The underlying index of stock index futures is the Shanghai and Shenzhen 300 Index, not the Shanghai Composite Index. The constituent stocks of these two indices are different.

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. The trading behavior of arbitrage by using the unreasonable relationship between futures index and current index is called risk-free arbitrage, and the trading of arbitrage by using the unreasonable relationship between futures contract prices is called spread trading.