Nifty October Future which would expire tomorrow is trading at 20-22 points (0.3%) premium? Transaction costs, difficulty in replicating the underlying (nifty) are the two reasons why its not an arbitrage opportunity. Can anyone think of anything else?
This is the India index, right? Can you actually trade that level or is it just a weird print?
Yes its India Index. You can very much trade this. In less than two hours of trade 115,747 contracts have been traded.
Because the settlement algorithm is computed base on the last 30 min. of trading in the cash index. From bloomberg: Settlement : Cash Settlement. The Final Settlement Price shall be the official closing price of the CNX Nifty Index, which is derived based on the average weighted prices of the individual component stocks of the index during the last 30 minutes of trading. The official closing price will be rounded to two decimal places. As the cash index can be subject to change in the last 30 min. so benchmark at the current cash lvl is not a perfect anchor. In addition, the two points you mentioned above are exactly right on the difficulties in the implementation of arbitrage in the Nifty and hence NOT a perfect arb. The roll premium/discount mostly are based on supply/demand.
Thanks. This helps.