Firstly, the theoretical pricing model of stock index futures is applied to calculate the theoretical reasonable price of stock index futures contracts;

Second, determine the arbitrage cost and calculate the arbitrage-free opportunity interval of futures contracts;

Thirdly, according to the comparison between the current stock index futures contract price and the calculated no-arbitrage opportunity interval, judge whether there is arbitrage opportunity;

Fourth, determine the scale of trading, and conduct stock index contracts and stock trading at the same time;

Fifth, look for opportunities to end arbitrage.

The complete arbitrage process is as follows:

Figure 1. Current arbitrage flow chart