According to the trading rules of Shanghai and Shenzhen 300 stock index futures contracts issued by CICC, the settlement price of this contract is the arithmetic average price of the last two hours of the last trading day of the underlying index. Accordingly, the settlement price for delivery is the average value of the Shanghai and Shenzhen 300 Index. The average attribute determines its relatively good stability and relatively small volatility. Although the delivery settlement price curve is not formed by actual direct transactions, investors can simulate this curve in real time according to the "arithmetic average price of the underlying index (Shanghai and Shenzhen 300 Index) in the last two hours". The price convergence trajectory of contracts due two hours before delivery is to simulate the settlement price curve of delivery, rather than the Shanghai and Shenzhen 300 index curve.

First, turn off forced convergence. Stock index futures contracts expire in cash, and both long and short parties pay the profit and loss of their positions based on the delivery settlement price, and settle all open contracts. Therefore, the closing price of an expired contract is theoretically forced to converge to the settlement price.

Second, the intraday "forced" convergence. In addition to the forced convergence of the closing price, in the last two hours near the closing of the last trading day (that is, the calculation period of the delivery settlement price), the price of the expired contract usually gradually converges to the simulated delivery settlement price in intraday trading. If the two deviate seriously, the risk-free arbitrage opportunity will prompt the arbitrage force to "pull back" the price of the expired contract to the vicinity of the simulated delivery settlement price.

To sum up, according to the definition of delivery mode and delivery settlement price of stock index futures contracts, delivery convergence means that the price of expired contracts converges to the contract delivery settlement price, that is, the average value of the Shanghai and Shenzhen 300 Index within two hours before the closing of the last trading day, and the price of expired contracts fluctuates around the simulated delivery settlement price.