The convergence of futures and spot prices on the futures delivery date is mainly due to the gradual reduction of arbitrage opportunities in the market, thus narrowing the price difference between futures and spot. The difference between futures and spot prices mainly comes from the expectation of futures market and the relationship between supply and demand, which will cause futures prices to fluctuate within the trading day. On the delivery date, the difference between the futures trading price and the spot market price was gradually smoothed out, because the futures holders began to prepare for delivery, the relationship between supply and demand of futures tended to be balanced, and the arbitrage opportunities in the market gradually decreased, leading to the futures price gradually approaching the spot price.

At the same time, in practice, because the futures exchange has set up a series of trading rules and delivery systems, it will also play a certain role in linking futures and spot prices. For example, the futures exchange will limit the intraday fluctuation range of futures prices, stipulate the relationship between delivery price and spot price at delivery, and ensure the convergence of futures and spot prices through these systems. Therefore, on the futures delivery date, the convergence of futures and spot prices is not only the result of the reduction of arbitrage opportunities, but also the result of market rules and institutional constraints.