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 - 01-Apr-2020

Symbol Spot_Price Future_Price Expiry_Date Basis %_Basis Trading_Strategy
JINDALSTEL 70.25 70.8 30-Apr-2020 0.55 0.78 Buy Spot - Sell Future
OIL 79.25 79.85 30-Apr-2020 0.6 0.76 Buy Spot - Sell Future
EQUITAS 41.50 41.8 30-Apr-2020 0.3 0.72 Buy Spot - Sell Future
MFSL 382.40 384.85 30-Apr-2020 2.45 0.64 Buy Spot - Sell Future
GMRINFRA 16.20 16.3 30-Apr-2020 0.1 0.62 Buy Spot - Sell Future

NSE Cash Future Arbitrage Opportunity - 01-Apr-2020

Symbol Spot_Price Future_Price Expiry_Date Basis %_Basis Trading_Strategy
JINDALSTEL 70.25 70.8 30-Apr-2020 0.55 0.78 Buy Spot - Sell Future
OIL 79.25 79.85 30-Apr-2020 0.6 0.76 Buy Spot - Sell Future
EQUITAS 41.50 41.8 30-Apr-2020 0.3 0.72 Buy Spot - Sell Future
MFSL 382.40 384.85 30-Apr-2020 2.45 0.64 Buy Spot - Sell Future
GMRINFRA 16.20 16.3 30-Apr-2020 0.1 0.62 Buy Spot - Sell Future
CHOLAFIN 142.85 143.7 30-Apr-2020 0.85 0.6 Buy Spot - Sell Future
MOTHERSUMI 57.95 58.3 30-Apr-2020 0.35 0.6 Buy Spot - Sell Future
CONCOR 317.50 319.35 30-Apr-2020 1.85 0.58 Buy Spot - Sell Future
VEDL 62.65 63 30-Apr-2020 0.35 0.56 Buy Spot - Sell Future
ADANIENT 133.95 134.7 30-Apr-2020 0.75 0.56 Buy Spot - Sell Future
INDUSINDBK 342.25 344.05 30-Apr-2020 1.8 0.53 Buy Spot - Sell Future
NATIONALUM 28.35 28.5 30-Apr-2020 0.15 0.53 Buy Spot - Sell Future
BHARATFORG 230.05 231.2 30-Apr-2020 1.15 0.5 Buy Spot - Sell Future
CUMMINSIND 308.50 310 30-Apr-2020 1.5 0.49 Buy Spot - Sell Future
BANDHANBNK 194.90 195.85 30-Apr-2020 0.95 0.49 Buy Spot - Sell Future
PETRONET 200.00 200.95 30-Apr-2020 0.95 0.47 Buy Spot - Sell Future
ADANIPORTS 244.80 245.95 30-Apr-2020 1.15 0.47 Buy Spot - Sell Future
MGL 814.90 818.65 30-Apr-2020 3.75 0.46 Buy Spot - Sell Future
ICICIPRULI 342.60 344.15 30-Apr-2020 1.55 0.45 Buy Spot - Sell Future
UPL 305.75 307.1 30-Apr-2020 1.35 0.44 Buy Spot - Sell Future
UBL 889.70 893.5 30-Apr-2020 3.8 0.43 Buy Spot - Sell Future
TATACONSUM 280.00 281.2 30-Apr-2020 1.2 0.43 Buy Spot - Sell Future
BOSCHLTD 9235.80 9274.7 30-Apr-2020 38.9 0.42 Buy Spot - Sell Future
RECLTD 86.95 87.3 30-Apr-2020 0.35 0.4 Buy Spot - Sell Future
TECHM 511.20 513.2 30-Apr-2020 2 0.39 Buy Spot - Sell Future
APOLLOTYRE 77.90 78.2 30-Apr-2020 0.3 0.39 Buy Spot - Sell Future
NMDC 78.55 78.85 30-Apr-2020 0.3 0.38 Buy Spot - Sell Future
ADANIPOWER 26.80 26.9 30-Apr-2020 0.1 0.37 Buy Spot - Sell Future
EICHERMOT 13001.60 13048.3 30-Apr-2020 46.7 0.36 Buy Spot - Sell Future
AMARAJABAT 477.80 479.5 30-Apr-2020 1.7 0.36 Buy Spot - Sell Future
