Cash-Futures Arbitrage Strategy
Trade the basis between spot exposure and futures fair value
Cash-Futures Arbitrage Strategy is a systematic arbitrage template that estimates cash-futures basis net of carry, validates executable edge with basis exceeds financing, storage, borrow, and execution costs, hedges exposure through long cheap leg and short rich leg with matched notional exposure, and exits through basis converges toward fair value or the futures contract approaches expiry. - CME Group
本策略作為教育示例提供，其靈感來自常見的公共技術分析概念和參考材料。僅用於研究和產品演示，不構成投資建議。
策略適用性
風險: HIGH
✅ 適用於
❌ 避免使用於
Arbitrage is not risk-free in live execution; basis-widening stop, margin buffer, and delivery or roll-date cutoff must be explicit and stress-tested.
問: What is the core idea behind Cash-Futures Arbitrage Strategy?
The strategy measures cash-futures basis net of carry, enters only when basis exceeds financing, storage, borrow, and execution costs, hedges with long cheap leg and short rich leg with matched notional exposure, and exits when basis converges toward fair value or the futures contract approaches expiry.
問: When does Cash-Futures Arbitrage Strategy usually fail?
It usually fails when the apparent spread is smaller than real execution costs, one leg cannot be filled, or the relationship stops converging.
問: How should Cash-Futures Arbitrage Strategy be backtested?
Backtest it with leg-level fills, latency, order-book depth, financing, borrow or funding costs, settlement timing, margin, and failed-execution scenarios.
此策略的運作方式
從市場解讀到交易管理的 5 階段決策流程
1
Mispricing Scan
Measure the spread
Track cash-futures basis net of carry continuously across the legs being compared
Normalize quotes for fees, financing, borrow, funding, FX conversion, and settlement timing
Ignore apparent spreads that cannot be executed at displayed size
2
Edge Validation
Confirm executable profit
Trigger only when basis exceeds financing, storage, borrow, and execution costs
Validate the hedge with long cheap leg and short rich leg with matched notional exposure
Require expected edge to exceed full round-trip costs and slippage buffer
3
Hedge Check
Keep legs aligned
Confirm all legs are tradable before submitting any partial order sequence
Reject signals when one leg has stale quotes, short-sale constraints, or thin depth
Check whether the spread can converge inside the planned holding period
4
Paired Execution
Enter and unwind legs
Enter only when Basis = Futures Price - Spot Price - Carry Cost shows a positive net arbitrage edge
Execute with simultaneous spot and futures orders or staged hedge-first execution
Exit when basis converges toward fair value or the futures contract approaches expiry
5
Break Control
Cap basis and leg risk
Define basis-widening stop, margin buffer, and delivery or roll-date cutoff before entering the spread
Model failed fills, settlement mismatch, borrow recall, and margin calls in the backtest
Stop the strategy when convergence assumptions no longer match observed market structure
策略元件參考
- Cash-Futures Arbitrage Strategy
- Cash-Futures Arbitrage Strategy is a systematic arbitrage template that estimates cash-futures basis net of carry, validates executable edge with basis exceeds financing, storage, borrow, and execution costs, hedges exposure through long cheap leg and short rich leg with matched notional exposure, and exits through basis converges toward fair value or the futures contract approaches expiry.
- Cash-Futures Arbitrage Strategy Market Suitability
- The Cash-Futures Arbitrage Strategy strategy works best in Markets where cash-futures basis net of carry can be observed, traded, and hedged with reliable quotes.. Liquid instruments where all legs can be entered and exited close to the tested prices.. Temporary dislocations where long cheap leg and short rich leg with matched notional exposure keeps directional exposure controlled until convergence.. Traders should avoid using this strategy in Markets where the quoted edge disappears after fees, slippage, financing, borrow, or settlement costs.. Fast markets where one leg fills and the hedge leg moves before execution completes.. Structural breaks where the spread is not a temporary mispricing and does not converge.. The risk level is categorized as HIGH. Arbitrage is not risk-free in live execution; basis-widening stop, margin buffer, and delivery or roll-date cutoff must be explicit and stress-tested.
- What is the core idea behind Cash-Futures Arbitrage Strategy?
- The strategy measures cash-futures basis net of carry, enters only when basis exceeds financing, storage, borrow, and execution costs, hedges with long cheap leg and short rich leg with matched notional exposure, and exits when basis converges toward fair value or the futures contract approaches expiry.
- When does Cash-Futures Arbitrage Strategy usually fail?
- It usually fails when the apparent spread is smaller than real execution costs, one leg cannot be filled, or the relationship stops converging.
- How should Cash-Futures Arbitrage Strategy be backtested?
- Backtest it with leg-level fills, latency, order-book depth, financing, borrow or funding costs, settlement timing, margin, and failed-execution scenarios.
- cash-futures basis net of carry
- cash-futures basis net of carry defines the price relationship being tested for temporary divergence after normalizing for costs and timing. Formula: Basis = Futures Price - Spot Price - Carry Cost
- Fair Value Anchor
- The fair value anchor sets the baseline for deciding whether the observed spread is a tradable dislocation or normal market noise. Formula: Theoretical value or parity
- Cost Adjustment
- Cost adjustment prevents the strategy from treating a gross price difference as profit when trading frictions consume the edge. Formula: Fees + financing + slippage
- long cheap leg and short rich leg with matched notional exposure
- long cheap leg and short rich leg with matched notional exposure defines how the strategy offsets market exposure so the result depends mainly on spread convergence. Formula: Offset exposure by leg
- Leg Ratio
- The leg ratio converts a spread signal into balanced order sizes and reduces accidental outright exposure. Formula: Hedge units per signal unit
- Liquidity Gate
- The liquidity gate requires each leg to have enough depth to support the planned trade without destroying the expected edge. Formula: Depth >= required size
- basis exceeds financing, storage, borrow, and execution costs
- basis exceeds financing, storage, borrow, and execution costs converts a measured spread into an actionable setup only after costs and execution constraints are included. Formula: Net spread exceeds threshold
- simultaneous spot and futures orders or staged hedge-first execution
- simultaneous spot and futures orders or staged hedge-first execution defines how the strategy enters related legs while reducing the chance of unhedged partial fills. Formula: Submit paired legs
- Minimum Edge
- Minimum edge sets a buffer above estimated costs so small quote flickers do not become low-quality trades. Formula: Expected profit > buffer
- Convergence Exit
- The convergence exit unwinds the position when basis converges toward fair value or the futures contract approaches expiry, turning spread normalization into realized profit or controlled loss. Formula: basis converges toward fair value or the futures contract approaches expiry
- Time Stop
- The time stop closes spreads that do not converge fast enough, because capital, financing, and margin costs rise with holding time. Formula: Close after max holding period
- Partial Fill Cleanup
- Partial fill cleanup exits or hedges leftover exposure created when one leg fills more completely than another. Formula: Flatten unhedged residue
- basis-widening stop, margin buffer, and delivery or roll-date cutoff
- basis-widening stop, margin buffer, and delivery or roll-date cutoff defines when the expected convergence relationship has become unsafe or economically invalid. Formula: Invalidation threshold
- Basis Risk
- Basis risk measures the chance that related instruments stop moving together during the holding period. Formula: Legs diverge after entry
- Margin and Funding
- Margin and funding rules test whether the strategy can survive adverse spread movement before convergence occurs. Formula: Capital cost under stress