Monday 29 Jun 2026, the evening before the June expiry. The June Nifty future settled at 23,972.90 and the July future at 24,037.70. The gap was 64.80 points for the 28 days between the two expiries. Over the June price and scaled to a year, that is a financing rate of 3.52%, against a bill yield of 5.26% on the same chain. On 10 Jun the same two contracts had a gap of 104.80 points, an implied rate of 5.88%. The contracts were the same and so were the 28 days. Only the price of the gap moved. This lesson treats a futures calendar as a position on a forward interest rate, and shows why it does not lock a profit. Every figure is an NSE end of day settlement, dated, so nothing is live.

3By the end you can

  1. Work out the fair gap between two futures and the forward rate a gap implies.
  2. Say why a futures only calendar is a position on carry at the near expiry and not a lock.
  3. Read roll dynamics from open interest and the roll spread, and cost the legs.
The RupeeCase terminal on sample data: Your return three ways: why do the hero, key figure and XIRR differ?
Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data.

The idea, plainly

A calendar spread on index futures is a long in one expiry and a short in another. Module I02 priced a roll. This lesson asks what the gap should be, and what a trader who trades it on purpose is actually betting on.

What should the gap be worth?

The July future is the June future carried forward for 28 days at the financing rate, less the dividends that go ex in between. That is the cost of carry of module F08, applied to the stretch between two expiries instead of to the index. With the bill yield of 5.26% the carry alone came to 96.68 points on 29 Jun, and the market charged 64.80. The 31.88 points left over are what dividends, funding demand and the order flow of the roll have to explain.

The maths: the fair gap and the implied forward rate

Let F1 be the near future, F2 the far one, r the financing rate and the days between expiries d. D is the dividend points that go ex between the two expiries.

Fair gap
= F1 × r × d / 365 − D
Implied forward rate
= (gap / F1) × 365 / d
(add D / F1 to compare)

The implied forward rate is what the gap says the market charges to finance the index from the near expiry to the far one. Set it beside the bill yield. A gap below carry says the far month is cheap against the near, or that more dividends than usual are due. A gap above carry says the reverse. Neither says which contract will move.

Is a futures calendar an arbitrage?

Not on its own. Suppose you sell the near future and buy the far one, which pays the gap. When June expires it settles in cash on the index close, and you are left long July. July should then trade at a premium to the index of about 28 days of carry, less dividends still due. So your result is that premium, less the gap you paid to open. It is a call on what the carry and the dividends will be at the near expiry, not on a price you know today.

A futures only calendar is a call on carry at the near expiry, not a lock

A futures calendar bought at one gap settles when the near leg expires in cash on the index close, and the result is the far future's premium to the index on that day less the gap paid, which depends on rates and dividends thenDiagram with 4 boxes. Sell near future, buy far future to Near expiry: settles in cash on the index close; Near expiry: settles in cash on the index close to Far future reprices to index plus carry; Far future reprices to index plus carry to Result: far premium at expiry less gap paid.Sell near future, buy farfuturepay the gapNear expiry: settles in cashon the index closeFar future reprices to indexplus carryless dividends still dueResult: far premium at expiryless gap paiddepends on rates and dividendsthen
Illustration of the logic, with no prices. Holding the shares through the far expiry as well turns it into a cash and carry trade, which is where the lock sits. Source: RupeeCase illustration of the calendar spread logic. As of 17 Oct 2026.
Read one more paragraph, 43 words

To lock the carry you need the cash leg: shares or an ETF held across the stretch, which is the cash and futures trade of module I29. A futures calendar has no such leg. It holds a view on a forward rate.

How does the roll move the gap?

The gap is also a price for a service. Longs who stay long must sell the near month and buy the next, and the shorts do the reverse. In the last eleven sessions before the June expiry the share of futures open interest in later months climbed from a small stake to most of the book, so the roll was a large trade done in a few sessions. The chart shows the climb.

Most of the open interest rolled in the last four sessions before expiry

Share of Nifty futures open interest outside the expiring contract at each close from 15 Jun to 30 Jun 2026: it rises from a small share to most of the book, fastest in the last four sessionsNifty rollover: from 12.5 at 15 Jun 2026 to 80.3 at 30 Jun 2026, high 80.3 at 30 Jun 2026, low 12.5 at 15 Jun 2026.2040608015 Jun18 Jun21 Jun24 Jun27 Jun80.3
Open interest in the later months as a percent of all Nifty futures open interest, in units. It is a small share until about four sessions before expiry and then climbs quickly. Source: NSE end of day data, computed by RupeeCase. As of 30 Jun 2026.

The roll spread sagged into the last session before each of five expiries

Roll spread in points for the last eleven sessions before each of five monthly Nifty expiries from April to August 2026: it falls into the last session before expiry in every windowNifty rollover: from 130 at 13 Apr 2026 to 137 at 25 Aug 2026, high 143 at 30 Jun 2026, low 43.4 at 25 May 2026.5075100125150May 2026JunJulAug137
Next month settlement less near month settlement, in points, for the last eleven sessions up to and including each monthly expiry day, April to August 2026. On expiry day the near leg is the final settlement price, the index close. The lines between clusters are not data. Source: NSE end of day data, computed by RupeeCase. As of 25 Aug 2026.
Read one more paragraph, 76 words

That is the same period in which the gap sagged. Across the last eleven sessions before each of the five monthly expiries from April to August 2026, the roll spread was lower on the last session before expiry than at the start of the window, every time. Then it jumped on expiry day in four of the five, because the near leg is then the index close, as module I02 showed. The chart shows all five.

How would you check a gap against carry?

The method is short, and each step has a place where it can go wrong.

