The opening of the stock index futures market will promote the rapid development of short-term trading behavior in China's securities market at an unpredictable speed, and even rapidly develop into the frequency band of high-frequency trading when market conditions permit, and promote and drive the all-round and deep-seated reform of China's securities market. This futures product has obvious advantages over the existing commodity futures products in the stock market. According to statistics, the daily trading volume of the main contract of China's stock index futures in May has exceeded 65,438+10,000 lots on the third trading day, while the daily positions only increased slowly at the rate of one or two thousand lots per day, and the positions obviously stagnated after a few days. This shows that the "intraday trading" of China stock market futures accounts for the vast majority, and the proportion of overnight warehouse receipts is extremely low. On the third trading day after the opening of the main contract of China's stock index futures, the single-day trading volume exceeded 654.38+10,000 lots, which was a very amazing increase. To understand the significance of this trading volume, we can look back at history. In the early 1990s, when the United States made SP500 stock index futures, all transactions with more than 5 lots had to be reported to the futures regulatory authorities. The daily trading volume of SP500 was generally around several thousand lots to more than 10,000 lots. At this time, stock index futures have been in the United States for more than ten years. China's stock index futures market surpassed the American stock index futures market by an order of magnitude only three days after its opening. This is really an amazing development. We expect that we will also see greater development of China's stock index futures market. At present, the disparity between the ratio of "daily turnover" and "open position" of China's stock index futures is much higher than that of other commodity futures contracts in China, which shows that China's stock index futures is a highly concentrated "short-term trading" market. Judging from the price data and trading data of China's stock index futures since the opening of the market, it has shown the following obvious characteristics: ① The intraday liquidity of the market is very abundant and the trading is very smooth. ② Short-term price fluctuation is very stable, and there is no sharp pulse price fluctuation. (3) Based on the huge physical stock market, the overnight price continuity is good, and the overnight gap phenomenon is not prominent. (4) Based on the huge physical stock market, if a good arbitrage function is established, the price of stock index futures will not be strongly influenced by individual institutions and individual funds, which will ensure a level playing field for investors.