Arbitrage using futures and options.

F&O
1

I have read in zerodha varsity app that the difference between the spot price and the futures price can be used an arbitrage opportunity (put call parity). Suppose how the nifty currently is at 19500, nifty fut sep is at 19600. To make use of this opportunity, shall I
Buy 1 19500 SEP CE,
Sell 1 SEP 19500 PE,
Sell 1 NIFTY SEP FUT?
The spot and futures price will converge as the time to expiry nears. But should I square off just before the expiry or should I keep it till expiry and allow the exchanges to square off?

2

You don’t arbitrage spot value and futures value, you arbitrage theoretical futures value and futures CMP. For future-spot arbitrage I don’t think you’ll need options. PCP basically means Options can be treated as futures in terms of profit and losses (excluding transaction costs).

3

I was talking about this: Synthetic Long & Arbitrage – Varsity by Zerodha

Varsity says futures ad well as options are required for this trade. Or have I taken the wrong message from this lesson?

4

Yes you’ll need futures. If future is at premium, buy the spot and sell the future, or sell the spot and buy the future in case of a discount.

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5

I am trying to get live futures prices in excel for all the stocks that trade in the F&O segment (approximately 186 or 189) ). I tried getting it from the NSE website, but it only provides data for 20 stocks. Is there any another source where I can access this information?