Hello, the theoretical price of stock index futures can be derived with the help of the definition of basis. By definition, basis = spot price - futures price, that is: basis = (spot price - futures theoretical price) - (futures price - futures theoretical price). The former part can be called the theoretical basis, which mainly comes from holding costs (without considering transaction costs, etc.); the latter part can be called the value basis, which mainly comes from investors' overestimation or underestimation of stock index futures prices. Therefore, under normal circumstances, the theoretical basis must exist before the contract expires, but the value basis does not necessarily exist; in fact, under market equilibrium, the value basis is zero.

The so-called holding cost refers to the net cost that investors must pay to hold spot assets until the maturity date of the futures contract, that is, the financing cost paid for financing the purchase of spot assets minus the cost of holding spot assets. income. Let F represent the theoretical price of stock index futures, S represent the market price of spot assets, r represents the annual interest rate of financing, y represents the annual rate of return obtained by holding spot assets, △t represents the number of days until the expiration of the contract, in simple interest calculation In the case of interest rates, the theoretical price of stock index futures can be expressed as:

F=S*[1+(r-y)*Δt/360]

For example. Assume that the current CSI 300 stock index is 1800 points, the one-year financing interest rate is 5%, the annual rate of return for holding spot is 2%, and the number of days until the expiration date of a certain stock index futures contract with the CSI 300 Index as the underlying object is 90 days, then the theoretical price of the contract is: 1800*[1+(5%-2%)*90/360]=1813.5 points.