Butterfly arbitrage is a synthetic form of arbitrage trading, involving three contracts. As the name implies, butterfly arbitrage is like a butterfly, with wings symmetrical to both sides of the body. Three kinds of contracts in futures arbitrage are near-month contracts, forward contracts and more forward contracts, which we call near-end contracts, mid-end contracts and far-end contracts. Butterfly arbitrage did not open a position in the net position, and adopted 1 near-end contract in the position arrangement; 2 intermediate contracts; 1 remote contract. Among them, the direction of the near contract and the far contract is the same, while the direction of the intermediate contract is opposite to them. That is, one group is: buy near month, sell middle month and buy far month (multi-butterfly arbitrage); The other group is: sell near month, buy mid month and sell far month (short butterfly arbitrage). The two groups of exchanges span three different delivery periods, and the futures contracts with three different delivery periods are not only the same variety, but also the same quantity, and the difference is only the price. It is precisely because of the objective differences in the price levels of futures contracts in different delivery months, and with the changes in the relationship between supply and demand in the market, there may be a large price difference between the contracts in the middle delivery month and the contracts in both delivery months. This has caused arbitrageurs to be highly interested in butterfly arbitrage, that is, by operating butterfly arbitrage, using the futures contract spreads in different delivery months to hedge and close positions to make profits.