Analyzing the Discounted Trading of Nifty 20000CE and 19950CE on 14th September Expiry

Today, I noticed an intriguing phenomenon in the options market. Throughout the trading day until 3 PM, the Nifty 20000CE (Call Option) and 19950CE were consistently trading at a discount. This piqued my curiosity, and I would appreciate it if someone could shed light on the underlying reasons for this unusual trend.

In response to this observation, I decided to take advantage of what appeared to be an arbitrage opportunity. I purchased the discounted call option and simultaneously sold the September futures contract, capitalizing on a 30-point arbitrage spread in the market. However, to my surprise, after 3 PM, the futures contract experienced an unexpected surge, surpassing the gains in the Nifty index itself, which ultimately led to my arbitrage position turning into a 10-point loss.

If there are any experienced individuals who can provide insights or logical explanations for this price behavior, I would greatly appreciate your input and analysis. Understanding the dynamics behind such market movements can be valuable for all traders and investors.

Please see if this has some explanations, which you are looking for -