A central idea is the law of one price. This paper studies the opportunity and profitabilityfor Arbitrageur – Arbitrage SET50 Index Futures with SET50 Index Portfolio and ETFs -in Thailand derivative markets. To prove the derivative markets is Efficient markethypothesis in Thailand and studies impact of maturity in perfect market. I calculateopportunity and profitability by arbitrage band with underlying asset. My results suggestis inefficient market. Arbitrage profits and opportunities persist over time, similarity toprevious experiences in other countries. The underpricing phenomenon was particularlystrong. I insist that the inactive reverse cash and carry arbitrage due to short salerestrictions cause the SET50 Index Futures to remain underpriced. The maturity inperfect market have impact to fair price SET50 Index Futures cause the formula valuehas narrow of the band when over time. The impact of other factor that are influencedby time to expiration, such as dividend uncertainty, Interest rate uncertainty and mark tomarket flows.