At the close on Wednesday 10 Jun 2026, the 23,300 call and put of the 30 Jun Nifty series implied a forward 6.70 points above the June future. On one lot of 65 units that is Rs 436. Opening the three legs of a conversion carries about Rs 111 in statutory charges. A reel would call the difference free money. Then look at 16 Jun: the same check at the 24,000 strike gave −0.20 points. A number that behaves like that says something about the file and the rate of carry before it says anything about a trade. This lesson counts the gap, then the costs, then what is left, on dated NSE end of day files. It does not say a trade was available. A settlement price is not a price anyone offered.
3By the end you can
- Work out a parity gap in points, rupees a lot and carry a year from settlement prices.
- Stack the statutory charges of a conversion, and name the costs a price file leaves out.
- Read a gap that changes by strike and date as marks and carry, not a locked profit.
The idea, plainly
What a parity gap is
Module I05 built the relation. At one strike and expiry, a European call less the put equals the discounted future less the strike. Turn it round and every strike gives a forward of its own. The gap is that forward less the future.
Implied forward
= K + erT x (C − P)
Gap = implied forward
less the future
Read one more paragraph, 79 words
A gap says the options and the future disagree on one number. It is counted in index points a unit, and the lot turns it into rupees. Nifty options are European and cash settled. At expiry the future and the options settle against the same index value, for expiries before 7 Dec 2026, as module F16 sets out. So the relation is exact at the end. Before the end it holds only up to the prices of the day.
Where a gap can come from
- The price. The file holds settlement prices. They are marks, not bids or asks. For a traded option the settlement price is usually its close, and for a thinly traded one it can be a theoretical price. NSE Clearing sets a future's daily settlement price from the volume weighted price of its last 30 minutes of trade, and an unexpired illiquid future takes a computed price. Two marks taken from different clocks can differ by a few points when the index moves late in the day. The file does not say which case applies.
- The rate of carry. A future's price carries a financing rate and expected dividends. The option prices carry their own view of both. The gap is the difference between the two views.
- Costs and limits. Charges, margin, the spread on each leg and the chance of filling three legs at one moment. None of these is in a settlement price.
The term this section turns on: Settlement price
The maths: a gap as a rate
Call the forward the options imply G and the future F. Their ratio is one plus a rate over the time left. Annualised, the difference in carry is the natural log of G over F, divided by T in years. For small gaps it is close to the gap divided by F, divided by T.
Carry gap = ln(G / F) / T
about (G − F) / F / T
For the 23,300 strike on 10 Jun 2026 the gap was 6.70 points on a future of 23,240.10, with 20 days or 0.0548 years left. That is 0.53% a year. The bill rate used to discount was 5.11%. So the options and the future differ on carry by a small fraction of the bill rate. A box spread in module A16 measures the same wedge from four options.
Worked example: one strike, a strip, then seven dates
Start with the 23,300 strike of the 30 Jun series on 10 Jun 2026. The call settled at Rs 294.60 and the put at Rs 347.65, so the call less the put was −53.05. With the discount factor from the bill yield, the implied forward is 23,246.80. The future settled at 23,240.10. The gap is 6.70 points.
Is it one strike or the whole chain?
Here is the same gap at the strikes in steps of one hundred points around the future, all with volume on both sides, from the same series and the same close. At 23,000 it was 7.39 points, at 23,500 it was 8.65 and at 23,700 it was 12.35.
The gap sits above zero at every strike, so it is a level shared by the chain
The strikes with a gap to read are the ones with volume on both sides
Show all columnsShow fewer columns
| Calls | Calls | Strike | Puts | Puts | |||
|---|---|---|---|---|---|---|---|
| Settle | Volume | Volume | Settle | ||||
| 437.55 | 145 | 23,050 | 1,148 | 239.25 | |||
| 405.90 | 5,259 | 23,100 | 13,856 | 258.10 | |||
| 374.55 | 1,012 | 23,150 | 1,598 | 278.95 | |||
| 347.70 | 26,937 | 23,200 | 37,893 | 300.60 | |||
| Spot 23,214.95 | Spot 23,214.95 | ||||||
| 321.65 | 10,854 | 23,250ATM | 9,004 | 322.05 | |||
| 294.60 | 43,490 | 23,300 | 43,913 | 347.65 | |||
| 272.55 | 12,012 | 23,350 | 9,057 | 371.80 | |||
| 248.10 | 38,990 | 23,400 | 37,272 | 398.75 | |||
| 226.65 | 6,889 | 23,450 | 2,148 | 426.80 | |||
Shaded cells are in the money. Prices are settlement prices in rupees; volume is in contracts.
