Cash-and-Carry Arbitrage (Index) Trading Strategy Analysis
Analyze index arbitrage opportunities with Sourcetable AI. Calculate basis spreads, futures premiums, and cost-of-carry returns automatically—no complex formulas needed.
Andrew Grosser
February 24, 2026 • 20 min read
Introduction
September 2023: SPX futures (ESZ3) trade at 4,412.50 while the S&P 500 cash index sits at 4,404.30, an 8.2-point premium. Risk-free rate is 5.3%, 90 days to expiration. You spot it immediately: the S&P 500 index futures contract is trading at 4,150 while the spot index sits at 4,100. That 50-point premium looks attractive, but calculating whether it represents a genuine arbitrage opportunity requires analyzing dividends, interest rates, time to expiration, and transaction costs. Miss one variable and your "risk-free" profit evaporates.
Cash-and-carry arbitrage is a market-neutral strategy that exploits pricing discrepancies between index futures and their underlying spot markets. Traders simultaneously buy the physical index components (or an ETF proxy) and sell the corresponding futures contract, locking in the basis spread. When executed properly with futures trading at a premium above fair value, this generates low-risk returns equivalent to the cost-of-carry plus any mispricing sign up free.
Why Sourcetable Beats Excel for Cash-and-Carry Arbitrage Analysis
Cash-and-carry arbitrage demands precision timing and constant monitoring. The window for profitable trades often measures in hours or minutes as markets adjust. Excel forces you to manually update prices, recalculate fair values, and track multiple positions across different expiration cycles. By the time you finish your calculations, the opportunity may have disappeared.
Sourcetable's AI understands arbitrage mechanics automatically. Instead of building complex models with nested IF statements and array formulas, you simply ask: "Calculate the fair value for SPX futures expiring in 45 days with a 1.8% dividend yield and 5.25% risk-free rate." The AI processes the cost-of-carry model instantly, showing you whether current futures prices offer arbitrage opportunities.
Traditional spreadsheets require separate worksheets for spot prices, futures chains, dividend calendars, interest rate assumptions, and P&L tracking. You manually link cells between sheets, hoping your formulas reference the correct ranges. When futures roll to new contracts or dividend schedules change, you update dozens of cells and verify every calculation still works.
With Sourcetable, your data lives in one intelligent workspace. Upload spot index values, futures prices across all expiration months, and corporate action schedules. The AI recognizes the relationships automatically. Ask "Which futures contracts are overpriced relative to fair value?" and get instant rankings showing the most attractive arbitrage opportunities with expected returns after transaction costs.
Excel's static nature means you're always working with stale data. You download end-of-day prices, paste them into your model, and calculate arbitrage spreads that existed hours ago. Real arbitrage trading requires real-time monitoring—watching how basis spreads evolve throughout the trading day as prices fluctuate.
Sourcetable connects to live data sources and updates calculations automatically. The AI continuously monitors your arbitrage positions, alerting you when basis spreads widen beyond thresholds or when convergence accelerates near expiration. You focus on execution decisions while Sourcetable handles the computational heavy lifting. This speed advantage separates profitable arbitrageurs from those left analyzing yesterday's opportunities.
Benefits of Cash-and-Carry Arbitrage Analysis with Sourcetable
Cash-and-carry arbitrage offers institutional traders and hedge funds a low-risk method to generate consistent returns while maintaining market-neutral exposure. When futures trade above fair value, the strategy locks in the excess premium plus the natural cost-of-carry return. Professional arbitrageurs use these techniques to enhance portfolio yields, deploy capital efficiently, and exploit temporary market inefficiencies.
Instant Fair Value Calculations
The foundation of cash-and-carry arbitrage is knowing whether futures are overpriced. Fair value equals the spot index price plus financing costs minus expected dividends over the futures contract life. In Excel, this requires building a model with: current spot price, risk-free interest rate, dividend yield assumptions, exact days to expiration, and day-count conventions. You need separate formulas for each futures expiration month.
Sourcetable's AI calculates fair value instantly across all expiration cycles. Upload your futures chain and spot index data, then ask: "What's the fair value for March, June, and September futures?" The AI applies the cost-of-carry formula automatically, adjusting for actual dividend payment dates and accrued interest. You see immediately which contracts trade at premiums above fair value—those are your arbitrage candidates.
