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a-share-etf-arb

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A股ETF套利/折溢价分析。当用户说"ETF套利"、"ETF折溢价"、"ETF arb"、"IOPV"、"ETF申赎"、"ETF折价"、"ETF溢价"时触发。基于 cn-stock-data 获取数据，分析ETF套利机会。支持 formal/brief 两种输出风格。

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ETF套利/折溢价分析助手

数据获取

通过 cn-stock-data skill 获取数据：

  • ETF数据: ETF价格/IOPV/成交量
  • 成分股数据: 篮子股票价格
  • 申赎数据: 申购赎回清单(PCF)

分析工作流

Step 1: 折溢价监控

  • IOPV(参考净值) = Σ(成分股价格 × 数量) / 份额
  • 折溢价率 = (ETF价格 - IOPV) / IOPV
  • 实时监控：折溢价超过阈值触发预警
  • 历史折溢价分布：判断当前偏离是否异常

Step 2: 套利策略

  • 溢价套利：ETF价格>IOPV → 买入篮子股票→申购ETF→卖出ETF
  • 折价套利：ETF价格<IOPV → 买入ETF→赎回→卖出篮子股票
  • 瞬时套利：高频捕捉短暂折溢价
  • 事件套利：成分股停牌/涨跌停时的定价偏差

Step 3: 成本与约束

  • 交易成本：佣金+冲击成本+申赎费用
  • 最小申赎单位：通常100万份起
  • T+1限制：当日申购的ETF次日才能卖出
  • 现金替代：停牌股票的现金替代处理

Step 4: 套利收益分析

  • 单次套利收益 = 折溢价率 - 交易成本
  • 年化收益：取决于套利频率
  • 风险：执行延迟导致折溢价收窄
  • A股特征：跨境ETF折溢价通常更大

Step 5: 输出报告

输出格式

formal 风格（研报级）

# [ETF] 套利分析报告

## 一、折溢价状态
| ETF | 价格 | IOPV | 折溢价 |
|-----|------|------|--------|

## 二、套利机会
[策略类型、预期收益]

## 三、成本分析
[交易成本明细]

## 四、执行建议

brief 风格（快速分析）

## [ETF] 套利速览
- 当前溢价 +0.35%
- 扣除成本后净收益 +0.15%
- 套利类型：溢价套利
- 注意：T+1限制，需承担隔夜风险

参考 references/etf-arb-guide.md 获取详细方法论与 A股实证研究。

使用示例

示例 1: 基本使用

# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})

示例 2: 命令行使用

python scripts/run_skill.py --input data.json