arbitrage

lemondew

Well-Known Member
#11
Thanks traded and anurag.
My plan is to buy 1 lot of stock on first day of series and hedge it by shorting futures. In process I earn a risk free premium. Lets say stock is trading at 0.6 % premium. I ll get if not 0.6 then atleast 0.5%. But before expiry I need to rollover. I cant leave the stock without the short futures. Based on anurags answer the future may close higher or lower than last 10 mins prices. Also I wont be able to liquidate stocks. I may leave the current future to settle and additionaly short next expiry future but i am not sure if its worth taking trouble




you are very correct.. but probably you did not pay heed to the query..
he wants to do intraday arbitrage from cash to futures on expiry day..
agreed, futures 'contract shall be settled as per the closing price of cash determined by exchange on that day'...
pls tell me how he would settle his cash position??
 

cinderblock

Well-Known Member
#12
Thanks traded and anurag.
My plan is to buy 1 lot of stock on first day of series and hedge it by shorting futures. In process I earn a risk free premium. Lets say stock is trading at 0.6 % premium. I ll get if not 0.6 then atleast 0.5%. But before expiry I need to rollover. I cant leave the stock without the short futures. Based on anurags answer the future may close higher or lower than last 10 mins prices. Also I wont be able to liquidate stocks. I may leave the current future to settle and additionaly short next expiry future but i am not sure if its worth taking trouble
0.5% a month? Thats's a little over 6% per annum on a compounded basis. What's wrong with a Yes bank savings account? :)
 
#13
0.5% a month? Thats's a little over 6% per annum on a compounded basis. What's wrong with a Yes bank savings account? :)


hahahah...master stroke..even in my initial trading days i also thought new ideas daily nd i thought i hv very high IQ who can think this type of new ways of trading..then i put ideas on various forums nd i used to get same reply like above...lolz

each person has to go through same phases in life like others.bt some are lucky who got right mentor at right time nd this what we call luck..thats d life
 

anuragmunjal

Well-Known Member
#14
Thanks traded and anurag.
My plan is to buy 1 lot of stock on first day of series and hedge it by shorting futures. In process I earn a risk free premium. Lets say stock is trading at 0.6 % premium. I ll get if not 0.6 then atleast 0.5%. But before expiry I need to rollover. I cant leave the stock without the short futures. Based on anurags answer the future may close higher or lower than last 10 mins prices. Also I wont be able to liquidate stocks. I may leave the current future to settle and additionaly short next expiry future but i am not sure if its worth taking trouble
No, it is not worth taking the trouble.. there are expensive sfwares which are doing this, faster than you & me. they also have much bigger capital to back them up..

regards
 

lemondew

Well-Known Member
#15


No, it is not worth taking the trouble.. there are expensive sfwares which are doing this, faster than you & me. they also have much bigger capital to back them up..
regards
Thanks again
1) Ok No what i meant is if stock is going up last half hour it will close lower than last transaction price. if I allow it to settle by blocking an extra margin by shorting next months future without buying back this month then I ll get a little extra. Again there are no additional taxes for settlement I guess. The trouble for blocking extra margin for 1 evening is what I meant.

2) On the contrary if stock is going down last half hour it will close higher than last transaction price So in this case its better to buy back and short next months future.

3) I have no interest in beating those softwares I would simple buy stock at ask price and sell futures at bid price and take whatever is offered :)

Stupid it may sound to some so it may be :)
 

anuragmunjal

Well-Known Member
#16
Thanks again
1) Ok No what i meant is if stock is going up last half hour it will close lower than last transaction price. if I allow it to settle by blocking an extra margin by shorting next months future without buying back this month then I ll get a little extra. Again there are no additional taxes for settlement I guess. The trouble for blocking extra margin for 1 evening is what I meant.

2) On the contrary if stock is going down last half hour it will close higher than last transaction price So in this case its better to buy back and short next months future.

3) I have no interest in beating those softwares I would simple buy stock at ask price and sell futures at bid price and take whatever is offered :)

Stupid it may sound to some so it may be :)


sorry, unable to understand the question..
the last traded price is immaterial.. futures would settle at the last half an hour average of the price of stock.
now if you are long stock and short futures, the way to settle it (as close to the price at which future settles) is:

devide the qty of long stock by 30 and sell 1 qty every minute starting from 3 pm till 3.30 pm.

regards
 

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