Cash Future Arbitrage Opportunity. Spot cash and future arbitrage opportunity in Indian stock market

NSE Cash Future Arbitrage Opportunity

Cash future arbitrage is basically an opportunity to earn risk-free profit from an unusual difference between cash and future prices in the stock market. There is normally an appreciable and exploitable difference between the Cash price and future price, especially at the beginning of the month. This difference is known as basis (basis = cash price - future price). Smart investors having investible sum in the range of 3 to 5 lakhs can earn risk free profit using cash future arbitrage. In a cash-futures arbitrage, a trader sells the futures that are quoting at a premium (or buys the future that is quoting at a discount) to the stock, and buys (or sells) an equivalent quantity of the underlying shares, the difference between the two being his profit. Closer to the derivative expiry when both future and spot prices almost coincide, the trader squares of his positions in both segments - buying futures and selling shares or selling future and buying shares. This strategy yields the best returns when the futures are quoting at a significant premium or discount to the spot price. To help investors benefit from cash and future arbitrage, Equityfriend prepares the list of all the arbitrage opportunity available on NSE every evening. Investors can use the list below to take arbitrage positions on the next trading day.

NSE Cash Future Arbitrage Opportunity - 30-Mar-2020

Symbol Spot_Price Future_Price Expiry_Date Basis %_Basis Trading_Strategy
NCC 16.30 16.5 30-Apr-2020 0.2 1.23 Buy Spot - Sell Future
BANDHANBNK 216.25 218.5 30-Apr-2020 2.25 1.04 Buy Spot - Sell Future
JINDALSTEL 80.00 80.75 30-Apr-2020 0.75 0.94 Buy Spot - Sell Future
ADANIENT 128.70 129.9 30-Apr-2020 1.2 0.93 Buy Spot - Sell Future
ADANIPOWER 26.80 27.05 30-Apr-2020 0.25 0.93 Buy Spot - Sell Future

