What is Convergence?

Usually, the contract price of a futures contract is higher than the underlying asset's current price (usually a commodity). The futures contract price is higher because of the effect of the time value of money. As the expiration date nears, the spread between the spot price and the futures contracts price becomes smaller and smaller. On the delivery date of the contract, the futures and spot prices should be equal.

This process of futures and spot prices approaching one another is called convergence.