Theoretically, the price (F) of stock index futures mainly depends on three factors: the market index (I) of spot market, the lending rate (R) of financial market and the dividend yield (D) of stock market. That is, F=I+I×(R-D)=I×( 1-R+D), where r refers to the annual interest rate and d refers to the annual dividend yield. In the actual calculation process, if the investment is held for less than one year, it will be adjusted accordingly.

The price of stock index futures basically fluctuates around the spot index price. If the risk-free interest rate is higher than the dividend rate, the stock index futures price will be higher than the spot index price, and the longer the maturity time, the greater the premium of the stock index futures price relative to the spot index. On the contrary, if the risk-free interest rate is less than the dividend rate, the stock index futures price is lower than the spot index price. The longer the term, the greater the discount between stock index futures and spot index.

But in fact, the actual stock index futures price often deviates from the theoretical price because of the differences in dividend distribution and distribution time of each constituent stock and the differences in futures market trading system.

Second, on the issue of maturity price:

Because the stock index futures price is the price at a certain time in the future, with the passage of time and the expiration of the stock index futures contract, the stock index futures price will tend to the spot delivery price of the stock index. If the spread between the stock index futures price and the spot price exceeds the transaction cost when the contract expires, traders will inevitably seize the opportunity to carry out risk-free arbitrage, so that the stock index futures price and the spot price will gradually be consistent.

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