--- title: "Cash futures arbitrage on Nifty: the trade and its costs" description: "How cash futures arbitrage works on Nifty, what it locks in, the STT and cost stack, and how arbitrage funds and the NSE index use it, on NSE data of June 2026." source_url: "https://www.rupeecase.com/learn/path-18/module-18-1-cash-futures-arbitrage" --- [Path 18 1 of 14](/learn/path-18/)Cash futures arbitrage and the Nifty 50 Arbitrage index[Next 18.2](/learn/path-18/module-18-2-conversions-and-reversals) On Monday 29 Jun 2026 the June Nifty future settled at 23,972.90, 26.65 points above the index close of 23,946.25, with one day left. On a lot of 65 units that was Rs 1,732. The textbook trade, buy the shares of the index and sell the future, would keep that gap when the two prices meet at expiry. I price the share side first. Delivery STT is 0.1% on the purchase and 0.1% on the later sale, which comes to 47.9 points of the index, nearly twice the gap. That is how a gap like this can sit on the screen. This lesson covers the trade, what it locks in, how arbitrage funds and the NSE Nifty 50 Arbitrage index use it, and whether an individual can run it. Every figure comes from NSE end of day files and is dated, not live. 3By the end you can 1. Describe the two legs of cash and carry and what the trade locks in at entry. 2. Price the cost stack against the gap on a dated Nifty future. 3. Explain how an arbitrage fund and the NSE Nifty 50 Arbitrage index relate to the trade, and what an individual faces. Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data. ## The idea, plainly ### The trade, step by step Cash futures arbitrage, also called cash and carry, has two legs. Buy the shares that make up the index in the cash market and sell the future of the same index. Hold both to expiry. For index expiries before 7 Dec 2026 the future's final price is the index close, so on that day the future's loss or gain offsets the shares' exactly. What is left is the gap between the future and the index at entry, plus the dividends the shares paid in the meantime, less what the trade cost. Buy the shares, sell the future, and keep the gap if it is bigger than the costs Settlement prices of 29 Jun 2026, one lot of 65 units. The costs are priced further down. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026. Read one more paragraph, 61 words The reverse trade sells the shares and buys the future when the future is cheap. It only works for someone who already holds the shares, because a short cash position beyond the day needs borrowed shares, which carry a fee of their own. So the reverse is for funds and investors with holdings, who swap shares for futures for a while. ### What does it lock in, and what does it earn? On paper the trade locks in the gap at entry, plus dividends, less costs, on the money used: the price of the shares and the margin on the future. If the future sits at fair value, that gap plus the dividends equals interest, as in [module 13.5](/learn/path-13/module-13-5-nifty-futures-fair-value). The trade then pays about what a bill would pay, and not more. That is the honest answer to the question of what cash futures arbitrage earns: roughly the short term interest rate, less costs, when prices are fair, and a little more when the future is rich. Nothing in it is a view on Nifty, which is why it is a trade about rates and costs. The short answer is on the [cash futures arbitrage page](/learn/questions/cash-futures-arbitrage). Read one more paragraph, 76 words The risks are not in direction. The future is margined and marked to market every evening, so the short future pays cash in a rally while the shares gain on paper. Dividends may differ from the estimate. Buying fifty stocks together at exactly the index close is hard to do. And a rollover that is delayed leaves a leg open. These are small against a stack of costs, and the stack is the heart of it. ### The cost stack Four items make up the stack. Delivery STT on both sides of the shares is a rule, 0.1% each way. The rest of the cash leg, brokerage, exchange charge, stamp duty and the price of trading the whole basket at once, is an assumption of 0.1% of value. The future costs