On Wednesday 10 Jun 2026 the 23,250 call of the June series settled at Rs 321.65 and the 23,250 put at Rs 322.05. The call less the put came to −0.40. Buy the call and sell the put and you hold the same payoff as a Nifty future bought at 23,250. The June future itself settled at 23,240.10. Two routes to one exposure, and a price on each. I read the call less the put before I read either alone, because it checks the whole chain against the future. When the two disagree, a price is stale, wide or costly. This lesson shows why the routes must agree, how the check works on real prices and why a gap is not free money. Every figure comes from NSE end of day files, dated and not live.

3By the end you can

  1. Build a synthetic future and the other synthetics from calls, puts and futures, and read their payoff lines.
  2. Work out the forward each strike implies and compare it with the future.
  3. Explain why a parity gap in an end of day file is not a trade.
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The idea, plainly

Take a call and a put with the same strike and the same expiry. Buy the call and sell the put. At expiry one of them is worth something and the other is not. With the index below the strike the call expires worthless and the sold put costs you the strike less the index. With the index above it the call pays the index less the strike and the put expires worthless.

Call less put
= e−rT x (F − K)

A bought call and a sold put draw the straight line of a future

Profit and loss on one lot of a bought Nifty 23250 call and a sold 23250 put on 10 Jun 2026: a rising straight line, the shape of a futurePayoff of the position at expiry and before expiry. Breakeven at 23,250. Maximum profit in the range ₹74,913, maximum loss ₹76,148; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry10 days to expiry−₹1L−₹50,000₹0₹50,00022,50023,00023,50024,000Nifty at expirySpot 23,215BE 23,250No capNo floor
Profit and loss on one lot of the 23,250 call bought and the 23,250 put sold, at the 10 Jun 2026 settle prices, June series. The line at expiry is straight, and with 10 days left it is nearly straight too. The net premium was −0.40 a unit. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
  • Long future: a bought call and a sold put.
  • Short future: a sold call and a bought put.
  • Long call: a long future and a bought put.
  • Long put: a short future and a bought call.
  • Sold put: a long future and a sold call.

A future plus a bought put draws the shape of a bought call

Profit and loss at expiry on one lot of the June Nifty future bought with the 23250 put bought, on 10 Jun 2026: a floor below the strike and a rising line above it, the shape of a bought callPayoff of the position at expiry. Breakeven at 23,562. Maximum profit in the range ₹54,597, maximum loss ₹20,290; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole position−₹20,000₹0₹20,000₹40,000₹60,00022,50023,00023,50024,000Nifty at expirySpot 23,215BE 23,562Max loss ₹20,290No cap
One lot of the June future bought at 23,240.10 a unit with the 23,250 put bought at 322.05 a unit, on 10 Jun 2026. The loss stops near the strike and the gain runs on above it, as for a call. The most it can lose is the put premium less the 9.9 points by which the strike sits above the future. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Implied forward
= K + erT x (C − P)

Read 7 more paragraphs, 379 words

In both cases the pair pays the index less the strike. That is the payoff of a future bought at the strike, and it is called a synthetic future. Reverse every leg and you have a synthetic short. Two ways to hold the same payoff must cost the same today, apart from interest on the difference. That is put call parity.

In words, the call less the put equals the discounted gap between the future and the strike. For a strike under the future the call costs more than the put. For a strike over it the put costs more. This is arithmetic, not opinion, and it holds for every strike on the chain at once.

Once you can build a future from options you can build most things from the others. I keep this short list in my head.

The last row is the covered call of module F27: a sold put in disguise, up to a fixed amount. The protective put in the same module is a bought call in disguise. Each pair differs only by a known sum, so the payoff lines have the same shape. The short answer to what a synthetic future is is the first line of the list.

Why must the two routes agree? Suppose the pair cost less than the future. Someone could buy the pair, sell the future, and hold both to expiry, where they end at the same value. The difference would be locked in. Traders who do this for a living buy the cheap side and sell the dear one until the gap closes, which is why parity holds closely on liquid expiries. For Nifty options it holds up to costs, because they are European and cash settled. Stock options settle in delivery of shares, which adds a cost to carrying the position.

Rearrange the formula and every strike gives a forward of its own.

A weekly series has no future of its own, since futures exist only for monthly expiries. For a weekly I take the forward from this formula, and I say so each time. On the 10 Jun 2026 weekly chain, 6 days from expiry, the forward came to 23,229.26 against a spot of 23,214.95. For a monthly I take the future itself.

Worked example: one strike, then a strip, 10 Jun 2026

Start with the 23,250 strike of the June series. The call settled at Rs 321.65 and the put at Rs 322.05, so the call less the put was −0.40. With the discount factor from the bill yield, the implied forward is 23,249.60. The future settled at 23,240.10. The options imply a forward 9.50 points above it, which is Rs 618 on a lot of 65 units.