NSE Cash Future Arbitrage Opportunity - 30-Mar-2020

Symbol Spot_Price Future_Price Expiry_Date Basis %_Basis Trading_Strategy
NCC 16.30 16.5 30-Apr-2020 0.2 1.23 Buy Spot - Sell Future
BANDHANBNK 216.25 218.5 30-Apr-2020 2.25 1.04 Buy Spot - Sell Future
JINDALSTEL 80.00 80.75 30-Apr-2020 0.75 0.94 Buy Spot - Sell Future
ADANIENT 128.70 129.9 30-Apr-2020 1.2 0.93 Buy Spot - Sell Future
ADANIPOWER 26.80 27.05 30-Apr-2020 0.25 0.93 Buy Spot - Sell Future
BHARATFORG 246.35 248.6 30-Apr-2020 2.25 0.91 Buy Spot - Sell Future
ZEEL 125.65 126.75 30-Apr-2020 1.1 0.88 Buy Spot - Sell Future
FEDERALBNK 40.70 41.05 30-Apr-2020 0.35 0.86 Buy Spot - Sell Future
CONCOR 304.25 306.85 30-Apr-2020 2.6 0.85 Buy Spot - Sell Future
JUSTDIAL 279.00 281.35 30-Apr-2020 2.35 0.84 Buy Spot - Sell Future
MFSL 397.85 401 30-Apr-2020 3.15 0.79 Buy Spot - Sell Future
TATAPOWER 32.30 32.55 30-Apr-2020 0.25 0.77 Buy Spot - Sell Future
NAUKRI 2145.80 2162.15 30-Apr-2020 16.35 0.76 Buy Spot - Sell Future
POWERGRID 155.65 156.8 30-Apr-2020 1.15 0.74 Buy Spot - Sell Future
SAIL 20.40 20.55 30-Apr-2020 0.15 0.74 Buy Spot - Sell Future
MGL 792.15 797.9 30-Apr-2020 5.75 0.73 Buy Spot - Sell Future
GODREJCP 493.10 496.7 30-Apr-2020 3.6 0.73 Buy Spot - Sell Future
HAVELLS 467.35 470.75 30-Apr-2020 3.4 0.73 Buy Spot - Sell Future
LICHSGFIN 228.90 230.55 30-Apr-2020 1.65 0.72 Buy Spot - Sell Future
CESC 380.15 382.9 30-Apr-2020 2.75 0.72 Buy Spot - Sell Future
BERGEPAINT 478.35 481.8 30-Apr-2020 3.45 0.72 Buy Spot - Sell Future
AXISBANK 368.15 370.8 30-Apr-2020 2.65 0.72 Buy Spot - Sell Future
ACC 934.45 940.95 30-Apr-2020 6.5 0.7 Buy Spot - Sell Future
BALKRISIND 802.00 807.65 30-Apr-2020 5.65 0.7 Buy Spot - Sell Future
MCDOWELL-N 467.30 470.55 30-Apr-2020 3.25 0.7 Buy Spot - Sell Future
M&MFIN 143.95 144.95 30-Apr-2020 1 0.69 Buy Spot - Sell Future
RAMCOCEM 495.25 498.6 30-Apr-2020 3.35 0.68 Buy Spot - Sell Future
AMARAJABAT 449.90 452.9 30-Apr-2020 3 0.67 Buy Spot - Sell Future
M&M 274.40 276.2 30-Apr-2020 1.8 0.66 Buy Spot - Sell Future
MOTHERSUMI 60.70 61.1 30-Apr-2020 0.4 0.66 Buy Spot - Sell Future
HDFC 1558.75 1568.5 30-Apr-2020 9.75 0.63 Buy Spot - Sell Future
EXIDEIND 126.90 127.7 30-Apr-2020 0.8 0.63 Buy Spot - Sell Future
PFC 88.75 89.3 30-Apr-2020 0.55 0.62 Buy Spot - Sell Future
SHREECEM 16935.45 17039.65 30-Apr-2020 104.2 0.62 Buy Spot - Sell Future
WIPRO 184.15 185.3 30-Apr-2020 1.15 0.62 Buy Spot - Sell Future
BPCL 274.75 276.45 30-Apr-2020 1.7 0.62 Buy Spot - Sell Future
IBULHSGFIN 91.35 91.9 30-Apr-2020 0.55 0.6 Buy Spot - Sell Future
BAJAJFINSV 4661.15 4689.1 30-Apr-2020 27.95 0.6 Buy Spot - Sell Future
HINDPETRO 167.90 168.9 30-Apr-2020 1 0.6 Buy Spot - Sell Future
DIVISLAB 1893.90 1905.2 30-Apr-2020 11.3 0.6 Buy Spot - Sell Future
RELIANCE 1030.45 1036.5 30-Apr-2020 6.05 0.59 Buy Spot - Sell Future
SUNTV 270.75 272.35 30-Apr-2020 1.6 0.59 Buy Spot - Sell Future
RECLTD 85.05 85.55 30-Apr-2020 0.5 0.59 Buy Spot - Sell Future
HCLTECH 419.00 421.45 30-Apr-2020 2.45 0.58 Buy Spot - Sell Future
BAJFINANCE 2242.10 2255.2 30-Apr-2020 13.1 0.58 Buy Spot - Sell Future
APOLLOHOSP 1098.25 1104.65 30-Apr-2020 6.4 0.58 Buy Spot - Sell Future
ULTRACEMCO 3085.90 3103.8 30-Apr-2020 17.9 0.58 Buy Spot - Sell Future
