---
title: "Futures calendar arbitrage and roll dynamics in Nifty"
description: "What a Nifty futures calendar gap should be worth against carry, why a futures only calendar does not lock a profit, and how the roll moves it, on NSE data."
source_url: "https://www.rupeecase.com/learn/path-18/module-18-4-futures-calendar-arbitrage"
---

[Path 18 4 of 14](/learn/path-18/)Futures calendar arbitrage and roll dynamics[Next 18.5](/learn/path-18/module-18-5-box-spreads)

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.

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](/learn/path-13/module-13-6-futures-calendar-spreads) 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](/learn/path-13/module-13-2-futures-basis-and-carry), 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

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](/learn/path-18/module-18-1-cash-futures-arbitrage). 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

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

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](/learn/path-13/module-13-6-futures-calendar-spreads) 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.

Watch in the terminal: what are brokerage, STT, GST and the platform fee? A short tutorial on sample data.

## 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.

| Settlement | 10 Jun | 16 Jun | 29 Jun |
| --- | --- | --- | --- |
| June future | 23,240.10 | 24,001.00 | 23,972.90 |
| July future | 23,344.90 | 24,087.90 | 24,037.70 |
| Gap, points | 104.80 | 86.90 | 64.80 |
| Implied rate, percent a year | 5.88 | 4.72 | 3.52 |
| Bill yield, percent a year | 5.15 | 5.15 | 5.26 |
| Carry only gap, points | 91.81 | 94.88 | 96.68 |
| Carry less gap, points | −12.99 | 7.98 | 31.88 |

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

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

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](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 Futures calendar arbitrage and roll dynamics cover?The gap between two Nifty futures is a price for carry and for the roll. Read it as an implied forward rate and see why it is not a lock. It works through The idea, plainly, Worked example: one pair, three dates, The common mistake, Key takeaways. It is module 18.4 of Path 18, Arbitrage and Relative Value, about 10 minutes of reading, free.

TTry it

## F&O costs and STT, on the same example.
Every statutory charge on a trade at the 2026 rates. Dated NSE end of day data, nothing live, no orders.

**F&O costs and STT**.

[Open the f&o costs and stt](/learn/tools/fo-cost-calculator?preset=future-round-trip)

  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 18.4

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 4 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)
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#quiz)
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 16.10Forward volatility from two expiries10 min read](/learn/path-16/module-16-10-forward-volatility)
* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 13.4Rollover: when, why and what it costs8 min read](/learn/path-13/module-13-4-futures-rollover)
* [Free module 13.5Fair value of Nifty futures with dividends9 min read](/learn/path-13/module-13-5-nifty-futures-fair-value)
* [Free module 13.6Futures calendar spreads and roll yield9 min read](/learn/path-13/module-13-6-futures-calendar-spreads)
* [Free module 18.1Cash futures arbitrage and the Nifty 50 Arbitrage index9 min read](/learn/path-18/module-18-1-cash-futures-arbitrage)

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SSources

## Go to the source.
10 sources, NSE the most cited

The publisher of each source listed below. Source: Module 18.4 source list.
1. [NSE, equity derivatives contract specifications (futures cycle, expiry, lot size, cash settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [NSE Clearing, margins: SPAN and the calendar spread benefit](https://www.nseclearing.in/risk-management/equity-derivatives/margins) NSE
3. [NSE Clearing, settlement mechanism for futures: daily mark to market and final settlement](https://www.nseclearing.in/clearing-settlement/equity-derivatives/settlement-mechanism) NSE
4. [NSE circular NSE/FATAX/73524, STT rates from 1 Apr 2026](https://nsearchives.nseindia.com/content/circulars/FATAX73524.pdf) NSE
5. [NSE circular NSE/FA/73061, transaction charges from 1 Mar 2026](https://nsearchives.nseindia.com/content/circulars/FA73061.pdf) NSE
6. [SEBI circular of 1 October 2024, Measures to strengthen the equity index derivatives framework (calendar spread benefit on expiry day)](https://www.sebi.gov.in/legal/circulars/oct-2024/measures-to-strengthen-equity-index-derivatives-framework-for-increased-investor-protection-and-market-stability_87208.html) SEBI
7. [SEBI circular of 5 February 2026, Review of calendar spread margin benefit in single stock derivatives on expiry day](https://www.sebi.gov.in/legal/circulars/feb-2026/review-of-calendar-spread-margin-benefit-in-single-stock-derivatives-on-expiry-day_99533.html) SEBI
8. [SEBI, Profitability of individual traders in the equity derivatives segment, FY25 to FY26 (Aug 2026)](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) SEBI
9. [NISM, Series VIII Equity Derivatives certification examination](https://www.nism.ac.in/revamp-nism/equity-derivatives/) NISM
10. Hull, J., Options, Futures, and Other Derivatives, Pearson (forward prices, cost of carry and rolling hedges) Book

GTerms

## 4 terms from this module.
Calendar gapThe far future less the near future, in index points. It prices carry for the days between the two expiries, less dividends in that stretch.
Implied forward rateThe financing rate a calendar gap implies for the stretch between two expiries: the gap over the near future, scaled to a year.
Roll spreadNext 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.
Rollover shareOpen interest in the later months as a percent of all open interest in Nifty futures. It builds in the last sessions before expiry.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat does futures rollover cost, and what is a futures calendar spread?A short answer with a dated chart](/learn/questions/futures-rollover-cost)[Related module13.4 Rollover: when, why and what it costs8 min, Beginner](/learn/path-13/module-13-4-futures-rollover)[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.