The so-called intertemporal arbitrage is a way to establish equal and opposite trading positions in different month contracts of the same futures product, and finally end the transaction by hedging or delivery to obtain income. The simplest intertemporal arbitrage is to buy recent futures and sell forward futures. For example, the treasury bond futures varieties TF 1203 and TF 1209 are currently being simulated. These two varieties are five-year treasury bonds futures, with a face value of 1 10,000 and coupon rate 3%. The delivery dates are March and September respectively, with a difference of half a year. When the futures market fluctuates greatly, the fluctuation between stock index futures contracts will lead to the constant change of price difference. If the price difference between two contracts deviates from the reasonable price difference, investors can buy one contract and sell the other contract at the same time, and then carry out the corresponding reverse liquidation after the price difference returns, so as to make profits by using the reasonable return of the price difference.