Real example: SPX spot at 4,200, March futures (42 days out) at 4,218. With a 5.0% risk-free rate and 1.5% dividend yield, fair value is approximately 4,217. The 1-point premium above fair value represents a potential arbitrage opportunity worth $50 per contract after accounting for the natural cost-of-carry. Sourcetable calculates this in seconds versus the 10-15 minutes required to build and verify Excel formulas.
- Fair Value Formula: F = S × (1 + r - d)^T where S=spot, r=risk-free rate, d=dividend yield, T=time to expiry; S&P 500 fair value = 4,404.30 × (1 + 0.053 - 0.014)^(90/365) = 4,446.20.
- Basis: Actual futures price minus fair value; ESZ3 trading at 4,412.50 versus 4,446.20 fair value = -33.70 basis (futures cheap to cash).
- Cost of Carry: Interest cost of financing the stock basket minus dividends received; at 5.3% rate on $440,430 for 90 days = $5,795 interest, minus $1,756 in dividends = $4,039 net carry cost.
- Profit Calculation: Buy $440,430 of S&P 500 basket, sell 1 ESZ3 at 4,412.50; expected P&L = (4,412.50 - 4,404.30) × $250 - $4,039 carry = +$2,050 - $4,039 = -$1,989 (negative basis = cash-and-carry is not profitable).
- Reverse Cash-and-Carry: When futures are cheap to fair value (negative basis), the profitable trade is short the basket + long futures; -33.70 basis × $250 multiplier = $8,425 gross profit per contract.
Automated Basis Spread Monitoring
The basis spread—the difference between futures and spot prices—constantly fluctuates during trading hours. Profitable arbitrage requires identifying when basis spreads exceed fair value by enough to cover transaction costs (typically 0.1-0.3% for index arbitrage including commissions, slippage, and market impact).
Traditional spreadsheets show static snapshots. You manually refresh prices, recalculate basis spreads, and compare against your fair value model. By the time you identify an opportunity and prepare execution orders, the spread may have narrowed. High-frequency arbitrageurs using custom software capture these opportunities before manual Excel users even spot them.
Sourcetable monitors basis spreads continuously when connected to live data feeds. Set threshold alerts: "Notify me when June futures trade more than 3 points above fair value." The AI tracks intraday price movements, calculates real-time basis spreads, and flags arbitrage opportunities meeting your criteria. You receive actionable alerts instead of constantly watching multiple screens and manually updating calculations.
This automated monitoring proves especially valuable during market stress when basis spreads can blow out dramatically. During the March 2020 volatility, SPX futures traded 50-100 points above fair value as liquidity dried up—creating exceptional arbitrage opportunities for those with systems to identify and execute quickly.
- Basis Roll: As expiry approaches, basis converges to zero; monitoring the convergence speed helps detect when market dislocations are correcting or widening.
- Implied Repo Rate: Derived from actual futures price vs cash; if implied repo is 5.8% vs actual repo of 5.3%, futures are rich—cash-and-carry is profitable at 50bps spread.
- Dividend Risk: Unexpected special dividends reduce the cash basket value but aren't priced in futures; monitoring dividend announcements in S&P 500 components is critical to basis tracking.
- Transaction Costs: Trading 500 stocks plus futures commissions typically run 2–4bps round-trip; a profitable arbitrage requires basis wider than this threshold after all costs.
Comprehensive Profit and Loss Scenarios
Cash-and-carry arbitrage profits come from two sources: the initial basis spread mispricing and the natural cost-of-carry return (interest earned minus dividends paid). Understanding your expected return requires modeling how the basis converges to zero as expiration approaches, accounting for financing costs, dividend timing, and potential early unwinding.
Excel P&L models become unwieldy quickly. You need columns for entry prices, current prices, days remaining, accrued interest, dividends received, mark-to-market values, and realized/unrealized gains. Add multiple positions across different futures months and your spreadsheet balloons into dozens of interconnected formulas prone to errors.
Sourcetable simplifies P&L tracking dramatically. Enter your positions once—long spot index at 4,200, short March futures at 4,220—and ask: "What's my expected profit at expiration?" The AI calculates the locked-in 20-point basis spread ($100 per contract), adds the cost-of-carry return over 42 days, subtracts estimated transaction costs, and shows your net return. Ask "What happens if I unwind in 21 days?" and get instant scenario analysis showing partial basis convergence and remaining time value.
