It involves many models and methods. Let’s talk about the simplest one.

The underlying target of stock index futures is the CSI 300 Index. There is a certain difference between the quotation of the futures contract of the current month and the quotation of the 300 Index. As for the price difference, due to the mandatory convergence of futures and spot on the delivery date, the spot price difference on the expiration date should theoretically be zero.

From a certain gap to zero, the price difference between this is the arbitrage profit (theoretically)

Specific operation:

Assume that the price difference between futures and spot in the current month is 60 points, and sell one lot at the same time For stock index futures contracts, if you buy a basket of stocks corresponding to the CSI 300 Index (you can also use ETFs instead, calculate the correlation coefficient), on the delivery date, the futures-to-cash price difference returns to zero (possibly a negative value) and you close the position at the same time, you can obtain unlimited profits. Risk Profit