Please explain the following points: during the delivery period, there will be arbitrage space when the futures price is higher than the spot price. What if the futures price is lower than the spot price during the delivery period? You know the first question very well, as long as the basis is greater than the holding cost (a lot of expenses add up, such as freight), you can make a profit.

Second, when the spot index is overvalued and the futures contract in a delivery month is undervalued, investors can buy the futures contract if short selling is allowed, and at the same time, short the constituent stocks according to the index weight to establish an arbitrage position. When spot and futures prices tend to be normal, closing positions at the same time is profitable, which is reverse basis arbitrage.

It is impossible to sell securities. When the delivery expires, the futures price and spot price will return to value, which is basically the same level after deducting the basis. There is no point in selling it again, because it is unprofitable.