JSWSTEEL 143.00 143.5 30-Apr-2020 0.5 0.35 Buy Spot - Sell Future
BHARTIARTL 421.35 422.8 30-Apr-2020 1.45 0.34 Buy Spot - Sell Future
DLF 132.55 133 30-Apr-2020 0.45 0.34 Buy Spot - Sell Future
HINDALCO 91.65 91.95 30-Apr-2020 0.3 0.33 Buy Spot - Sell Future
MCDOWELL-N 462.85 464.4 30-Apr-2020 1.55 0.33 Buy Spot - Sell Future
DIVISLAB 1877.00 1883.15 30-Apr-2020 6.15 0.33 Buy Spot - Sell Future
SHREECEM 16549.65 16604.5 30-Apr-2020 54.85 0.33 Buy Spot - Sell Future
IOC 78.95 79.2 30-Apr-2020 0.25 0.32 Buy Spot - Sell Future
COALINDIA 139.45 139.9 30-Apr-2020 0.45 0.32 Buy Spot - Sell Future
BERGEPAINT 483.45 485 30-Apr-2020 1.55 0.32 Buy Spot - Sell Future
SUNPHARMA 343.55 344.6 30-Apr-2020 1.05 0.31 Buy Spot - Sell Future
ONGC 65.75 65.95 30-Apr-2020 0.2 0.3 Buy Spot - Sell Future
RELIANCE 1080.45 1083.7 30-Apr-2020 3.25 0.3 Buy Spot - Sell Future
IBULHSGFIN 99.35 99.65 30-Apr-2020 0.3 0.3 Buy Spot - Sell Future
HDFC 1583.50 1588.05 30-Apr-2020 4.55 0.29 Buy Spot - Sell Future
TCS 1708.75 1713.65 30-Apr-2020 4.9 0.29 Buy Spot - Sell Future
BEL 69.05 69.25 30-Apr-2020 0.2 0.29 Buy Spot - Sell Future
GLENMARK 203.85 204.45 30-Apr-2020 0.6 0.29 Buy Spot - Sell Future
PFC 88.90 89.15 30-Apr-2020 0.25 0.28 Buy Spot - Sell Future
MANAPPURAM 93.40 93.65 30-Apr-2020 0.25 0.27 Buy Spot - Sell Future
NCC 18.70 18.75 30-Apr-2020 0.05 0.27 Buy Spot - Sell Future
NESTLEIND 15654.55 15697.5 30-Apr-2020 42.95 0.27 Buy Spot - Sell Future
BAJAJFINSV 4501.90 4514.25 30-Apr-2020 12.35 0.27 Buy Spot - Sell Future
SBIN 186.55 187.05 30-Apr-2020 0.5 0.27 Buy Spot - Sell Future
ICICIBANK 311.15 312 30-Apr-2020 0.85 0.27 Buy Spot - Sell Future
DRREDDY 3095.00 3103.3 30-Apr-2020 8.3 0.27 Buy Spot - Sell Future
GAIL 75.75 75.95 30-Apr-2020 0.2 0.26 Buy Spot - Sell Future
HDFCLIFE 429.90 431 30-Apr-2020 1.1 0.26 Buy Spot - Sell Future
SRF 2654.95 2661.8 30-Apr-2020 6.85 0.26 Buy Spot - Sell Future
DABUR 434.85 435.9 30-Apr-2020 1.05 0.24 Buy Spot - Sell Future
ITC 166.40 166.8 30-Apr-2020 0.4 0.24 Buy Spot - Sell Future
WIPRO 189.50 189.95 30-Apr-2020 0.45 0.24 Buy Spot - Sell Future
APOLLOHOSP 1088.85 1091.45 30-Apr-2020 2.6 0.24 Buy Spot - Sell Future
AUROPHARMA 392.30 393.2 30-Apr-2020 0.9 0.23 Buy Spot - Sell Future
PIDILITIND 1297.30 1300.25 30-Apr-2020 2.95 0.23 Buy Spot - Sell Future
CIPLA 413.75 414.65 30-Apr-2020 0.9 0.22 Buy Spot - Sell Future
TATAMOTORS 67.95 68.1 30-Apr-2020 0.15 0.22 Buy Spot - Sell Future
HCLTECH 413.55 414.4 30-Apr-2020 0.85 0.21 Buy Spot - Sell Future
JUSTDIAL 309.80 310.45 30-Apr-2020 0.65 0.21 Buy Spot - Sell Future
