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This paper mainly studies whether there is arbitrage space for the cross-price spread trading of futures and options. In view of futures and options at different maturities can be found to be highly correlated. And as indicated in previous literature, we can relate the rate of decline of the time value of the option component price spread price of different maturity date to the option of different maturity date. This essay uses empirical methods to test the performance of investment strategies through historical data to test the existence of arbitrage space. In this context, we aim to explore whether the investment strategy consisting of the options in the recent months and the long-term options can earn a time spread. The profit mainly comes from the time value of the recent options. If the price volatility is not large and the time value of the fast-expiring option loses faster than the time-value of the option due later, The time spread can be set to gain profit, but on the contrary, if the weighted index fluctuates too much, this trading strategy will increase losses as the price volatility is too large. Therefore, the trading strategy is risk arbitrage. In view of the effect of volatility on the price of options, the decision of whether to change the grouping of trading strategies according to the theoretical model of reference is made based on strategic performance results.
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