The characteristics of butterfly arbitrage are: butterfly arbitrage is essentially the arbitrage of the same commodity across delivery months; Butterfly arbitrage consists of two intertemporal arbitrages in opposite directions; The link between the two intertemporal arbitrage is the futures contract in the middle month, and the quantity is the sum of the two ends; Butterfly arbitrage must issue three trading orders at the same time; Compared with general intertemporal arbitrage, butterfly arbitrage is theoretically less risky and more profitable.