You are right. Compared with spot, futures generally have a premium because it contains the cost of capital. According to the current Shanghai and Shenzhen 300 contracts 3200, the first-hand contract value is about 654.38+0 million. If you want full coverage, then you should buy 654.38+00,000 Shanghai and Shenzhen 300 constituent stocks in the spot market at the current loan interest rate of 6%.

Then 65,438+0,000,000 * (6%/65,438+02) = 5,000 yuan, and the contract value of each point is 300 yuan, then 5000/300 = 65,438+06.6, plus the handling fee and other factors, that is, if the basis difference between the futures contract and the spot contract,

Please correct me! !