HINDUNILVR 2179.65 2184.3 30-Apr-2020 4.65 0.21 Buy Spot - Sell Future
COLPAL 1242.50 1244.95 30-Apr-2020 2.45 0.2 Buy Spot - Sell Future
NTPC 81.00 81.15 30-Apr-2020 0.15 0.19 Buy Spot - Sell Future
GODREJPROP 596.40 597.45 30-Apr-2020 1.05 0.18 Buy Spot - Sell Future
BIOCON 278.40 278.9 30-Apr-2020 0.5 0.18 Buy Spot - Sell Future
CESC 393.15 393.85 30-Apr-2020 0.7 0.18 Buy Spot - Sell Future
INFY 602.80 603.8 30-Apr-2020 1 0.17 Buy Spot - Sell Future
MARUTI 4246.35 4253.75 30-Apr-2020 7.4 0.17 Buy Spot - Sell Future
ULTRACEMCO 3140.65 3146.1 30-Apr-2020 5.45 0.17 Buy Spot - Sell Future
SIEMENS 1085.20 1086.95 30-Apr-2020 1.75 0.16 Buy Spot - Sell Future
TATAPOWER 31.55 31.6 30-Apr-2020 0.05 0.16 Buy Spot - Sell Future
LUPIN 579.05 579.95 30-Apr-2020 0.9 0.16 Buy Spot - Sell Future
HINDPETRO 184.00 184.3 30-Apr-2020 0.3 0.16 Buy Spot - Sell Future
BAJAJ-AUTO 2051.10 2053.95 30-Apr-2020 2.85 0.14 Buy Spot - Sell Future
TATACHEM 224.65 224.95 30-Apr-2020 0.3 0.13 Buy Spot - Sell Future
NAUKRI 2013.95 2016.6 30-Apr-2020 2.65 0.13 Buy Spot - Sell Future
FEDERALBNK 41.30 41.35 30-Apr-2020 0.05 0.12 Buy Spot - Sell Future
RBLBANK 131.30 131.45 30-Apr-2020 0.15 0.11 Buy Spot - Sell Future
CANBK 90.20 90.3 30-Apr-2020 0.1 0.11 Buy Spot - Sell Future
SUNTV 272.45 272.75 30-Apr-2020 0.3 0.11 Buy Spot - Sell Future
M&MFIN 152.60 152.75 30-Apr-2020 0.15 0.1 Buy Spot - Sell Future
MUTHOOTFIN 604.50 605.05 30-Apr-2020 0.55 0.09 Buy Spot - Sell Future
AXISBANK 358.65 358.95 30-Apr-2020 0.3 0.08 Buy Spot - Sell Future
CADILAHC 263.85 264.05 30-Apr-2020 0.2 0.08 Buy Spot - Sell Future
LT 774.35 774.9 30-Apr-2020 0.55 0.07 Buy Spot - Sell Future
LICHSGFIN 233.00 233.1 30-Apr-2020 0.1 0.04 Buy Spot - Sell Future
INDIGO 999.00 999.35 30-Apr-2020 0.35 0.04 Buy Spot - Sell Future
CENTURYTEX 298.40 298.45 30-Apr-2020 0.05 0.02 Buy Spot - Sell Future
GODREJCP 548.75 548.8 30-Apr-2020 0.05 0.01 Buy Spot - Sell Future
SAIL 22.20 22.2 30-Apr-2020 0 0 No Arbitrage Opportunity
UJJIVAN 148.85 148.85 30-Apr-2020 0 0 No Arbitrage Opportunity
ZEEL 120.90 120.9 30-Apr-2020 0 0 No Arbitrage Opportunity
BANKBARODA 51.25 51.25 30-Apr-2020 0 0 No Arbitrage Opportunity
NIITTECH 1164.10 1066.85 30-Apr-2020 -97.25 -8.35 Sell spot - Buy Future
JUBLFOOD 1383.10 1310.75 30-Apr-2020 -72.35 -5.23 Sell spot - Buy Future
L&TFH 50.55 48.75 30-Apr-2020 -1.8 -3.56 Sell spot - Buy Future
PVR 1054.00 1025.55 30-Apr-2020 -28.45 -2.7 Sell spot - Buy Future
YESBANK 23.95 21.15 30-Apr-2020 -2.8 -11.69 Sell spot - Buy Future
MINDTREE 753.50 738.75 30-Apr-2020 -14.75 -1.96 Sell spot - Buy Future
