The near month basis, annualised, swings most in the last days before an expiry
The trade is simple on paper. When the near month future trades above spot by more than it costs to carry the index to expiry, you buy the basket in cash and sell the future. Both legs converge at expiry, and the gap is the earning. The chart shows the near month basis, annualised, from 1 Jul 2025 to 15 Sep 2026.
Annualised basis is the gap divided by the index close, scaled to a year. It swings most in the last days before expiry, because few days are left to divide by. Read it with the days left, not on its own. A large annualised figure in the final days can reflect a small gap spread over very few days.
What is earned is the basis less the costs. Costs include brokerage on both legs, the STT on the futures sale at 0.05% from 1 Apr 2026, the STT on the cash leg, exchange and SEBI fees, GST at 18% on brokerage and exchange charges, stamp duty, and the impact of buying a whole basket. The cash leg also ties up money, and its funding cost comes off too.
Index arbitrage is not a single retail trade in practice. A basket of many stocks needs systems, funding and size that most individuals do not have. NSE publishes the Nifty 50 Arbitrage Index, a rule based version of this trade, as a benchmark. It is an index, not an offer.
A positive basis is a fact about prices on one day. It is not a return until the costs and the funding are counted on the day the trade is placed.
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