About stock index futures trading at a discount

I have enabled access to stock index futures.

A long time ago, I knew that arbitrage using contango was profitable, but each contract requires a significant amount of capital—about 200,000 yuan per lot. For example, with the CSI 500, it’s over 250,000 yuan. The index also seems to be at a high level, and recently, the spread of the contango has occasionally disappeared, so I feel uneasy about opening positions now.

Actually, current operations are quite awkward. If the CSI 500 index drops, the contango can’t cover much loss, just enough to maintain the margin. If the index rises, I worry that the position is too high. A sideways market is good because I can profit from the contango and lower the cost basis.

I’m thinking, could we get a few people together to buy one lot jointly, sharing both the gains and risks? For example, if each person contributes 30,000 yuan, ten people can buy one lot. If the market stays flat, everyone benefits from the contango. Of course, if the index rises, that’s even better—more profit. If the index drops significantly, we can share the risk, and everyone won’t have to bear too much of the margin call. The goal is to share both gains and risks, since such arbitrage opportunities are rare in the market.

I wonder if anyone is interested. We could consider partnering up to operate around the CSI 500 at a suitable level. If you’re interested, follow me.