For example, if futures trade at above the fair value to the underlying index, the arbitrageur would sell the contract (at a future date) in hopes that the price would fall. If his bet pays of, then...

For example, if futures trade at above the fair value to the underlying index, the arbitrageur would sell the contract (at a future date) in hopes that the price would fall. If his bet pays of, then he will reap a profit from the difference between the sale of the higher-priced futures contract and the purchase of the cheaper one.