There are too many people arbitrage now, and your research based on the closing price level is only academic and has no practical significance, young man.

Anyway, there is basically no room for arbitrage academically.

If the closing time is 15: 15, the stock index is 15:00.

Generally speaking, you really look at the delivery price academically, and it is estimated that you can only download the delivery price data.

The delivery date of the contract is the third Friday, which will be postponed in case of legal holidays. You'd better go to CICC's website first to know the details of the contract and the trading rules.

P * e river

I can't read the formula clearly, so don't tell me you want to write a paper.