Spot arbitrage is widely used in actual transactions. We take spot arbitrage of stock index futures as an example to introduce the use of spot arbitrage. The market price of stock index futures fluctuates around its theoretical price. Once the market price deviates from this theoretical price to a certain extent, we can use this principle that when the stock index futures contract expires, the contract price in the delivery month will tend to fit the spot price of the underlying index. Investors can make profits by buying low and selling high in the stock index futures market and the stock market at the same time, and arbitrage trading in the spot. Simple example. On September 1 day, 2065438, the Shanghai and Shenzhen 300 Index was 3,500 points, and the price of stock index futures contracts due in June 10 was 3,600 points (overvalued), so arbitrageurs can borrow/Kloc-0.08 million yuan (the annual interest rate of loans is 6%). When buying a basket of stocks corresponding to the Shanghai and Shenzhen 300 Index in the stock index futures contract (assuming that these stocks are in the arbitrage period), assuming that the Shanghai and Shenzhen 300 Index is 3,580 points, the arbitrageur can make a profit of 6,543.8+0.08 million * (3,580/3,500)-6,543.8+0.08 million = 24.7 million yuan in the stock market. Because the stock index futures contract expires at the settlement price (the settlement price is obtained according to the spot index according to certain rules), its two-month loan interest is 2 *10.08 million yuan * 6%/12 =10.08 million yuan, so the arbitrageur can make a profit of 2.47+0.6-through spot arbitrage trading.