Stock index futures should consider the factors of dividend distribution of constituent stocks, the difference of capital borrowing cost and transaction cost. All these will cause the stock index futures price to have an arbitrage-free zone around the stock index, that is, arbitrage can only be carried out when the stock index futures price breaks through this arbitrage-free zone. Even if we really break through the no-arbitrage zone, we need to consider some other factors. For example, to arbitrage, you need to buy and sell a basket of constituent stocks corresponding to the index. If the number of constituent stocks is large, a smaller basket of stocks is generally used to reduce the transaction cost, but this will also bring the problem of tracking error. If futures are undervalued, the cost of shorting the spot will be higher.

Futures trading needs to pay margin, especially when the price changes are unfavorable. Therefore, in practice, stock index futures arbitrage is an institutional patent, and it is difficult for ordinary individual investors to arbitrage directly. The unreasonable relationship arbitrage between stock index futures and stock index spot, and between different contracts of stock index futures. Stock index futures contract is a financial futures contract with stock price index as the subject matter, and the futures index and spot index (CSI 300) maintain a certain dynamic relationship. However, sometimes the futures index deviates from the spot index, and when this deviation exceeds a certain range (the upper and lower limits of the arbitrage-free pricing range), arbitrage opportunities will appear. Invest in the stock index futures contract and the corresponding trading strategy of a basket of stocks in order to seek profits from the price difference of the same group of stocks in the futures and spot markets. Inter-period arbitrage: use the price difference between stock index futures contracts in different months to trade in the opposite direction and profit from it. Cross-market arbitrage: Arbitrators trade two similar futures contracts in opposite directions on two exchanges at the same time. Cross-variety arbitrage: arbitrage trading is carried out by using the price difference between two different varieties that are mutually substituted or affected by the same supply and demand factors.