Arbitrage Trading

[Safdar]

Hello Everyone
Due to difference in cash and future prices, sometimes arbitrage opportunities come up.
Bombay Rayon cash price is 251 , future price is 217.
12% difference in price.
One holding delivery can sell delivery and buy future.
At expiery price will converge and 12% in one month can be earned.
Such opportunity is only for people holding delivery.
More desirable is when the future price is in premium, so that any one with cash can take advantage and earn more than bank FD
Here one can buy in cash and sell in future.
Like yesterday Ruchi soya future was selling for 105-6 and cash for 100. Buying at 100 and selling at 105 would give you aprox 4% after expences in a month, irrespective the price movement from thereon
The problem is how to spot them in real time basis.
Anyone with any suggestion how to lookout for such opportunities
Safdar

[Prashanth]

Hello,

If you have a Intraday Data Vendor who provides both Cash & Futures (eSignal for instance), you can write a AFL to search out stocks where the difference between Cash & Futures is > than X percentage. You will need to hardcode the Ticker Symbols & hence can take some time the first time around, but all you will then need to do is run it and see if it provides any output.

Prashanth