Many investors don't know the basis arbitrage of treasury bonds futures. This paper introduces the relevant knowledge of futures arbitrage and analyzes the basis arbitrage strategy of treasury bonds futures. Theoretically, futures price is the market's estimate of the future spot market price, and the relationship between spot price and futures price is expressed by basis. The basis of treasury bond futures refers to the difference between futures price and spot price after adjustment by conversion factor. The spot arbitrage strategy of treasury bond futures is essentially the expected change of trading basis. When treasury bond futures are delivered, the current basis is 0. Therefore, if there is a negative basis in the market, multiple basis can be made. If there is a positive basis in subsequent transactions, you can close your position and make a profit, or hold it until delivery to get a basis profit. This is the basic idea of basis trading. The profit of basis trading comes from the holding period income and basis change. Basis trading is a trading method that uses the expected change of basis to trade at the same time or almost at the same time in the spot and futures markets of government bonds. Buying long basis or basis means buying spot treasury bonds and selling futures contracts equivalent to the number of conversion factors; Selling basis or shorting basis is just the opposite, that is, shorting spot treasury bonds and buying futures contracts equivalent to the number of conversion factors. The bulls of the basis profit from the expansion of the basis. If the net holding income of national debt is positive, then the bulls with basis difference can also obtain holding income separately. Basis bears benefit from the narrowing of basis. If the net holding income of national debt is positive, the short position of basis will lose the net holding income. Compared with other varieties, the biggest particularity of treasury bond futures is that its spot target is determined by multiple deliverable bonds, while other financial futures generally have only one spot target, which determines that the current arbitrage strategy that investors are familiar with can be applied to multiple deliverable bonds of treasury bond futures. The source of profit opportunities for spot arbitrage of various deliverable bonds is no longer the wrong spot price in the secondary market caused by simple investor sentiment, because the tracking target of treasury bonds futures will change in a basket of deliverable bonds, that is, the cheapest deliverable bonds (hereinafter referred to as CTD bonds) will change, which makes the spot arbitrage of treasury bonds futures have more abundant profit opportunities. Market investors generally refer to this spread arbitrage in the application of treasury bonds futures as basis trading strategy. It can be said that spread trading is spread arbitrage in a broader sense, and spread arbitrage is only a special case in spread trading.