The theoretical pricing of stock index futures is an important basis for investors to make decisions on buying or selling contracts. Stock index futures can actually be regarded as the price of a security, and this security is the combination of stocks covered by this index. Like the pricing of other financial instruments, the pricing of stock index futures contracts will vary greatly under different conditions. But a basic principle remains unchanged, that is, due to the existence of market arbitrage activities, the real price of futures should be consistent with the theoretical price, at least in the trend. In order to illustrate the pricing principle of stock index futures contracts, we assume that investors conduct stock index futures trading and stock spot trading at the same time, and assume that:

(1) Investors first construct a portfolio that is completely consistent with the stock market index (that is, the portfolio ratio, the "value" of the stock index and the market value of the stock portfolio are completely consistent);

(2) Investors can easily borrow money to invest in the financial market;

(3) Selling stock index futures contracts;

(4) hold the stock portfolio until the expiration date of the stock index futures contract, and then use all the dividends obtained for investment;

(5) sell all stock portfolios immediately on the delivery date of stock index futures contracts;

(6) Cash settlement of stock index futures contracts.