Cash & Futures Arbitrage
Spread between NSE closing price and the stock-futures contract. Sort by Δ % to find the biggest premiums (top) and discounts (bottom), then match against the strategies below.
How to read this table
- Close — Previous trading day’s closing price of the stock in the cash (equity) segment.
- Futures — Last traded price of the current-month stock-futures contract on NSE.
- Δ / Δ % — Difference between Futures and Close in absolute (₹) and percentage terms.
- Premium (Δ > 0): Futures trade above close — reflects cost-of-carry and/or bullish positioning. A wide premium can signal over-extended longs.
- Discount (Δ < 0): Futures trade below close — often due to upcoming dividends, heavy short interest, or arbitrage demand. Persistent discounts flag bearish sentiment.
- OI (Open Interest) — Total number of outstanding (unsettled) futures contracts for this stock. OI is not volume — it measures how many contracts are still open.
- Rising OI + rising price → Fresh long build-up (bullish conviction).
- Rising OI + falling price → Fresh short build-up (bearish conviction).
- Falling OI + rising price → Short covering (bears exiting, weaker rally).
- Falling OI + falling price → Long unwinding (bulls exiting, weaker selloff).
- Expiry — Expiry date of the current-month contract. As expiry nears, futures must converge to the cash price, making wide spreads tradable.
This view refreshes daily using NSE’s derivatives feed. During market hours all F&O stocks are covered; outside hours the 20 most-active are shown.
Trading strategies — when to act
Stock futures expire on the last Thursday of every month. As expiry approaches, the futures price must converge to the spot price — that’s what makes wide spreads tradable. The strategies below pair a cash-market position with an offsetting futures position to lock in (or directionally bet on) that convergence.
Cash-and-Carry Arbitrage
When the futures contract trades at a meaningful premium to the closing price, you can lock in the spread as risk-free yield. Buy the stock today, simultaneously short an equal lot in futures. At expiry both legs settle to the same price — you pocket the premium minus brokerage and STT.
- When to enter: Δ % ≥ +1.0% with ≥ 10 days to expiry (annualised return > risk-free rate). High OI adds confidence the spread is liquid and tradable.
- When to exit: Hold to expiry (auto-converges), or close both legs early if spread compresses to < 0.2%.
- Risk: Very low — market-neutral. Main risks are margin calls on the short futures leg and corporate actions.
Reverse Cash-and-Carry
When futures trade at a discount to the closing price (rare, often due to expected dividends or heavy short interest), existing shareholders can sell their cash holding and buy futures. At expiry, repurchase via the futures leg at the lower price — you keep the discount as profit while maintaining the same exposure.
- When to enter: Δ % ≤ -0.8% after adjusting for any known upcoming dividend. Rising OI alongside the discount confirms genuine short positioning, not just dividend pricing.
- When to exit: At expiry, or earlier if spread reverts toward zero.
- Risk: Requires existing cash holding (no short-sell in India). Watch for dividend dates — the discount often just prices in the upcoming ex-dividend drop.
Directional — Bullish Bet
A persistent and rising premium with growing open interest indicates traders are paying up to be long — fresh money entering bullish bets. Use as a confirmation signal alongside technical setups, not a standalone entry. Buying futures gives leverage; buying cash is safer.
- When to enter: Δ % stays positive across multiple sessions, OI rising, and price closes above key MAs. Rising OI with rising price = fresh long build-up.
- When to exit: Premium compresses, OI starts declining (long unwinding), or technical setup invalidates.
- Risk: Directional — you can lose principal. Use stops.
Directional — Bearish Bet
A widening discount combined with rising open interest often reveals heavy short positioning — smart money expecting downside. Rising OI with falling price = fresh short build-up. Existing holders should consider trimming; aggressive traders can short futures with a clear stop above recent highs.
- When to enter: Δ % < 0 for ≥ 3 sessions, OI building (fresh shorts), no upcoming dividend explaining the discount.
- When to exit: Cover when discount narrows to flat, OI starts dropping (short covering), or price tags a key support.
- Risk: Shorts have unlimited theoretical loss. Always use a hard stop.
Close vs Stock Futures Spread
NSE F&O most-active20 symbols sorted by absolute current-month spread.
| Symbol | Charts | Close | Futures | Δ | Δ % | OI | Expiry |
|---|---|---|---|---|---|---|---|
| TATAELXSI | 3,531.60 | 3,488.90 | -42.70 | -1.21% | 25,923 | 28-Jul-2026 | |
| HCLTECH | 1,174.00 | 1,163.30 | -10.70 | -0.91% | 91,472 | 28-Jul-2026 | |
| DIXON | 13,572.00 | 13,510.00 | -62.00 | -0.46% | 49,075 | 28-Jul-2026 | |
| PERSISTENT | 5,103.80 | 5,125.00 | +21.20 | +0.42% | 36,992 | 28-Jul-2026 | |
| AXISBANK | 1,339.60 | 1,345.00 | +5.40 | +0.40% | 100,887 | 28-Jul-2026 | |
| SBIN | 1,032.00 | 1,036.00 | +4.00 | +0.39% | 89,733 | 28-Jul-2026 | |
| RELIANCE | 1,303.80 | 1,308.80 | +5.00 | +0.38% | 212,816 | 28-Jul-2026 | |
| HYUNDAI | 2,033.00 | 2,038.80 | +5.80 | +0.29% | 17,019 | 28-Jul-2026 | |
| KALYANKJIL | 529.50 | 528.00 | -1.50 | -0.28% | 29,286 | 28-Jul-2026 | |
| CHOLAFIN | 1,818.00 | 1,822.80 | +4.80 | +0.26% | 23,120 | 28-Jul-2026 | |
| TCS | 2,169.30 | 2,164.00 | -5.30 | -0.24% | 190,927 | 28-Jul-2026 | |
| BAJAJ-AUTO | 10,360.00 | 10,383.50 | +23.50 | +0.23% | 37,487 | 28-Jul-2026 | |
| UNIONBANK | 172.59 | 172.94 | +0.35 | +0.20% | 33,949 | 28-Jul-2026 | |
| INFY | 1,081.00 | 1,083.00 | +2.00 | +0.19% | 287,490 | 28-Jul-2026 | |
| ICICIBANK | 1,422.70 | 1,424.00 | +1.30 | +0.09% | 150,378 | 28-Jul-2026 | |
| HDFCBANK | 815.70 | 816.30 | +0.60 | +0.07% | 436,635 | 28-Jul-2026 | |
| MCX | 2,924.10 | 2,922.10 | -2.00 | -0.07% | 34,029 | 28-Jul-2026 | |
| DIVISLAB | 7,306.50 | 7,310.00 | +3.50 | +0.05% | 41,792 | 28-Jul-2026 | |
| BAJFINANCE | 1,034.80 | 1,035.10 | +0.30 | +0.03% | 91,255 | 28-Jul-2026 | |
| SHRIRAMFIN | 1,044.80 | 1,044.60 | -0.20 | -0.02% | 37,043 | 28-Jul-2026 |