The near month future traded above the index on almost nine sessions in ten from 1 January to 15 September 2026
Start with the basis: the near month future less the index close. The chart uses the Nifty future as a stand-in for the gap on one index, as an annualised percentage from 1 Jan 2026 to 15 Sep 2026. An arbitrage trade tries to capture that gap.
A future usually trades above the index while it has time left, because it carries the cost of money until expiry, less the dividends the shares pay. If you buy the shares in cash, sell the future and hold both to expiry, the two prices meet, and the gap that remains is the return, before costs.
The NSE Nifty 50 Arbitrage index shows the trade in its textbook form. It is built as 65% long the index and short the near month future, 30% in one month MIBOR and 5% in cash, with a base date of 1 Apr 2010.
The return is not fixed. The basis was above zero on almost nine sessions in ten from 1 Jan to 15 Sep 2026, and it went negative on some of them. Near expiry the annualised figure swings, because the number of days left is small. Costs come off the gap: STT on a futures sale is 0.05% from 1 Apr 2026, and brokerage, fees and the spread come on each leg.
A mutual fund adds its own expenses, its tax treatment and its rules, and this page does not cover them. It does not say whether any fund suits a person. The chart is data, not a forecast of the coming months.
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