Principle: the same thing, the same price. By the delivery date of stock index futures, the price of stock index futures must be the same as that of Shanghai and Shenzhen 300 Index.

Take forward arbitrage as an example: when the price of stock index futures is much higher than the Shanghai and Shenzhen 300 Index before the delivery date, short the stock index futures and make more Shanghai and Shenzhen 300 Index at the same time, then the profit corresponding to the basis will be locked. When the basis is 0 or very small before the delivery date or before the delivery date, the liquidation swap refers to the empty and multiple orders of the index, and the corresponding profits can be earned without risk.

To make the Shanghai and Shenzhen 300 Index, the Shanghai and Shenzhen 300ETF( 1599 19) can generally be used, and some companies will also choose a basket of stocks from the Shanghai and Shenzhen 300 constituent stocks to operate.

For example, if the intraday price of the contract is 2350 points in the stock index futures one month before the delivery date, and the Shanghai and Shenzhen 300 Index is 2320 points at that time, then a basis of 30 points will be generated. If the basis is judged to be high and worth arbitrage at this time, then the short-term index will be long in the Shanghai and Shenzhen 300 Index, and the basis of 30 points will be locked. When the liquidation conditions appear, all the long and short positions will be leveled, and a risk-free profit of 30 points *300 yuan/point =9000 yuan will be realized without considering the transaction cost.