Negative oil prices cannot be explained by the holding cost model. Theoretically speaking, index arbitrage operation will make the actual price of stock index futures return to its theoretical price, but the hypothesis of the model goes against the reality and ignores the market environment factors, which makes it not perfect in explaining and predicting the price trend of stock index futures. Many foreign researchers have found that there is a significant difference between the actual price of stock index futures and the theoretical price estimated by the holding cost pricing model.