Read one more paragraph, 69 words
Every strike shown sits above zero, and the ones near the future sit in a narrow band. A level shared by the whole chain does not look like one odd price. It looks like the future's mark and the options' carry sitting apart. The two widest gaps sit at the far strikes above, where put volume is thin and a settlement price is less likely to be a trade.
Does the gap hold from day to day?
Now the same count on seven dated chains. Each bar is the median gap over the strikes close to the future that traded at least a thousand contracts on both sides.
The gap changes size and sign from one date to the next
Read 2 more paragraphs, 110 words
On 16 Jun the gap at the 24,000 strike was −0.20 points. On 29 Jun the July series gave 15.92 at 24,000. On 7 Apr 2025, a stress session, the picture was not even one level: the gap was −22.69 at 22,000, 0.60 at 22,300 and −17.15 at 22,500, with heavy volume at all three.
A gap that was free money would not change sign between dates, and would not jump about from one strike to the next on a busy day. This one does both. The pattern reads more like a measurement problem than an opportunity, though an end of day file cannot prove either reading.
The cost stack, and what is left
Take the conversion at 23,300: sell the call, buy the put, buy the future, hold to expiry. Statutory charges to open, at the rates in force from 1 Apr 2026: STT of Rs 28.72 on the sold call, NSE charges of Rs 42.48, a SEBI fee of Rs 1.55, stamp duty of Rs 30.89 and GST of Rs 7.65 on the NSE charges. The total is Rs 111, or 1.71 points a unit. Brokerage is not statutory and is left out.
On this strike the gap was larger than the charges, on settlement prices
What the file leaves out
That leaves Rs 324 a lot on paper. It is a fact about the file, and a thin one. Four things sit on top of it and none is in the file:
- STT of 0.15% on the intrinsic value of the put if it is exercised at expiry. For a put that ends 300 points in the money that is another Rs 29 a lot.
- Margin on the sold call and the long future, blocked for the life of the trade and funded at some rate. See module F05.
- The spread on each leg. Crossing three spreads comes before any gap.
- The chance that the three legs fill at different moments.
The maths: the break-even gap
Spread the full cost of the round trip over the units in a lot and you get the gap, in points, that only just pays for it.
Break-even gap
= (charges + exercise STT
+ margin funding + spreads)
/ lot size
From the file we can fill in only the first term. It is 1.71 points on 10 Jun 2026. The other three depend on the day, the quotes and the account. A break-even that is larger than the statutory part by an unknown amount cannot be read off a settlement file, which is why a gap that clears the charges alone is only a first filter.
Read one more paragraph, 72 words
A desk that already quotes both the options and the future holds the legs at a lower cost than an account that pays the spread three times. The file cannot say what anyone paid. The short answer for a retail account is on can I arbitrage put call parity, and the wider one on is arbitrage still possible for retail. How a conversion is built is in module I30.
A three question check
Before a gap earns a second look, three questions, in this order.
- Is it shared across strikes, or does it sit at one? A shared level points to marks and carry. One odd strike points to a stale price.
- Does it persist across dates, or flip? The seven dated chains say it moves.
- Does it clear the whole cost stack on quotes, not on settlement prices? The file cannot answer this one, and neither can this page.
The box rate tool below reads the same wedge from four options and sets the implied rate beside the bill.
The common mistake
The claim: Parity is off by 6.70 points on Nifty, which is Rs 436 a lot, and it is risk free.
Three things are wrong with it. A settlement price is a mark, not a quote, so nobody has shown the three legs could be traded at those prices together. The costs above come off before anything else, and the exercise STT, the margin and the spreads come off after. And the gap moves: it was −0.20 points on 16 Jun and changed sign on other dates, which is not how a locked profit behaves. Read a parity gap as a measure of marks and carry. Test it on quotes and size before calling it anything else.
Key takeaways
- A parity gap is the options forward less the future, in index points.
- A gap shared by every strike points to marks and carry, not one price.
- On 10 Jun 2026 the gap beat the charges to open, on settlement prices.
- The gap changed size and sign across seven dated chains.
- Exercise STT, margin and spreads sit on top of the charges to open.
- A settlement price is a mark, not a quote anyone offered.
Two terms to hold on to from 18.6
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