Advanced users can stress-test positions: "Show me P&L if the index drops 10% but basis spreads widen to 30 points." The AI generates comprehensive scenarios demonstrating the market-neutral nature of cash-and-carry arbitrage—your profit depends on basis convergence, not directional market moves. This scenario analysis takes minutes in Excel but seconds with Sourcetable's natural language interface.
Multi-Contract Comparison and Optimization
Index futures trade across quarterly expiration cycles (March, June, September, December) plus weekly and monthly contracts. Each expiration has different basis spreads, fair values, and arbitrage potential. Optimal capital deployment requires comparing opportunities across all available contracts to identify the best risk-adjusted returns.
Excel comparisons demand building parallel models for each futures contract. You create separate fair value calculations, basis spread analyses, and return projections for every expiration month. Comparing six different contracts means six sets of formulas—and ensuring they all use consistent assumptions and methodology.
With Sourcetable, ask one question: "Rank all SPX futures contracts by arbitrage profitability." The AI analyzes every available expiration, calculates fair values using consistent methodology, compares current prices against fair value, estimates transaction costs based on contract liquidity, and ranks opportunities by expected return. You see instantly that June futures offer 1.2% annualized arbitrage return while September shows only 0.4%—making June the superior trade.
This comparative analysis extends to different index products. Compare arbitrage opportunities across SPX, NDX (Nasdaq-100), and Russell 2000 futures. Ask: "Which index offers the best arbitrage return this month?" and Sourcetable evaluates all three markets simultaneously, accounting for their different dividend yields, financing costs, and liquidity characteristics. This cross-market analysis would require hours in Excel but completes in seconds with AI assistance.
- Calendar Spread Arbitrage: When near-month and far-month basis differ from the implied carry cost, a calendar spread captures the mispricing without directional market exposure.
- ETF Arbitrage Alternative: SPY or IVV ETF versus futures basis is tighter and more liquid than trading individual stocks; institutional desks often prefer ETF cash-and-carry for speed of execution.
- Cross-Market Opportunities: S&P 500 futures trade on CME while equivalent exposure exists in SPY options via synthetic forward; when CME basis diverges from options-implied forward, cross-venue arbitrage activates.
- Execution Timing: Basis opportunities in index arbitrage typically last minutes; algorithmic execution monitoring 50+ instruments simultaneously is necessary—manual Excel tracking is functionally impossible.
Dividend Schedule Integration
Accurate cash-and-carry analysis requires precise dividend forecasting. Index futures prices reflect expected dividends over the contract life. Underestimate dividends and you'll see false arbitrage opportunities; overestimate and you'll miss genuine trades. SPX constituents pay dividends throughout the quarter with concentrated payment periods in specific months.
Excel dividend tracking is tedious. You maintain separate lists of ex-dividend dates and payment amounts for major index components, aggregate them into estimated index dividend yields, and adjust fair value calculations accordingly. When companies announce dividend changes or special dividends, you manually update your assumptions and recalculate everything downstream.
Sourcetable ingests dividend calendars directly. Upload index dividend schedules or individual constituent payment dates, and the AI incorporates this data into fair value models automatically. Ask "How do next month's dividend payments affect June futures fair value?" and get precise calculations showing the $8.50 per index point dividend impact. When Apple announces a dividend increase, update that single data point and Sourcetable recalculates all affected futures contracts instantly.
This dividend precision matters significantly. A 0.1% error in dividend yield assumptions on a $4,200 index equals $4.20 per contract—potentially eliminating your arbitrage profit after transaction costs. Sourcetable's integrated approach ensures dividend assumptions remain accurate and consistent across all calculations, reducing the risk of costly modeling errors.
How Cash-and-Carry Arbitrage Analysis Works in Sourcetable
Sourcetable transforms complex arbitrage analysis into an intuitive workflow. The platform combines spreadsheet flexibility with AI intelligence, letting you analyze opportunities through natural conversation instead of formula construction. Here's how professional traders use Sourcetable for cash-and-carry arbitrage from opportunity identification through execution and monitoring.
