This thesis analyzes the activities of day traders in the Stock Index Futures Market in order to identify the source of day traders’ earning. We focus on the nature of day traders’ decision-making and the contribution of day traders to economic welfare. Silber(1984) showed that scalper earnings compensate for the skill in evaluating market condition in the very short run and for providing liquidity to the market less than 3 minutes. This thesis analyzed trading data of 25 day traders for 3 months and empirically tested his thesis in the Stock Index Futures Market of Korea. Empirical results show the microeconomic behavior of day traders in the Stock Index Futures Market.