When using stock index futures for arbitrage, it is necessary to observe the changes of index futures. Generally speaking, the changes of stock index futures should be within a certain range. Once the index futures change beyond this range, there will be arbitrage opportunities. When the market price of index futures is greater than the given upper limit, forward arbitrage will be carried out, that is, buying spot index and selling index futures; When the market price of index futures is less than the given lower limit, reverse arbitrage is carried out, that is, selling spot index and buying index futures.