its sale charges at the rates in force from 1 Apr 2026, STT of 0.05% included. Funding is the last item, assumed at 1.0% a year over the bill yield. The two assumptions are the defaults of the fair value tool below, and you can change them there. Here are the items against the gap on three dates, with the futures charges and the two assumed items in one column. The bars after it split them for 29 Jun. The term this section turns on: Cost stack From the module glossary; every term is in the Learn glossary too. Source: Module 18.1, Cash futures arbitrage and the Nifty 50 Arbitrage index. | June future, days left | Gap, points | STT on shares, both sides | Futures charges and other costs | Total costs | | --- | --- | --- | --- | --- | | 10 Jun 2026, 20 | 25.15 | 46.4 | 48.1 | 94.5 | | 16 Jun 2026, 14 | 11.85 | 48.0 | 45.7 | 93.7 | | 29 Jun 2026, 1 | 26.65 | 47.9 | 37.1 | 85.0 | One day before expiry the costs added up to more than three times the gap Settlement prices of 29 Jun 2026. Delivery STT is the 0.1% rule on each side of the shares. Futures charges are STT, exchange charge, SEBI fee and GST on the sale. Other costs are an assumption of 0.1% of value. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026. Read one more paragraph, 102 words On none of the three dates did the gap cover the stack. That is for a trade closed at the expiry, with shares bought and sold. The table leaves out the dividends the shares collect, and adding the implied dividends worked out in module 13.5 still leaves the gap short on all three dates. It also leaves out the bill yield the money gives up, so if anything the stack here is low. The gap is in points over a few days, while STT on the shares is a fixed share of value. So the arithmetic shifts as the shares stay longer. ### Arbitrage funds and the NSE index This is how a pooled fund can make it work. A fund buys the shares once and keeps them. Every month it only rolls the futures leg: it buys back the expiring future and sells the next. The delivery STT on the shares is then paid once and spread over many expiries, and the fund trades in size, with lower brokerage per rupee and more care over impact cost. The bars below spread the same STT over more expiries, with the futures charges of every month added. The reference bar is the gap on 10 Jun. Held across expiries, the share side cost per month falls below the gap Delivery STT on both sides of the shares divided by the number of expiries they are held, plus the futures charges of one expiry, in index points of 10 Jun 2026. Other costs and funding are left out, so this is a lower bound on the cost. It assumes the shares are kept and only the future is rolled. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. Read 2 more paragraphs, 164 words That is the mechanism, and the reason a fund's result depends on spreads and costs and not on where the index goes. SEBI's categorisation of mutual fund schemes lists arbitrage funds among hybrid schemes, with a minimum share of equity and equity related instruments. The equity is hedged by the future, so the fund's exposure to the index is largely offset, but nothing makes it match a benchmark. How a fund is taxed turns on its equity share, which [module 11.2](/learn/path-11/module-11-2-tax-treatment-mfs-etfs-sgbs-bonds-and-fno) covers, along with the Income Tax portal. What it earns is a record of the past, and no page here promises a number. NSE Indices publishes the Nifty 50 Arbitrage index to measure this kind of strategy. Its factsheet describes a portfolio of equities held against an equal short in equity futures, with short term debt and cash alongside. It can serve as a yardstick. Read the factsheet for the rules, and treat the index history as a description and not a forecast. ### Is it open to an individual? The trade uses ordinary orders in the cash and the F&O segments. I did not find a rule in SEBI's derivatives circulars that bars it for an individual. What stands in the way in practice is the stack above, margin, and the fact that the basket has to be bought together. If the orders are automated, SEBI's retail algo framework applies, which [module 