Because of its high leverage ratio, stock index futures are often considered as high-risk investment varieties, but in fact, the arbitrage trading of stock index futures provides investment opportunities for investors with low risk preference. The so-called arbitrage means that traders use the temporary unreasonable price relationship between two identical or related assets in the market to buy and sell at the same time, and when this unreasonable price relationship shrinks or disappears, they trade in reverse to obtain risk-free profits.

Investors can take advantage of the inconsistency between the theoretical price and the actual price of stock index futures to make profits by trading in the opposite direction in the futures market and the spot market, or they can take advantage of the price difference of stock index futures contracts in different months to carry out intertemporal arbitrage trading.

Stock index futures contract is a financial futures contract with stock price index as the subject matter, and the futures index and spot index (CSI 300) maintain a certain dynamic relationship. However, sometimes the futures index deviates from the spot index, and when this deviation exceeds a certain range (the upper and lower limits of the arbitrage-free pricing range), arbitrage opportunities will appear. The trading behavior of arbitrage by using the unreasonable relationship between futures index and current index is called risk-free arbitrage, and the trading of arbitrage by using the unreasonable relationship between futures contract prices is called spread trading.