Core Viewpoint - The article explains how the settlement price of stock index futures is determined, emphasizing fairness, transparency, and resistance to manipulation in its calculation methods [1]. Group 1: Calculation Methods - The most common method is the arithmetic average, exemplified by the China Financial Futures Exchange (CFFEX) using the last two hours' average price of the CSI 300 index on the last trading day [4]. - During the last trading day from 13:00 to 15:00, index points are recorded every 5 seconds, and the arithmetic average of all points is taken as the settlement price [5]. - The purpose of extending the calculation period and high-frequency sampling is to reduce the impact of single trades or short-term fluctuations on the settlement price, thus preventing market manipulation [6]. Group 2: Specific Calculation Examples - The Singapore Exchange (SGX) uses the closing price of the index on the last trading day for its FTSE China A50 index futures [7]. - This method is simple but may increase market volatility risk during the closing period due to concentrated trading by participants [8]. - Some exchanges may use a volume-weighted average price (VWAP) that combines price and volume to calculate the average [9]. Group 3: Design Logic - The design logic aims to prevent market manipulation; using only the closing price could allow large players to influence the settlement price through significant trades at the last moment [11]. - The calculation period is typically chosen during active market hours to ensure that prices reflect supply and demand accurately [11]. - The rules for calculating the settlement price are clearly defined at the contract's listing, ensuring transparency and predictability for all participants [12]. Group 4: Role of Settlement Price - The settlement price serves as the basis for cash settlement in stock index futures, directly determining the profit and loss for both long and short positions [12]. - The convergence of the settlement price with the spot index on the expiration date is fundamental for the basis of arbitrage between futures and spot markets [13].