Box Spread

Arbitrage Strategies Advanced NIFTY BANKNIFTY FINNIFTY Stock Options

Market Neutral - Zero Delta

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Quick Reference

Strategy Type Risk-Free - Arbitrage/Financing
Market Outlook Market Neutral - Zero Delta
Risk Profile Zero market risk, Execution and holding risk only
Reward Profile Fixed value at expiry (Strike Difference)
Time Horizon Must hold to expiration for guaranteed value
Capital Requirement Strike difference minus small discount (approximately Rs.500 per lot for 500-point box)
Best Used When Box mispriced relative to interest rates, want risk-free return, need synthetic financing, educational purposes

When to Use This Strategy

Box mispriced relative to interest rates, want risk-free return, need synthetic financing, educational purposes

India-Specific Notes

Lot Sizes

Stock Options Varies by stock

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