Futures delivery methods can generally be divided into cash delivery and physical delivery. Commodity futures are mostly delivered in kind and stock index futures are delivered in cash. Stock index futures are settled in cash according to the level of spot index, thus ensuring the mandatory convergence of futures prices to spot prices. The reason is that the cost of physical delivery of constituent stocks in stock index futures according to the index weight is too high, and the actual operation is not feasible. There are two main rules to determine the maturity settlement price of stock index futures: average price and single price. Most of the earliest stock index futures contracts use a single spot closing price as the delivery price, which is easy to produce "expiration effect" and "three witch effects" After discovering this problem, some markets changed the delivery price of stock index futures to a special opening price on the day after the last trading day, and the "three witches effect" disappeared, but the "maturity effect" was transferred to the opening of the next day. Later, most markets turned to the average price rule. Specifically, it is 1. If we emphasize anti-manipulation and avoid the expiration effect, we may tend to adopt the average price of a certain period before closing, so the settlement price determined is relatively complicated, thus increasing the manipulation cost. 2. If we emphasize the improvement of arbitrage (hedging) efficiency, reduce the deviation of spot futures, and reduce the deviation between settlement price and index closing price or opening price, we may tend to adopt simple closing price and special opening price as settlement price. Most stock index futures use the average price method to determine the delivery settlement price.