It refers to the trading behavior of using the price difference between related markets or related contracts to conduct transactions in the opposite direction in the related markets or related contracts, with a view to profiting from the favorable changes in the price difference. If the spread between the futures market and the spot market is used for arbitrage, it is called spot arbitrage. If arbitrage is carried out by using the price difference between different contracts in the futures market, it is called spread trading. It is precisely because of the existence of arbitrage in the futures market that it greatly enriches the operation mode of the market and enhances the artistic characteristics of investment transactions in the futures market. When spread trading first appeared, most people in the market regarded it as a kind of speculation. With the more frequent occurrence of this kind of trading activity, its influence is increasing. Arbitrage trading is generally regarded as an independent trading method, which plays a specific role and is different from speculative trading. The technology of arbitrage in futures market is very different from that of market makers or ordinary investors. Arbitrators use the price difference between two or more contracts for the same commodity, rather than the price of any contract. So their potential profits are not based on the rise and fall of commodity prices. Instead, it is based on the expansion or contraction of the spread between different contract months, thus forming its arbitrage trading position. It is precisely because the profit of arbitrage trading is not realized by unilateral price rise or fall, so in the futures market, this risk is relatively small and controllable, while its income is relatively stable and rich, which is favored by large households and institutional investors. Judging from the mature trading experience abroad, this method is regarded as a key for large funds to obtain stable returns. I believe that after the introduction of stock index futures in China, this kind of arbitrage behavior with relatively small risk will also appear frequently in the market.