The theoretical price of stock index futures is derived by the definition of basis. The theoretical price formula is F=S*[ 1+(r-y)*△t/360], where f represents the theoretical price of stock index futures, s represents the market price of spot assets, r represents the annual financing interest rate, y represents the annual yield of holding spot assets, and△ t represents the number of days before the contract expires.

Stock index futures have the functions of price discovery, hedging to avoid systemic risks, arbitrage investment and asset allocation. The main influencing factors of stock index futures are financing cost, dividend during the period and maturity time. In general, the theoretical basis must exist before the expiration of the contract, but the value basis does not necessarily exist. The smaller the absolute value of the value base, the smaller the volatility, which means the higher the market efficiency.

Extended data

Characteristics of theoretical price of stock index futures;

1. Like other financial futures and commodity futures, stock index futures have the characteristics of contract standardization, centralized trading, hedging mechanism, daily debt-free settlement system and leverage effect.

2. The subject matter is a specific stock index, and the quotation unit is the index point.

3. The value of the contract is expressed by the product of a certain currency multiplier and the quotation of the stock index.

4. Use cash delivery instead of stock delivery, and settle the position in cash by clearing the price difference.

Baidu Encyclopedia-Theoretical Price of Stock Index Futures