Step 1: Import Futures and Spot Data
Begin by uploading your market data. Connect Sourcetable to your data provider (Bloomberg, Refinitiv, Interactive Brokers) or import CSV files containing spot index prices and futures chains. For SPX arbitrage, you need current index levels and prices for all available futures expiration months. Include columns for contract month, last price, bid-ask spreads, and open interest.
Sourcetable's AI recognizes standard futures data formats automatically. It identifies spot prices, futures contracts, expiration dates, and pricing data without requiring manual column mapping. Upload a file with "SPX Spot: 4,200" and "SPX Mar23: 4,218" and the system understands these represent the underlying index and March 2023 futures contract.
For enhanced accuracy, include dividend schedules and interest rate data. Upload estimated index dividend yields by quarter or detailed constituent dividend calendars. Add current risk-free rates (typically using Treasury bill yields matching your futures expiration horizon). More comprehensive data enables more precise fair value calculations and arbitrage identification.
- Begin by uploading your market data.
- Sourcetable's AI recognizes standard futures data formats automatically.
- For enhanced accuracy, include dividend schedules and interest rate data.
Step 2: Calculate Fair Values Across Expiration Cycles
With data loaded, ask Sourcetable: "Calculate fair value for all futures contracts." The AI applies the cost-of-carry formula: Fair Value = Spot × e^((r-d) × t), where r is the risk-free rate, d is the dividend yield, and t is time to expiration in years. For discrete dividends, it uses: Fair Value = (Spot - PV of Dividends) × e^(r × t).
The AI generates a comparison table showing each futures contract alongside its calculated fair value. March futures: actual 4,218, fair value 4,217, difference +1. June futures: actual 4,235, fair value 4,232, difference +3. September futures: actual 4,248, fair value 4,247, difference +1. This instant comparison reveals which contracts trade at premiums above fair value—your arbitrage candidates.
Refine calculations by asking follow-up questions: "Recalculate using 5.25% risk-free rate instead of 5.0%." The AI updates all fair values immediately, showing how sensitive arbitrage opportunities are to rate assumptions. "Show fair value with 1.8% dividend yield instead of 1.5%." See how dividend assumptions affect which contracts appear overpriced.
Step 3: Identify Profitable Arbitrage Opportunities
Not every futures premium above fair value represents a profitable trade. Transaction costs consume thin spreads. Ask Sourcetable: "Which futures offer arbitrage profit after 0.15% transaction costs?" The AI filters opportunities, showing only contracts where the premium above fair value exceeds your specified cost threshold.
For the June contract trading 3 points above fair value, that's 0.071% premium on a 4,200 index (3/4,200). After 0.15% round-trip transaction costs, this trade shows a small loss. The system flags this as unprofitable. If June traded 8 points above fair value (0.19% premium), it would clear the cost hurdle with 0.04% net profit—approximately $840 per $2.1 million notional position.
Sourcetable can rank opportunities by multiple criteria: "Show me the top 5 arbitrage trades by annualized return." The AI calculates expected returns accounting for days to expiration, converts to annualized percentages, and ranks contracts. This helps optimize capital allocation—deploying funds into the highest-returning opportunities rather than spreading across all available trades.
- Not every futures premium above fair value represents a profitable trade.
- For the June contract trading 3 points above fair value, that's 0.
- Sourcetable can rank opportunities by multiple criteria: "Show me the top 5 arbi.
Step 4: Analyze Risk and Position Sizing
Before executing, assess risks and determine appropriate position sizes. Ask: "What's the maximum loss if basis spreads widen to 15 points?" Sourcetable models adverse scenarios. In cash-and-carry arbitrage, wider basis spreads initially create mark-to-market losses (futures you're short become more expensive), but these reverse as expiration approaches and basis converges to zero.
The AI calculates margin requirements: "How much margin for 10 contracts?" Index futures typically require initial margin of $25,000-$50,000 per contract depending on volatility. For 10 contracts, expect $250,000-$500,000 in margin. Since you're also long the underlying index (via ETF or basket), you need additional capital for that position—roughly $2.1 million notional per 10 SPX contracts at 4,200.