INFY 626.70 630.3 30-Apr-2020 3.6 0.57 Buy Spot - Sell Future
LUPIN 560.60 563.75 30-Apr-2020 3.15 0.56 Buy Spot - Sell Future
BHARTIARTL 431.05 433.45 30-Apr-2020 2.4 0.56 Buy Spot - Sell Future
PIDILITIND 1283.20 1290.4 30-Apr-2020 7.2 0.56 Buy Spot - Sell Future
CUMMINSIND 331.60 333.45 30-Apr-2020 1.85 0.56 Buy Spot - Sell Future
UPL 308.45 310.15 30-Apr-2020 1.7 0.55 Buy Spot - Sell Future
HEROMOTOCO 1553.50 1561.95 30-Apr-2020 8.45 0.54 Buy Spot - Sell Future
BAJAJ-AUTO 1986.70 1997.5 30-Apr-2020 10.8 0.54 Buy Spot - Sell Future
BIOCON 275.60 277.1 30-Apr-2020 1.5 0.54 Buy Spot - Sell Future
SRTRANSFIN 609.40 612.65 30-Apr-2020 3.25 0.53 Buy Spot - Sell Future
HDFCLIFE 412.50 414.65 30-Apr-2020 2.15 0.52 Buy Spot - Sell Future
DABUR 427.55 429.75 30-Apr-2020 2.2 0.51 Buy Spot - Sell Future
EICHERMOT 13333.10 13401.5 30-Apr-2020 68.4 0.51 Buy Spot - Sell Future
TATASTEEL 254.05 255.35 30-Apr-2020 1.3 0.51 Buy Spot - Sell Future
BATAINDIA 1207.50 1213.55 30-Apr-2020 6.05 0.5 Buy Spot - Sell Future
TORNTPOWER 274.05 275.4 30-Apr-2020 1.35 0.49 Buy Spot - Sell Future
VEDL 61.55 61.85 30-Apr-2020 0.3 0.49 Buy Spot - Sell Future
GAIL 70.85 71.2 30-Apr-2020 0.35 0.49 Buy Spot - Sell Future
L&TFH 51.30 51.55 30-Apr-2020 0.25 0.49 Buy Spot - Sell Future
TCS 1778.50 1787.3 30-Apr-2020 8.8 0.49 Buy Spot - Sell Future
MRF 54375.70 54638.5 30-Apr-2020 262.8 0.48 Buy Spot - Sell Future
SBIN 186.90 187.8 30-Apr-2020 0.9 0.48 Buy Spot - Sell Future
ONGC 63.35 63.65 30-Apr-2020 0.3 0.47 Buy Spot - Sell Future
ASIANPAINT 1594.95 1602.25 30-Apr-2020 7.3 0.46 Buy Spot - Sell Future
IOC 76.80 77.15 30-Apr-2020 0.35 0.46 Buy Spot - Sell Future
HINDALCO 88.80 89.2 30-Apr-2020 0.4 0.45 Buy Spot - Sell Future
DRREDDY 2994.25 3007.3 30-Apr-2020 13.05 0.44 Buy Spot - Sell Future
SIEMENS 1080.95 1085.7 30-Apr-2020 4.75 0.44 Buy Spot - Sell Future
RBLBANK 150.10 150.75 30-Apr-2020 0.65 0.43 Buy Spot - Sell Future
GLENMARK 195.75 196.55 30-Apr-2020 0.8 0.41 Buy Spot - Sell Future
CANBK 86.85 87.2 30-Apr-2020 0.35 0.4 Buy Spot - Sell Future
GRASIM 450.50 452.3 30-Apr-2020 1.8 0.4 Buy Spot - Sell Future
VOLTAS 465.10 466.9 30-Apr-2020 1.8 0.39 Buy Spot - Sell Future
MARICO 258.70 259.7 30-Apr-2020 1 0.39 Buy Spot - Sell Future
ICICIBANK 313.40 314.55 30-Apr-2020 1.15 0.37 Buy Spot - Sell Future
EQUITAS 40.10 40.25 30-Apr-2020 0.15 0.37 Buy Spot - Sell Future
BRITANNIA 2473.75 2482.9 30-Apr-2020 9.15 0.37 Buy Spot - Sell Future
ITC 159.20 159.75 30-Apr-2020 0.55 0.35 Buy Spot - Sell Future
CHOLAFIN 160.50 161.05 30-Apr-2020 0.55 0.34 Buy Spot - Sell Future
PETRONET 190.05 190.7 30-Apr-2020 0.65 0.34 Buy Spot - Sell Future
ICICIPRULI 333.60 334.7 30-Apr-2020 1.1 0.33 Buy Spot - Sell Future
DLF 130.75 131.15 30-Apr-2020 0.4 0.31 Buy Spot - Sell Future
GMRINFRA 15.90 15.95 30-Apr-2020 0.05 0.31 Buy Spot - Sell Future
TATAMOTORS 68.15 68.35 30-Apr-2020 0.2 0.29 Buy Spot - Sell Future
HDFCBANK 831.65 833.9 30-Apr-2020 2.25 0.27 Buy Spot - Sell Future
MUTHOOTFIN 611.95 613.55 30-Apr-2020 1.6 0.26 Buy Spot - Sell Future
ASHOKLEY 42.35 42.45 30-Apr-2020 0.1 0.24 Buy Spot - Sell Future
ESCORTS 601.60 602.95 30-Apr-2020 1.35 0.22 Buy Spot - Sell Future
MANAPPURAM 95.00 95.2 30-Apr-2020 0.2 0.21 Buy Spot - Sell Future
