Liquidity risk refers to the risk that stock index futures investors cannot establish or settle the stock index future positions at a reasonable price in time due to the lack of counterparties. Usually it can be divided into two situations: one is that when the market changes dramatically, the price limit system makes it impossible to close the order; The other is because the market is not active, or the depth and breadth of the market are not enough, and the commission order cannot be closed. It is often expressed as "you can't miss buying in buy buy, and you can't sell it if you want to". The consequences are: the profit space is reduced and the loss range is increased.

How to deal with the liquidity risk brought by the price limit system? Stock index futures adopt the price limit system. When the price fluctuation reaches the limit of price fluctuation, the consignment order on the same side of the fluctuation usually cannot be closed. If the price reaches the daily limit, due to a large number of buying orders, and the corresponding selling orders are very rare, the buying and opening orders cannot be closed; If the position cannot be closed, the price fluctuation will continue to change adversely after the market opens the next day, and the losses of investors will further expand. In order to cope with the liquidity risk brought by the price limit system, investors need to know the specific price corresponding to the daily price limit before the market opens, and take corresponding measures in time before the price fluctuates to the price limit point.

How do investors deal with the liquidity risk caused by inactive trading? If the contract chosen by investors is inactive, with small trading volume or small positions, once investors participate in it, they will reduce their income or increase their losses because they can't close the contract at the expected price. In order to cope with the liquidity risk caused by inactive trading, investors should pay attention to whether the monthly turnover and positions of the selected contracts and their distribution are sufficient to meet the market depth and breadth requirements of their upcoming transactions before opening positions in stock index futures. Generally, monthly contracts with large turnover and positions and active trading are selected.