Historically, if the position before the delivery date is not reduced, the price difference between near and far months will change, indicating that there may be funds to "act" on the delivery date, and the initiator is often the dominant party, which may rise or fall sharply. Compared with stock index futures, on the settlement date of stock index futures, the volume and volatility of the underlying index increased significantly, which is the expiration of the delivery period of stock index futures. The fundamental reason for the maturity effect is that the stock index futures are settled by cash delivery, and the interaction of arbitrage liquidation, hedging transfer and speculative traders' desire to manipulate the settlement price has produced the maturity effect on the final settlement date.

Because China's "Securities Exchange Law" stipulates that stocks cannot be sold short, and arbitrage trading will only occur when the stock index futures price is higher than the spot price. Arbitrage traders sell stock index futures and buy spot. For arbitrageurs who still hold the spot on the futures maturity date, they need to clear their positions according to the futures settlement price. If there are more arbitrage traders, the selling pressure will be concentrated at the same time, which will put downward pressure on the index.

For hedgers, short contracts need to be transferred to other months when the contract is about to expire, so the price of futures contracts will be under certain pressure one month before the contract expires, and the price discovery effect of futures will affect the transmission to the spot index. The speculators in this contract hope to make the spot price develop in a more favorable direction as far as possible on the final settlement date, so as to achieve the purpose of making profits or reducing losses, so the speculators have the willingness to manipulate the price on the last trading day.

Under the influence of the above different factors, the trading volume, volatility and yield of stock index futures on maturity date are obviously different from the average level. According to statistics, the return on investment of stocks bought on the maturity date of stock index futures is higher than the average level of other trading days; Buying stocks from the first half of the expiration date of stock index futures is higher than buying stocks in the second half. From the statistical results, the expiration date of stock index futures has a depressing effect on spot prices.

For some stock investors, several trading days after the expiration of stock index futures can be regarded as a good time to buy stocks. Similarly, there is a slight premium for selling stocks between the maturity dates of two stock index futures. At the same time, stock investors should pay attention to the number of dates with positive arbitrage space this month, whether there is a substantial increase in positions on trading days with arbitrage space, and whether there are more empty orders held by institutions when conditions permit. These factors may put some pressure on the spot index of stock index futures.