MARUTI 4328.45 4336.8 30-Apr-2020 8.35 0.19 Buy Spot - Sell Future
INDUSINDBK 413.40 414.05 30-Apr-2020 0.65 0.16 Buy Spot - Sell Future
PNB 32.90 32.95 30-Apr-2020 0.05 0.15 Buy Spot - Sell Future
HINDUNILVR 2184.35 2187.65 30-Apr-2020 3.3 0.15 Buy Spot - Sell Future
BEL 72.60 72.7 30-Apr-2020 0.1 0.14 Buy Spot - Sell Future
AUROPHARMA 389.50 390 30-Apr-2020 0.5 0.13 Buy Spot - Sell Future
IDEA 3.15 3.15 30-Apr-2020 0 0 No Arbitrage Opportunity
BHEL 20.20 20.2 30-Apr-2020 0 0 No Arbitrage Opportunity
NMDC 76.85 76.85 30-Apr-2020 0 0 No Arbitrage Opportunity
YESBANK 24.90 23.45 30-Apr-2020 -1.45 -5.82 Sell spot - Buy Future
MINDTREE 846.40 803.35 30-Apr-2020 -43.05 -5.09 Sell spot - Buy Future
NIITTECH 1131.15 1074.35 30-Apr-2020 -56.8 -5.02 Sell spot - Buy Future
PVR 1186.90 1153.7 30-Apr-2020 -33.2 -2.8 Sell spot - Buy Future
AMBUJACEM 148.25 144.9 30-Apr-2020 -3.35 -2.26 Sell spot - Buy Future
JUBLFOOD 1397.25 1368.75 30-Apr-2020 -28.5 -2.04 Sell spot - Buy Future
PAGEIND 16834.90 16594.1 30-Apr-2020 -240.8 -1.43 Sell spot - Buy Future
TATACONSUM 281.40 278.15 30-Apr-2020 -3.25 -1.15 Sell spot - Buy Future
INDIGO 1016.70 1005.55 30-Apr-2020 -11.15 -1.1 Sell spot - Buy Future
BOSCHLTD 9283.65 9183.15 30-Apr-2020 -100.5 -1.08 Sell spot - Buy Future
IDFCFIRSTB 21.00 20.8 30-Apr-2020 -0.2 -0.95 Sell spot - Buy Future
TITAN 943.65 936.3 30-Apr-2020 -7.35 -0.78 Sell spot - Buy Future
KOTAKBANK 1293.70 1284.3 30-Apr-2020 -9.4 -0.73 Sell spot - Buy Future
TVSMOTOR 292.80 290.8 30-Apr-2020 -2 -0.68 Sell spot - Buy Future
UBL 906.10 900.9 30-Apr-2020 -5.2 -0.57 Sell spot - Buy Future
OIL 79.45 79 30-Apr-2020 -0.45 -0.57 Sell spot - Buy Future
CIPLA 431.75 429.65 30-Apr-2020 -2.1 -0.49 Sell spot - Buy Future
JSWSTEEL 142.40 141.7 30-Apr-2020 -0.7 -0.49 Sell spot - Buy Future
GODREJPROP 591.05 588.2 30-Apr-2020 -2.85 -0.48 Sell spot - Buy Future
COALINDIA 133.15 132.65 30-Apr-2020 -0.5 -0.38 Sell spot - Buy Future
LT 798.65 795.95 30-Apr-2020 -2.7 -0.34 Sell spot - Buy Future
APOLLOTYRE 81.60 81.35 30-Apr-2020 -0.25 -0.31 Sell spot - Buy Future
TORNTPHARM 1960.10 1954.35 30-Apr-2020 -5.75 -0.29 Sell spot - Buy Future
IGL 361.35 360.35 30-Apr-2020 -1 -0.28 Sell spot - Buy Future
PEL 854.70 852.35 30-Apr-2020 -2.35 -0.27 Sell spot - Buy Future
SUNPHARMA 332.70 331.8 30-Apr-2020 -0.9 -0.27 Sell spot - Buy Future
CENTURYTEX 285.60 284.95 30-Apr-2020 -0.65 -0.23 Sell spot - Buy Future
NESTLEIND 15658.65 15623.6 30-Apr-2020 -35.05 -0.22 Sell spot - Buy Future
TECHM 526.80 525.7 30-Apr-2020 -1.1 -0.21 Sell spot - Buy Future
NATIONALUM 27.95 27.9 30-Apr-2020 -0.05 -0.18 Sell spot - Buy Future
ADANIPORTS 251.65 251.2 30-Apr-2020 -0.45 -0.18 Sell spot - Buy Future
COLPAL 1208.60 1206.7 30-Apr-2020 -1.9 -0.16 Sell spot - Buy Future
TATACHEM 223.00 222.7 30-Apr-2020 -0.3 -0.13 Sell spot - Buy Future
CADILAHC 252.15 251.85 30-Apr-2020 -0.3 -0.12 Sell spot - Buy Future
BANKBARODA 52.45 52.4 30-Apr-2020 -0.05 -0.1 Sell spot - Buy Future
SRF 2797.50 2794.85 30-Apr-2020 -2.65 -0.09 Sell spot - Buy Future
UJJIVAN 153.05 152.95 30-Apr-2020 -0.1 -0.07 Sell spot - Buy Future
NTPC 81.75 81.7 30-Apr-2020 -0.05 -0.06 Sell spot - Buy Future
INFRATEL 155.10 155.05 30-Apr-2020 -0.05 -0.03 Sell spot - Buy Future


