FUTIDX vs SP-FUTIDX

Dear All,

I have googled the expansion of following terms FUTIDX & SP-FUTIDX but unable to understand the practical application of these indexes.

FUTIDX - Futures on Index

SP-FUTIDX - Calendar Spread Order Futures on Index

Now NIFTY is running @ 8521 and found the following values are:

FUTIDX for February 2015 is 8561

SP-FUTIDX - it shows as NIFTY 15FEB15MARFUT - 62.50

Margin requirement for FUTIDX for february is 17315 and how about SP-FUTIDX. Is that same lot size for SP-FUTIDX and any difference in the trading. What is the main difference of both.

Please clarify.

FUTIDX trades directly on the futures of the month you choose as expiry. Example NIFTY15FEBFUT means you can directly trade on the February 2015 Nifty Future.

SP-FUTIDX trades on the difference between futures of two different months. That is why it is called Calendar Spread. For Example NIFTY15FEB15APRFUT means you have sold February 2015 Nifty Future and purchased April 2015 Nifty Future. As of today NIFTY15FEBFUT is at 8557 and NIFTY15APRFUT is at 8683. So if you sell 8557 and buy 8683, in net you are purchasing cost is 126. So ideally NIFTY15FEB15APRFUT spread contract should be priced 126 rupees, but due to volatility and lack of liquidity the contract as of today trades 131.50 which is close to theoretical value. Why do we do this? If you think the difference between the two contracts would increase, say from 131.50 to 140, then you get a profit of 8.5 rupees but only with investing 131.50 rupees per share, not the whole 8557 or 8663 for which margin is very high.


This FUTIDX and SP-FUTIDX are terminologies used in NSE NOW based platforms, NESTWeb etc. but your broker might have a different method to enter such spread contracts directly, by means of multi-leg orders. In zerodha refer this

http://zerodha.com/z-connect/tradezerodha/zerodha-trader-software-version/zt-spread-orders

For margin requirement when you take a spread contract, use this span calculator

https://zerodha.com/margin-calculator/SPAN/

Trading directly on SP-FUTIDX is not suggested because of low volumes and very less liquidity. Instead you can directly invoke a spread order window of your broker and trade directly on two different month futures in a combined fashion.

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