The volatility of the underlying stock index. The theoretical price of stock index futures is the basis of arbitrage trading. Strictly speaking, the theoretical pricing of stock index futures is an important basis for investors to make decisions on buying or selling contracts. The theoretical spread between stock index futures and forward monthly contracts has nothing to do with the volatility of the underlying stock index, but with the underlying stock index, market interest rate and dividend yield. The core goal of studying futures pricing theory is to guide the trading of arbitrage strategies (including hedging, etc.). ).