We present a comprehensive study of utility function of the minority game in its efficient regime. We develop an effective description of state of the game. For the payoff function $g(x)=\sgn (x)$ we explicitly represent the game as the Markov process and prove the finitness of number of states. We also demonstrate boundedness of the utility function. Using these facts we can explain all interesting observable features of the aggregated demand: appearance of strong fluctuations, their periodicity and existence of prefered levels. For another payoff, $g(x)=x$, the number of states is still finite and utility remains bounded but the number of states cannot be reduced and probabilities of states are not calculated. However, using properties of the utility and analysing the game in terms of de Bruijn graphs, we can also explain distinct peaks of demand and their frequencies.