IDFCFIRSTB 20.60 20.25 30-Apr-2020 -0.35 -1.7 Sell spot - Buy Future
IDEA 3.05 3 30-Apr-2020 -0.05 -1.64 Sell spot - Buy Future
TVSMOTOR 279.15 274.65 30-Apr-2020 -4.5 -1.61 Sell spot - Buy Future
SRTRANSFIN 621.65 613.3 30-Apr-2020 -8.35 -1.34 Sell spot - Buy Future
HAVELLS 484.60 479 30-Apr-2020 -5.6 -1.16 Sell spot - Buy Future
TATASTEEL 266.35 263.65 30-Apr-2020 -2.7 -1.01 Sell spot - Buy Future
PNB 30.45 30.15 30-Apr-2020 -0.3 -0.99 Sell spot - Buy Future
KOTAKBANK 1181.65 1172.75 30-Apr-2020 -8.9 -0.75 Sell spot - Buy Future
AMBUJACEM 156.65 155.5 30-Apr-2020 -1.15 -0.73 Sell spot - Buy Future
ESCORTS 598.80 594.55 30-Apr-2020 -4.25 -0.71 Sell spot - Buy Future
BALKRISIND 803.05 797.85 30-Apr-2020 -5.2 -0.65 Sell spot - Buy Future
BATAINDIA 1189.70 1182.65 30-Apr-2020 -7.05 -0.59 Sell spot - Buy Future
TORNTPOWER 280.95 279.45 30-Apr-2020 -1.5 -0.53 Sell spot - Buy Future
RAMCOCEM 496.80 494.65 30-Apr-2020 -2.15 -0.43 Sell spot - Buy Future
ASHOKLEY 41.10 40.95 30-Apr-2020 -0.15 -0.36 Sell spot - Buy Future
IGL 390.55 389.2 30-Apr-2020 -1.35 -0.35 Sell spot - Buy Future
BRITANNIA 2564.85 2558.4 30-Apr-2020 -6.45 -0.25 Sell spot - Buy Future
TITAN 936.05 933.7 30-Apr-2020 -2.35 -0.25 Sell spot - Buy Future
BHEL 20.70 20.65 30-Apr-2020 -0.05 -0.24 Sell spot - Buy Future
GRASIM 476.15 475.1 30-Apr-2020 -1.05 -0.22 Sell spot - Buy Future
INFRATEL 155.10 154.8 30-Apr-2020 -0.3 -0.19 Sell spot - Buy Future
HDFCBANK 829.65 828.2 30-Apr-2020 -1.45 -0.17 Sell spot - Buy Future
MRF 55108.85 55015.2 30-Apr-2020 -93.65 -0.17 Sell spot - Buy Future
HEROMOTOCO 1639.65 1637.05 30-Apr-2020 -2.6 -0.16 Sell spot - Buy Future
ACC 963.45 962.1 30-Apr-2020 -1.35 -0.14 Sell spot - Buy Future
POWERGRID 154.60 154.4 30-Apr-2020 -0.2 -0.13 Sell spot - Buy Future
BPCL 302.95 302.6 30-Apr-2020 -0.35 -0.12 Sell spot - Buy Future
TORNTPHARM 1959.00 1956.85 30-Apr-2020 -2.15 -0.11 Sell spot - Buy Future
M&M 272.85 272.55 30-Apr-2020 -0.3 -0.11 Sell spot - Buy Future
BAJFINANCE 2219.35 2217.15 30-Apr-2020 -2.2 -0.1 Sell spot - Buy Future
PAGEIND 16614.55 16599.15 30-Apr-2020 -15.4 -0.09 Sell spot - Buy Future
VOLTAS 471.25 470.85 30-Apr-2020 -0.4 -0.08 Sell spot - Buy Future
ASIANPAINT 1603.20 1602.25 30-Apr-2020 -0.95 -0.06 Sell spot - Buy Future
PEL 936.50 936.1 30-Apr-2020 -0.4 -0.04 Sell spot - Buy Future
EXIDEIND 131.75 131.7 30-Apr-2020 -0.05 -0.04 Sell spot - Buy Future
MARICO 265.50 265.45 30-Apr-2020 -0.05 -0.02 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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