The stock index futures price is always based on the spot price of its own subject matter, so it can't be completely divorced from the stock index spot price: in the forward market where the stock index futures price is higher than the stock index spot price, the stock index futures price will eventually fall to the level of the stock index spot price, or the stock index spot price will eventually rise to the level of the stock index futures price, and the two will be combined. This is because the cost of holding has decreased, and there is a lot of arbitrage between the stock spot market and the stock index futures market. If the spot market price of stocks falls after the conclusion of the stock index futures contract and continues until the delivery month, the stock index futures contract price will also fall, and the decline rate is at least the same as the spot price of the stock index. Otherwise, when the stock index spot price falls, although the stock index futures price falls, it is less than the decline of the stock index spot price, then the stock index spot price difference will be greater than the holding cost, and the arbitrageurs will sell futures contracts in the stock index futures market, and at the same time buy spot stocks in the stock index spot market and hold them until the delivery month of futures contracts. This arbitrage will continue until the stock index futures price falls with the spot price, at least as much as the spot price of the stock index.

From this, we can draw a general conclusion: in a positive market, if the spot price of stock index falls, the stock index futures price will also fall, and because the stock index futures price is already higher than the spot price of stock index, the decline will be even greater until the delivery month when the stock index futures price and the spot price converge. Similarly, in the forward market, if the spot price of stocks rises, the stock index futures price also rises, but the increase is less than the spot price. By the delivery month, the stock index futures price and the stock index spot price are combined into one.

If the spot price of stock index is higher than that of stock index futures, the contract price in the near delivery month is higher than that in the far delivery month. We call this kind of market a reverse market or a reverse market. The reason for this situation is that the demand for stock spot in the near future is very urgent, far greater than the recent supply; At the same time, it is expected that the spot supply of stocks will increase significantly in the future; In short, the emergence of counter-market is due to people's urgent demand for stock spot goods, no matter how high the stock spot price is, it leads to a sharp rise in the stock spot price. This price relationship does not mean that there is no cost of holding the spot. As long as the spot is held and stored until a certain period in the future, the holding cost is essential. However, in the reverse market, due to the urgent demand for spot and recent futures, buyers are willing to bear and absorb all the holding costs; In the reverse market, with the passage of time, the spot price of stock index and the price of stock index futures will gradually converge and converge in the delivery month, just like the forward market.