  • Strike 23,000: implied forward 23,247.49
  • Strike 23,100: implied forward 23,248.21
  • Strike 23,200: implied forward 23,247.23
  • Strike 23,300: implied forward 23,246.80
  • Strike 23,400: implied forward 23,248.93
  • Strike 23,500: implied forward 23,248.75

Calls and puts at one strike differ by the gap between the strike and the forward

Settlement prices of Nifty calls and puts around the at the money strike on 10 Jun 2026: calls dearer than puts below the forward and cheaper above it
CallsStrikePuts
SettleSettle
437.5523,050239.25
405.9023,100258.10
374.5523,150278.95
347.7023,200300.60
Spot 23,214.95
321.6523,250ATM322.05
294.6023,300347.65
272.5523,350371.80
248.1023,400398.75
226.6523,450426.80

Shaded cells are in the money. Prices are settlement prices in rupees per unit.

Settlement prices of Nifty calls and puts around the strike nearest the future on 10 Jun 2026. Where the strike is under the future the call is the dearer, and where it is over the put is, which is what parity says. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The term this section turns on: Implied forward

The term this section turns on: Implied forwardThe term this section turns on: Implied forward. Implied forward: The forward a strike implies: the strike plus the call less the put, grown at the rate to expiry.Implied forwardThe forward a strike implies: the strike plusthe call less the put, grown at the rate toexpiry.
From the module glossary; every term is in the Learn glossary too. Source: Module 14.10, Put call parity and synthetic positions.
Read 4 more paragraphs, 207 words

The same gap shows up in volatility. Price both options off the future and the call carries 15.09% while the put carries 14.65%. Parity says one strike cannot have two honest volatilities. Price them off their own forward and the two agree, by construction.

Is that one odd strike? Here are six strikes of the same series on the same day.

Every strike sits above the future of 23,240.10, by between 6.70 and 8.83 points. So it is a feature of the whole chain and not a stray price. The prices around the money are below.

Now the same check on a quieter day. On Tuesday 16 Jun 2026, with 14 days left on the 30 Jun series, the 24,000 strike had a call less put of 0.80. That implies a forward of 24,000.80. The future settled at 24,001.00, only 0.20 points away. Parity held to a fraction of a point on 16 Jun and was off by 9.50 points on 10 Jun. An end of day file cannot say why. A rate different from the bill yield I used, financing costs, plain supply and demand, and small timing gaps between the settle prices of different contracts could each play a part.

Is a gap free money?

The usual question about parity is whether a gap is free money. A gap of 9.50 points looks like Rs 618 a lot for no risk. Three facts stand in the way.

  • STT on the sold call: Rs 31.36
  • NSE charges on options and future: Rs 42.51
  • SEBI fee: Rs 1.55
  • Stamp duty on the buy side: Rs 30.84
  • GST on the NSE charges: Rs 7.65
  • Total to open, brokerage left out: Rs 114

Parity says which side is rich, and costs decide if it matters

Compare the call less the put with the future less the strike: if the call less the put is larger, the call side is dear and the trade is a conversion, if it is smaller the put side is dear and the trade is a reversal, and either way costs and quotes decide whether the gap is usableDiagram with 4 boxes. Call less put, against future less strike to Call less put is larger; Call less put, against future less strike to Call less put is smaller; Call less put is larger to Costs, quotes and margin decide if the gap is usable; Call less put is smaller to Costs, quotes and margin decide if the gap is usable.Call less put, against futureless strikeone strike, one expiryCall less put islargercall side rich:conversionCall less put issmallerput side rich:reversalCosts, quotes and margindecide if the gap is usable
The three legs of each trade use one strike and one expiry. A conversion buys the future, buys the put and sells the call. A reversal does the opposite. Module I30 works through both. Illustration of the logic, with no prices. Source: RupeeCase illustration of put call parity. As of 17 Oct 2026.
Read 2 more paragraphs, 200 words

First, a settle price is not a quote. The file has no bid and no ask, so it cannot say what anyone could have traded at, or whether all three prices were on offer at one moment. Second, the trade has costs. Opening it, with the call sold, the put bought and the future bought, carries statutory charges of about Rs 114 on a lot at the rates in force from 1 Apr 2026: STT of 0.15% on the sold call premium, NSE charges, SEBI fees, stamp duty and GST on the charges. Closing adds more. Brokerage is not statutory and I leave it out. Third, margin is blocked on the short call and the long future, and three legs can fill at different prices. How a desk builds this trade, and when a gap is wide enough to matter, is the subject of module I30. Gaps in the parity relation get their own treatment in module A17, and the short answer is on the page can I arbitrage put call parity.

The payoff builder below opens on a long future. Add a bought call and a sold put at one strike and compare the two lines.

The common mistake

The belief: Calls cost more than puts at lower strikes, so the market expects Nifty to go up. Look at the strip. At 23,100 the call settled at Rs 405.90 and the put at Rs 258.10. At 23,400 the call was Rs 248.10 and the put Rs 398.75. Same day, same series, and the dearer side flipped as the strike crossed the future. Nobody changed their view between the two rows. The call less the put is the discounted future less the strike, so it falls as the strike rises. It tells you where the strike sits against the future, not where the index is going.

Key takeaways

  • A bought call and a sold put at one strike pay what a future pays.
  • Call less put equals the discounted future less the strike, at every strike.
  • Each strike implies a forward. A weekly series takes its forward this way.
  • A covered call has the shape of a sold put.
  • Calls dearer than puts below the forward is arithmetic, not a view.
  • A settle price is not a quote, so a gap needs costs and quotes.
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Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study