Futures pricing methods are mainly based on holding cost theory and arbitrage pricing theory. The theory of holding cost was put forward by Caldo, Woking and Tersse Tishan. This hypothesis holds that the holding cost consists of three parts: financing interest, storage cost and income. Focusing on commodity holding (warehousing), this theory analyzes the mechanism of futures market, demonstrates the positive influence of futures trading on the relationship between supply and demand, and gradually applies it to the pricing of financial futures.