbitrage of stock index futures. That is, in the stock market and stock index futures market, when the inconsistency between the stock index prices reaches a certain level, it is possible to make profits in both markets at the same time.

Let's simulate a trading process for futures and spot arbitrage. If stock index futures are greatly overvalued, for example, the stock index on September 1 was 1300 points, and the September stock index futures were 1500 points, then the arbitrageur can borrow 1.3 million yuan, buy a basket of stock stocks corresponding to the index, and sell 1500 points and 10 stock index futures (assuming that each contract multiplier is 100 yuan/point). Assuming that the annual interest is 6%, and the corresponding component stocks of the stock index do not issue dividends, then the interest for borrowing 1.3 million yuan per month is 1.3 million x6%/12=6
Chapter completed!