When stock index futures expire, cash delivery is used to calculate the profit and loss of buyers and sellers and transfer funds. The empty side did not hand over a basket of stocks to the exchange, and many parties did not transfer a basket of stocks from the exchange. The cash delivery of stock index futures is determined by the clearing institution of the exchange as the delivery settlement price, and both long and short parties make profit and loss settlement and money transfer according to this delivery settlement price, thus fulfilling their performance obligations.

For example, I bought two stock index futures contracts, which expired two months later, and the settlement price was 18 19. The settlement price of the previous day was higher than the settlement price 1809 points. Since I am a bull, the settlement price of the previous day is greater than the delivery settlement price, which means that I am profitable. Assuming that according to the regulations of the exchange, the value of each point is 100 yuan, excluding fees and taxes, my profit is (1819-1809) ×100× 2 = 2000 yuan. Through the transfer of funds, my account will be reversed. If I buy a second-hand stock index futures contract, the contract will expire in two months, and the settlement price for delivery is 1799 points, and the settlement price of the previous day is lower than the settlement price of 1809 points. I am a bull, and the settlement price of the previous day is less than the delivery settlement price, which means that I have a loss. Suppose that according to the regulations of the exchange, the value of each point is 100 yuan, excluding handling fees and taxes, and my loss is (1809-1799) ×100× 2 = 2000 yuan. I need to transfer the corresponding loss-making funds at the specified time. The settlement price for delivery is the settlement price on the last trading day, which is different from the daily settlement price. Generally speaking, the settlement price of delivery is not determined by an average price of futures trading price, but calculated by an average price of stock spot index.

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