This topic studies the concept and classification of futures arbitrage. Futures arbitrage refers to the reverse trading by using the price difference between related markets or related contracts, with a view to closing the position and making profits when the price difference changes favorably. The act of arbitrage by using the spread between different contracts in the futures market is called spread arbitrage. According to the different futures contracts, spread arbitrage can be divided into intertemporal arbitrage, cross-variety arbitrage and cross-market arbitrage. Intertemporal arbitrage refers to buying and selling futures contracts of the same commodity in different delivery months at the same time in the same market (the same exchange), in order to hedge and close these futures contracts at the same time at a favorable opportunity. Cross-variety arbitrage refers to arbitrage by using the price difference of futures contracts between two or three different but interrelated commodities, that is, buying or selling interrelated commodity futures contracts at the same time in a certain delivery month, in order to hedge and close these contracts at the same time at a favorable opportunity. Cross-market arbitrage refers to buying (or selling) a commodity contract in a certain delivery month in one exchange and selling (or buying) the same commodity contract in the same delivery month in another exchange, so as to make profits by closing the contracts in both exchanges at the same time at favorable opportunities.