Types of Arbitrage Strategy

There are basically two types of cash and future arbitrage strategy:

Day Strategy – In this strategy, the arbitrager tends to square up on the same day when the difference between cash and future price shrinks. For example, say the Reliance share cash price is Rs 950 and the futures price is Rs 960. Since the markets are at times very choppy, the cost of carry between the futures and spot varies. Supposing one initiates a trade at a cost of carry of Rs 10. Whenever the difference shrinks to Rs 5 to 6 in the same day, the arbitrager reverses the position.

Monthly Strategy – In this strategy, the arbitrager enters the arbitrage position at the beginning of the month and holds it till the expiry day. On the expiry day, when the cash and future prices converge, he closes both the positions pocketing the price difference at the beginning of the month as the profit. For example, say the Reliance spot price is Rs 950 and futures is at Rs 960, with 28 days to expiry of the futures contract. Arbitrager will keep this arbitrage position open till the expiry day when the spot and futures start trading at parity. Once the prices converge, he will close both the positions and keep Rs 10 – Transaction charges as risk free profit.

Things to keep in mind before taking Arbitrage Position

1. Transaction charges and brokerage eats away the majority of arbitrage profit. Investors should always account for them before taking the arbitrage position.

2. Sometimes spot price and future price do not converge on expiry date.

3. As soon as a company announces a dividend, the stock futures accounts for it by going ex-dividend, even before the stock becomes ex-dividend. In such a scenario, spot price and future price will not converge on expiry date leading to very less (which will be eaten away by transaction charges) or zero arbitrage profit. Hence, whenever the future price is trading at significant discount to the spot price, investors should double check the reason before taking the arbitrage position.


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