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.

If the positions before the delivery date are not reduced, the price difference between the recent month and the distant month has changed, indicating that there may be funds to sell on the delivery date, and the sponsors are 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 stock index futures are settled by cash delivery, arbitrage liquidation, hedging transfer and speculative traders' desire to manipulate the settlement price interact, which produces the maturity effect on the final settlement date.

Extended data:

Precautions:

In the futures market, the main contract will change, and so will the stock index futures. Because of the delivery date, as the delivery date approaches, the trading volume and positions of this contract will decrease bit by bit, and will gradually be transferred to other contracts. Because no one wants to be bound when they are mature, migration occurs. Therefore, investors are not advised to enter the market on the delivery date of contract expiration (small volume, small fluctuation and difficult liquidation).

Generally speaking, there is no need to worry about when the stock index delivery date is, because before the delivery date, the fluctuation of futures products will be very small, even only for a few minutes, which is completely unattractive to investors. Many investors will deviate from the trend even if they don't know the delivery date of the stock index, and they can adapt quickly through the changes in trading volume and disk surface.

For specific contract information and stock index delivery date, you can go to official website of China Financial Futures Exchange to inquire about specific contract information, or inquire about stock index delivery date on trading software.

Baidu Encyclopedia-Stock Index Futures Delivery Date