Market Neutral - Works in All Conditions
| Strategy Type | Cash-Futures Arbitrage / Statistical Arbitrage |
| Market Outlook | Market Neutral - Works in All Conditions |
| Risk Level | Low (when properly executed) |
| Time Horizon | Very Short (Minutes to Days) or Carry to Expiry |
| Best Conditions | Mispricing between index futures and cash, high basis, volatile markets creating dislocations |
| Avoid When | Very low basis, high transaction costs, dividend-heavy periods without adjustment |
| Nifty 50 | NIFTY (lot size 25) • Nifty 50 Index (50 constituent stocks) • NIFTYBEES (1 unit ≈ 1/10th of Nifty) |
| Bank Nifty | BANKNIFTY (lot size 15) • Bank Nifty Index (12 bank stocks) • BANKBEES |
| Nifty Next 50 | NIFTYNXT50 (lot size 10) • Nifty Next 50 Index • JUNIORBEES |
| Cash Futures | Buy spot basket, sell futures (or reverse) |
| Calendar Spread | Buy near month futures, sell far month futures |
| Etf Futures | Buy/sell ETF vs futures |
| Cross Index | Nifty vs Bank Nifty relative value |
| Brokerage | 0.01-0.03% per leg |
| Stt | 0.01% on sell (futures), 0.1% on sell (stocks) |
| Stamp Duty | 0.003% on buy |
| Gst | 18% on brokerage |
| Slippage | 0.02-0.05% depending on liquidity |
| Total Round Trip | Approximately 0.15-0.25% for cash-futures |
| Formula | Spot × (1 + r × t/365) - Dividends |
| Risk Free Rate | Use 91-day T-bill rate (~6-7%) |
| Time To Expiry | Days to expiry / 365 |
| Dividend Adjustment | Subtract expected dividends during period |
| Monthly Expiry | Last Thursday of month |
| Weekly Expiry | Every Thursday (for Nifty and Bank Nifty) |
| Rollover Period | Typically 3-5 days before expiry |
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