Refers to buying and selling two stock index futures contracts with different maturities at the same time. Traders buy contracts that they think are "cheap" and sell those "high-priced" contracts at the same time, benefiting from the changing relationship between the prices of the two contracts. In arbitrage, traders are concerned about the mutual price relationship between contracts, not the absolute price level. Generally speaking, the arbitrage of stock index futures can be divided into three categories: intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage. Intertemporal arbitrage is one of the most common arbitrage transactions. It is profitable to hedge the same stock index futures when the price changes abnormally between different delivery months, which can be divided into two forms: bull spread and bear spread. For example, in the bull market spread of stock index futures, arbitrageurs buy stock index futures contracts in the latest delivery month and sell stock index futures contracts in the forward delivery month, hoping that the recent contract price will increase more than the forward contract price; Bear market arbitrage is the opposite, that is, selling the recent delivery monthly contract and buying the forward delivery monthly contract, expecting the price drop of the forward contract to be smaller than the recent contract.