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Stock index futures contracts are standardized contracts on delivering a certain quantity of underlying index at a specific future point of time. The underlying index of CSI 300 Stock Index Futures contracts is CSI 300 Index. The trading price of CSI 300 Stock Index Futures is closely connected with the fluctuation of CSI 300 Index.

First, the cash settlement will be conducted when the CSI 300 Stock Index Futures contract expires. The settlement price is the arithmetic average price of CSI 300 Index in the last two hours. Thus, on the expiration day, the final trading price of CSI 300 Stock Index Futures will close at the arithmetic average price of CSI 300 Index in the last two hours.

Second, the theoretical price of CSI 300 Stock Index Futures is directly related to the index. The theoretical price of stock index futures can be deduced according to the definition of basis. According to the definition, basis = spot price - futures price, namely:

Basis = (spot price – theoretical futures price) – (futures price – theoretical futures price)

The first part can be called theoretical basis, representing the cost of carry (excluding the trading cost, etc.), while the second part can be called value basis, resulting from investors’ overestimate or underestimate of stock index futures price. Thus, normally, when the contract expires, theoretical basis is surely in existence, while it is uncertain whether there is value basis. In fact, when the market is balanced, the value basis is zero.

The cost of carry refers to the net cost required for the investors to hold the spot asset till the expiration day of the futures contract, namely the financing cost for purchasing the spot asset minus the proceeds from holding the spot asset. The theoretical price of the stock index futures can be expressed as follows: (F: theoretical price of stock index futures; S: point of index; r: annual interest rate of financing; y: annual yield of the held spot asset; △t: number of days till the expiration of the contract) 



The price of CSI 300 Stock Index Futures is mainly determined by the CSI 300 Index. So, in order to make a wise judgment for the trading of CSI 300 Stock Index Futures, we should have a full knowledge of the composition, compilation methodology, weight distribution and adjusting time of CSI 300 Index before participating in the trading of CSI 300 Stock Index Futures.