Doing arbitrage based on the differences between stock index futures contracts

Since its launch, Vietnam's stock market has made remarkable progress including the launch of the derivatives market in August 2017. The first product of the Vietnamese derivatives market is the VN30 index futures contract. The index futures contract is used by investors to hedge against unfavorable price movements of the underlying assets, to forecast the development of the underlying market and to gain profit from arbitrage. This paper discusses ensuring the benefits for investors when they do arbitrage based on the differences between stock index futures contracts.