First of all, from the perspective of futures pricing theory, the price of stock index futures reflects the present value of the future stock index price, so it is equivalent to the spot price plus the position cost minus the dividend income of the future stock spot. In this way, the basis is mainly reflected in three aspects: the expectation of future stock index ups and downs, the cost of holding positions and stock dividends. When the market is strongly optimistic about the stock index, the basis will rise to a certain extent; The cost of holding positions is equivalent to the capital cost of stock index futures, so the basis is affected by interest rate factors; Finally, in the dividend season (May-August) every summer, the discount range of the basis will be deeper, which is the influence from dividends.

Aside from the theory, the convenience of forward arbitrage relative to reverse arbitrage in the market itself is also a major factor. In forward arbitrage, you only need to short stock index futures while holding stock spot or stock fund, while in reverse arbitrage, you need to short stock spot or stock ETF, such as CSI 300ETF, and make multiple stock index futures at the same time. Because the number of Shanghai and Shenzhen 300ETF that can be sold by securities lending in the market is relatively limited, the power of reverse arbitrage itself will be weaker than that of forward arbitrage. In addition, factors such as liquidity and margin system will also affect the change of basis.

At present, the forward discount of stock index futures is also greatly influenced by investors. Since the restriction of stock index futures, speculators in the market have decreased rapidly, and more are institutional investors who do hedging. Most of these investors hold stock spot, hedge the spot by shorting stock index futures and lock in the price, thus depressing the stock index futures price. Therefore, as soon as the news of the loosening of stock index futures comes out, the market is also expecting the discount of stock index futures to narrow, especially the far-month contract. At present, the discount is large and liquidity is not high. Although the current easing has not yet made a significant contribution to the basis of the far-month contract, with the further easing of stock index futures, the rebound of liquidity will further narrow the discount.