  1. Take the two settlement prices and subtract. That is the gap in points.
  2. Count the days between the two expiries, not from today. It is 28 for the June and July pair.
  3. Take the bill yield for that stretch. The chain carries the one NSE and FBIL data give for the date, and it differs a little between the two contracts.
  4. Work out the carry only gap and compare. The gap below carry is room for dividends and anything else.
  5. Take out the dividends. Many Indian companies pay between June and August, so the stretch from 30 Jun to 28 Jul is a poor one for a reading that ignores them.
  6. Take out the charges, and the margin you tie up on both legs.

What is left is a number with an error bar wider than itself. The point of the method is to say what a gap implies, and not to say whether it will close.

What does it cost to trade in India?

  • STT. 0.05% of the price on a futures sale from 1 Apr 2026, which on the June future sold on 29 Jun was 11.99 points.
  • Other statutory charges. NSE charges on both legs, the SEBI fee, GST on the exchange charge and stamp duty on the bought leg. With STT, the total to open one calendar on 29 Jun, short June and long July, was 13.55 points, or Rs 881 on a lot of 65 units. Closing it repeats most of that.
  • Margin. NSE Clearing margins the two legs together and gives a lower figure than for two separate positions. SEBI's circular of 1 Oct 2024 removed that benefit for index contracts expiring on the day, from 1 Feb 2025, and a circular of 5 Feb 2026 did the same for single stock contracts. The day the near leg expires, the legs are margined separately.
  • Brokerage and quotes. Two legs, two bids and asks, and the far month is the thinner. A settlement price is not a quote.
The RupeeCase terminal on sample data: Charges by kind: what are brokerage, STT, GST and the platform fee?
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Worked example: one pair, three dates

The pair is the June and July Nifty futures, which expire on Tuesday 30 Jun and Tuesday 28 Jul 2026. The days between them are 28 on every date. Prices are settlement prices. The carry only gap is the June future times the bill yield of the day times 28 days over the days in a year, with no dividends taken out.

Settlement10 Jun16 Jun29 Jun
June future23,240.1024,001.0023,972.90
July future23,344.9024,087.9024,037.70
Gap, points104.8086.9064.80
Implied rate, percent a year5.884.723.52
Bill yield, percent a year5.155.155.26
Carry only gap, points91.8194.8896.68
Carry less gap, points−12.997.9831.88

The implied rate started above the bill yield and ended well below it

Rate implied by the June to July Nifty futures gap against the bill yield on 10, 16 and 29 Jun 2026: above the bill on the first date, below it on the other two10 Jun implied rate 5.88; 10 Jun bill yield 5.15; 16 Jun implied rate 4.72; 16 Jun bill yield 5.15; 29 Jun implied rate 3.52; 29 Jun bill yield 5.26.Percent a year, June to July futures gap10 Jun impliedrate5.8810 Jun bill yield5.1516 Jun impliedrate4.7216 Jun bill yield5.1529 Jun impliedrate3.5229 Jun bill yield5.26
The gap over the June future, scaled to a year on the 28 days between expiries, against the bill yield of the day. Settlement prices. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.
Read 2 more paragraphs, 245 words

On 10 Jun the gap sat 13.0 points above carry. By 29 Jun it sat 31.88 points below. The stretch between the two expiries was the same on all three days, so carry and the dividends due in it should have moved little. What moved was the price of rolling, in the days when most of the open interest was moving. The file shows prices and open interest and cannot say who stood on which side, so it cannot say why. A roll crowded to one side is an explanation that fits, and it is not a measured one.

Now the part the table leaves out. Suppose you bought the gap on 29 Jun at 64.80 points: long July, short June, which is the trade a long makes when it rolls. At the 30 Jun close the June leg settled on the index at 23,865.75, and the July future stood 143.35 points over it, 7.83% a year. The result was 78.55 points, Rs 5,106 on a lot, against charges to open of Rs 881. That reads like a lock. It is a path. The premium on expiry day made the difference. In April and May the roll spread on expiry day ended below where its window began, as the five expiry chart showed. The trade made money in June because the July future settled at a large premium to the index, and an end of day file cannot say whether it would again.

The common mistake

The belief: The two months must converge, so a futures calendar spread is an arbitrage. They do converge on the index at their own expiry, and that is where the sentence stops being a lock. The gap between two futures is not a quantity that settles to zero. On 10 Jun it was 104.80 points, on 29 Jun 64.80, and on 30 Jun, measured against the index close, 143.35. The charges to open were Rs 881 a lot, and a gap that moves by tens of points, thousands of rupees a lot, makes the charges the small number. What a futures calendar carries is a position on rates, dividends and roll flows. SEBI's Aug 2026 study of individual equity derivatives traders found that 87.7% lost money in FY26. A lock needs a leg that holds the shares.

Key takeaways

  • The fair gap is carry for the days between expiries, less dividends.
  • A gap implies a forward financing rate: set it beside the bill yield.
  • A futures calendar has no cash leg, so it locks nothing.
  • On 29 Jun 2026 the gap sat below carry, on 10 Jun above it.
  • The roll spread sagged into the last session before five expiries.
  • Charges to open are the smaller number against a gap that moves.

The term this section turns on: Roll spread

The term this section turns on: Roll spreadThe term this section turns on: Roll spread. Roll spread: Next month settlement less near month settlement. On the near expiry day the near leg is the index close, so the spread jumps to the far future premium to the index.Roll spreadNext month settlement less near monthsettlement. On the near expiry day the nearleg is the index close, so the spread...
From the module glossary; every term is in the Learn glossary too. Source: Module 18.4, Futures calendar arbitrage and roll dynamics.

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