Spot arbitrage refers to a futures contract. When there is a price difference between the futures market and the spot market, it uses the price difference between the two markets to make a profit by buying low and selling high. Theoretically, the futures price is the future price of commodities, and the spot price is the current price of commodities. According to the same price theory in economics, the difference between them, that is, "basis" (basis = spot price-futures price) should be equal to the holding cost of goods. Once the basis significantly deviates from the cost of holding, there will be opportunities for spot arbitrage. Among them, the futures price is higher than the spot price and exceeds all kinds of delivery costs, such as transportation cost, quality inspection cost, storage cost, increased invoicing cost and so on. Spot arbitrage mainly includes forward buying spot arbitrage and reverse buying spot arbitrage.

Spot arbitrage is very important for the stock index futures market.

On the one hand, it is precisely because of the arbitrage between stock index futures and the stock market that the price of stock index futures will not be divorced from the spot price of stock index and there will be outrageous prices. Spot arbitrage makes the stock index price more reasonable and can better reflect the trend of the stock market.

On the other hand, arbitrage helps to improve the liquidity of the stock index futures market. The existence of arbitrage behavior not only increases the trading volume of stock index futures market, but also increases the trading volume of stock market. The improvement of market liquidity is conducive to investors' smooth trading and hedging operations.