Does the basis of futures delivery have to be 0?
I have to. The basis must be zero when futures are delivered. The closer the futures contract is to the delivery date, the closer the basis is to zero, and the smaller the hedging basis is, which is beneficial to the hedger. Constrained by the futures delivery system, in theory, the futures price is equal to the spot price on the delivery date, that is, the basis is zero, otherwise there will be arbitrage opportunities.