What Is ‘Convergence’ in Futures Pricing?

Convergence is the principle that the price of a futures contract and the spot price of its underlying asset must become equal at the contract's expiration. This is enforced by arbitrage.

If the futures price were higher than the spot price at expiration, an arbitrageur could profit risk-free by selling the future and buying the spot asset. This activity forces the prices together.

The basis, which is the difference between the two, must converge to zero.