10.3](/learn/path-10/module-10-3-systematic-execution-in-india-apis-algos-and-sebi-rules) explains. This is not legal advice, and the short answer is on the [arbitrage for retail page](/learn/questions/arbitrage-for-retail-india). ## Worked example: one lot, three dates Take the table above for one lot of 65 units. On 29 Jun the gap of 26.65 points was worth Rs 1,732. The delivery STT alone on a basket worth Rs 15,56,506 came to Rs 3,113 for both sides, and the net of the gap less STT was −Rs 1,381. On 10 Jun, with 20 days left, interest on the index was 65.0 points, the gap 25.15 and the implied dividends the rest, as in module 13.5. All the costs together were 94.5 points, which is 3.8 times the gap. The fair value tool below opens on the 10 Jun June future. Move the dividend points to shift fair value, and raise the cash leg cost to see the band widen. ## The common mistake The belief: Cash futures arbitrage is risk free money, so anyone can do it. Put the numbers beside it. On 29 Jun the gap was 26.65 points and the delivery STT alone 47.9. On 10 Jun, with 20 days to run, the gap of 25.15 points sat under a cost stack of 94.5. A gap that looks easy usually means the costs are higher than the person thinks, and the margin on the future, the daily cash and the basket order are all still there. What an arbitrage fund does well is not a trade a small account can copy. It is a cost structure. Watch in the terminal: does the app hold my money or shares? A short tutorial on sample data. ## Key takeaways * Cash and carry buys the shares and sells the future. * The trade locks in the gap at entry, plus dividends, less costs. * At fair value it pays about the short term interest rate. * Delivery STT on both sides of the shares is the largest item. * A fund spreads that STT by keeping shares and rolling only the future. * A gap that looks easy usually means costs are underestimated. Two terms to hold on to from 18.1 From the module glossary. Source: Module 18.1, Cash futures arbitrage and the Nifty 50 Arbitrage index. **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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What does Cash futures arbitrage and the Nifty 50 Arbitrage index cover?Buy the shares, sell the future and keep the gap, if the gap is bigger than the costs. On the three June 2026 dates here, it was not. It works through The idea, plainly, Worked example: one lot, three dates, The common mistake, Key takeaways. It is module 18.1 of Path 18, Arbitrage and Relative Value, about 9 minutes of reading, free. TTry it ## Futures fair value, on the same example. Carry, dividends and the arbitrage band after costs. Dated NSE end of day data, nothing live, no orders. **Futures fair value**, Nifty, 10 Jun 2026, 30 Jun 2026 expiry. [Open the futures fair value](/learn/tools/futures-fair-value?chain=NIFTY_2026-06-10_2026-06-30) AF&O on RupeeCase ## Hedging only, in development F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging) QQuick check ## 10 questions, 7 to pass. Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 18 certificate. 7 of 10 correct passes module 18.1 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 18 so far. Your quick check results on this device, stop by stop. Stop 1 of 14 on Path 18 Arbitrage and Relative Value: every live stop, this module ringed. Source: RupeeCase Learn, Path 18. 1. [18.1Cash futures arbitrage and the Nifty 50 Arbitrage indexNot yet](/learn/path-18/module-18-1-cash-futures-arbitrage#quiz) 2. [18.2Conversions and reversalsNot yet](/learn/path-18/module-18-2-conversions-and-reversals) 3. [18.3Pair trading intuition: correlation is not cointegrationNot yet](/learn/path-18/module-18-3-pair-trading-intuition) 4. [18.4Futures calendar arbitrage and roll dynamicsNot yet](/learn/path-18/module-18-4-futures-calendar-arbitrage) 5. [18.5Box spreads with European index optionsNot yet](/learn/path-18/module-18-5-box-spreads) 6. [18.6Parity deviations in practice: what the frictions costNot yet](/learn/path-18/module-18-6-parity-deviations) 7. [18.7Cointegration toolkit: Engle Granger, ADF, half life and z scoreNot yet](/learn/path-18/module-18-7-cointegration-toolkit) 8. [18.8Pair trading with Indian stock futuresNot