Spread benefit on a Nifty Spread position

Dear All

Firstly great Job with Varsity, i Have learnt a lot from it.

Secondly:-Good systems. it gives the exact information as required for layman to advanced users.

Thirdly:- My query :))

If I have a current month Futures contract going on with long position.Can I sell or short the next months contract and hold simultaneously till i make reasonable profit,

For e.g. Nifty Futures Feb contract-Long position and Nifty Futures Mar Contract Short position.

Thanks in advance


Yes, you can go long in a current month contract and go short in the next month contract. This is a calendar spread.

You will also receive a spread margin benefit for this spread position.

Lets find the spread benefit for a calendar spread in Nifty Futures,

To buy a current month Nifty Feb Future, you require a margin of approx 55k approx

If you add a Nifty Mar Future to this position, then you require another margin of approx 55k.

But since the two positions create a spread, you will receive a spread benefit of about 35k.

To place order for a spread position, you require 55k + 55k - 35k = 70k.

When both the positions are open in the orderbook, a margin of 70k is required. When one leg gets executed, 55k margin will be used up. 15k margin will be blocked for the second leg. Once the second leg is also executed and the spread is complete, you will require only about 15k for this spread. The rest of the margin will be credited back to your trading account.

You can do that but you have to mention what is reasonable profit according to you as profit in one position will be compensated by loss in other thus ending up with no additional net value. Also If not executed properly this arbitrage strategy may end up with small loss instead making little gain.


Thanks I understood. Will take care about the same