Let’s say you buy 500 shares of Reliance in the cash market at Rs. 1557 on May 12th (when the share is trading cum rights). The benefit you receive per 15 shares is Rs. 300 (i.e. 1557-1257 since you’re entitled to buy one share of Reliance at Rs. 1257 even though the price is Rs. 1557.
On May 13th, if nothing else changes, the theoretical price of the shares should be lower by Rs. 20 (i.e. (1557-1257)/15). Accordingly,
a. Cost of your holdings: 500x1557 = 778500
b. Theoretical price on May 13th (without any market changes): 1557-20 = 1537
c. Price of your holdings: 500x1537 =768500
d. Number of rights you receive: 500/15 = 33
e. Value of rights you receive: 300 x (d) = 9900
Erosion in value for you is (a) - {c + e} = Rs. 100 (This is equal to the value of the fractional rights you did not receive (i.e. 300x0.33)). However, if you held Reliance shares in multiples of 15 then theoretically you would maintain status quo.
If you buy one lot of reliance futures at Rs. 1560 on May 12th, and let’s say the closing price is Rs. 1557 then you have lost Rs. 1500 (i.e. 3x500). The opening price on May 13th will be adjusted to Rs. 1537 (i.e.1557-20). This doesn’t you have lost Rs. 20 per share. Your carry forward price is taken at Rs. 1537 instead of Rs. 1557. Also, the lot size will be modified to 507 shares i.e. (500/(1537/1557). So, your gain/loss on May 13th will be computed from the base price of Rs. 1537 with a lot size of 507 shares.
Accordingly, theoretically, in the absence of market movements, the gain/loss doesn’t change for you due to the rights issue.