yet](/learn/path-18/module-18-8-pair-trading-with-stock-futures) 9. [18.9Mean reversion against momentumNot yet](/learn/path-18/module-18-9-mean-reversion-vs-momentum) 10. [18.10Implied correlationNot yet](/learn/path-18/module-18-10-implied-correlation) 11. [18.11Dispersion trades: construction and risksNot yet](/learn/path-18/module-18-11-dispersion-trades) 12. [18.12The correlation risk premiumNot yet](/learn/path-18/module-18-12-correlation-risk-premium) 13. [18.13Baskets, PCA stat arb and Johansen testsNot yet](/learn/path-18/module-18-13-pca-stat-arb) 14. [18.14Kalman filter hedge ratiosNot yet](/learn/path-18/module-18-14-kalman-filter-hedge-ratios) 15. [TPath test, 30 questionsNot yet](/learn/path-18/module-18-14-kalman-filter-hedge-ratios#pathTestSection) Path 18 in reading time: 143 minutes over 14 modules Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 18. Explore next ## Put the module to work. * [Free module 13.6Futures calendar spreads and roll yield9 min read](/learn/path-13/module-13-6-futures-calendar-spreads) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [Free module 13.2Why futures trade above spot: basis, carry and convergence8 min read](/learn/path-13/module-13-2-futures-basis-and-carry) * [Free module 13.5Fair value of Nifty futures with dividends9 min read](/learn/path-13/module-13-5-nifty-futures-fair-value) * [Free module 18.4Futures calendar arbitrage and roll dynamics10 min read](/learn/path-18/module-18-4-futures-calendar-arbitrage) * [QuestionHow does cash futures arbitrage work, and what does it earn?A short answer with a dated chart](/learn/questions/cash-futures-arbitrage) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 9 sources, NSE the most cited The publisher of each source listed below. Source: Module 18.1 source list. 1. [NSE Indices, Nifty 50 Arbitrage index](https://niftyindices.com/indices/equity/strategy-indices/nifty-50-arbitrage) NSE 2. [NSE Indices, Nifty 50 Arbitrage index factsheet](https://archives.nseindia.com/content/indices/Factsheet_Nifty_50_Arbitrage_Index.pdf) NSE 3. [NSE, circular NSE/FATAX/73524 on securities transaction tax rates from 1 Apr 2026](https://nsearchives.nseindia.com/content/circulars/FATAX73524.pdf) NSE 4. [NSE, circular NSE/FA/73061 on transaction charges from 1 Mar 2026](https://nsearchives.nseindia.com/content/circulars/FA73061.pdf) NSE 5. [NSE Clearing, margins for equity derivatives](https://www.nseclearing.in/risk-management/equity-derivatives/margins) NSE 6. [SEBI, categorisation and rationalisation of mutual fund schemes (circular of 6 Oct 2017)](https://www.sebi.gov.in/legal/circulars/oct-2017/categorization-and-rationalization-of-mutual-fund-schemes_36199.html) SEBI 7. [Income Tax Department, e-filing portal](https://www.incometax.gov.in/iec/foportal/) Income Tax 8. [NISM, Series VIII Equity Derivatives certification examination](https://www.nism.ac.in/revamp-nism/equity-derivatives/) NISM 9. Hull, J., Options, Futures, and Other Derivatives, Pearson (index arbitrage) Book GTerms ## 4 terms from this module. Cash and carryBuying the shares and selling the future of the same index, then holding both to expiry. Reverse cash and carrySelling shares already held and buying the future when the future is cheap. Arbitrage fundA mutual fund that holds shares against short futures, a hybrid scheme in SEBI's categorisation. Cost stackThe items that must be paid to run a trade: STT, charges, funding and the price of trading the basket. [All 230 terms in the glossary](/learn/glossary) [Question people askHow does cash futures arbitrage work, and what does it earn?A short answer with a dated chart](/learn/questions/cash-futures-arbitrage)[Question people askHow do arbitrage funds work?A short answer with a dated chart](/learn/questions/how-arbitrage-funds-work)[Related module13.2 Why futures trade above spot: basis, carry and convergence8 min, Beginner](/learn/path-13/module-13-2-futures-basis-and-carry)[Related module13.5 Fair value of Nifty futures with dividends9 min, Intermediate](/learn/path-13/module-13-5-nifty-futures-fair-value)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives) Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.