Firstly, I should say, this usually can not happen. If the underlying is not available, the forward contract can never be settled at maturity.

Second, some forward contract may be written on some non-tradeable assets such as volatility or credit. Usually people will construct a tradeable index first (VIX,CDX) so that the forward contract can be settled.

Third, for commodity forward contract, usually need physical delivery, so that the underlying must be available. For financial forward contract, the settlement is in cash but according to the underlying's prices.

Fourth, forward contract has three pricing theorem, expectation, risk premium, carrying cost(no-arbitrage), but only carrying cost can give exact price.

So in any case, I think your assumption usually does not exist.

best,

谢谢您的解答，老师后来讲的是用supply和demand，所以我想老师想强调的应该是这个最基本的定价，然后引出我国ETF价格变动。