Taking delivery week as the research window, this paper focuses on the impact of delivery cycle on the market. The results show that after the futures index is listed, the average falling point of the futures index in the delivery week is much higher than that in the first and second weeks of the delivery week, and there is also a significant difference from the same period before the futures index is listed. At the same time, statistical tests show that there is an obvious delivery week effect in the market. The impact of futures index on the market will be more concentrated on the maturity date, which is the so-called maturity effect. The current period refers to the short-term distortion phenomenon caused by the imbalance between the futures market and the spot market when the contract expires, which is generally mainly manifested by abnormal changes in the expected annualized expected rate of return, volatility and trading volume. In practice, in order to control the risk of moving positions and changing months, investors generally move positions ahead of the maturity date, and the lead time is mostly within one week.