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This paper introduces the extreme value theory (EVT) of VaR into the research on the price risk of Chinese soybean spot market and American soybean future market. As some improvement, this paper introduces partial regression coefficient, clustering and runs test into the threshold value model. On base of extreme value theory threshold value model can do quantitative management well for extreme price risk of small probability with great loss in different markets. The improvement of traditional threshold model is feasible and can gain ideal result. Based on the empirical results, the difference between two spot markets is discussed. There is similarity of extreme price risk in Chinese spot market and American futures market. The price of American futures market in the past has long influence on that in the future. The market relevance between American markets is stronger than that between Chinese markets. Furthermore, the difference between manufacturer risk and purchasing risk in each market is also discussed.