Position sizing considers available capital and risk tolerance: "What position size gives 10% portfolio allocation?" If you have $10 million in capital, a 10% allocation is $1 million. At $2.1 million per 10-contract position, you can execute approximately 4-5 contracts. Sourcetable performs these calculations instantly, helping you scale positions appropriately without over-leveraging.
Step 5: Monitor Basis Convergence and P&L
After entering positions, ongoing monitoring is critical. Basis spreads fluctuate daily as market conditions change. Ask Sourcetable: "Show me daily basis spread for my June position." The AI generates a time series chart displaying how the basis has evolved since trade entry, with a convergence line projecting expected basis decay toward zero at expiration.
Track profit and loss in real-time: "What's my current P&L on all arbitrage positions?" Sourcetable calculates mark-to-market values for both your long spot position and short futures contracts, nets them together, adds accrued interest and dividends received, and shows total realized and unrealized gains. Update prices throughout the day and P&L refreshes automatically.
Set up alerts for key events: "Notify me when basis spread narrows below 1 point." As expiration approaches and basis converges, you may want to unwind positions early to free capital for new opportunities. "Alert me if basis spread widens above 10 points." Unusual basis widening might signal market stress or execution errors requiring immediate attention.
Step 6: Analyze Historical Performance
After closing positions, analyze results to improve future trading. Ask: "What was my realized return on the March arbitrage trade?" Sourcetable calculates your actual profit including all interest, dividends, and transaction costs, then converts to annualized return for comparison against other opportunities.
Build performance databases: "Show me average arbitrage returns by month." The AI aggregates historical trades, revealing seasonal patterns. You might discover that basis spreads consistently widen in December as institutional traders rebalance portfolios, creating better arbitrage opportunities in Q4 versus Q2.
Compare actual versus expected returns: "How did my trades perform versus initial projections?" This analysis identifies systematic errors in your modeling—perhaps your transaction cost estimates are too low, or dividend forecasts consistently miss actual payments. Sourcetable's AI helps you refine assumptions based on real trading results, improving future opportunity identification.
Real-World Use Cases for Cash-and-Carry Arbitrage Analysis
Cash-and-carry arbitrage serves multiple purposes across different trading organizations. Hedge funds use it to generate alpha in market-neutral portfolios. Proprietary trading firms deploy it as a core quantitative strategy. Asset managers apply it to enhance index fund returns. Here are specific scenarios where Sourcetable's AI-powered analysis creates competitive advantages.
Hedge Fund Market-Neutral Strategies
A $500 million equity hedge fund maintains a market-neutral book combining long/short equity positions with index arbitrage overlays. The fund's quantitative team monitors SPX, NDX, and Russell 2000 futures continuously, seeking arbitrage opportunities to enhance returns without adding directional risk.
Previously, analysts built custom Excel models requiring daily manual updates. Each morning, they downloaded futures prices, updated fair value calculations, and identified potential trades. This process consumed 2-3 hours daily and often missed intraday opportunities when basis spreads spiked during market volatility.
With Sourcetable, the team connects live data feeds and asks: "Show me all index futures trading more than 5 points above fair value." The AI monitors three index futures chains simultaneously, calculates fair values using current rates and dividend schedules, and highlights arbitrage opportunities in real-time. When SPX June futures spike 12 points above fair value during a morning selloff, the system alerts the team within seconds.
The fund asks follow-up questions instantly: "What's the expected return on 50 contracts?" Sourcetable calculates the $60,000 gross profit potential (12 points × $50 multiplier × 50 contracts), subtracts estimated $15,750 in transaction costs (0.15% on $10.5 million notional), and shows $44,250 net profit—a 0.42% return on capital deployed over 45 days, equivalent to 3.4% annualized. The team executes the trade within minutes of identification.
Over the quarter, the fund captures 8-12 arbitrage opportunities worth 50-80 basis points of additional return. This may seem modest, but on a $500 million portfolio, that's $2.5-$4 million in low-risk profit with minimal capital allocation. The time savings—from 15 hours weekly to 2 hours—lets analysts focus on alpha-generating equity research instead of spreadsheet maintenance.
Proprietary Trading Firm Automated Execution
A proprietary trading firm specializes in index arbitrage across global markets. They run systematic strategies monitoring basis spreads 24/7, executing trades when spreads exceed profitability thresholds. Speed and accuracy determine success—milliseconds matter when competing against other algorithmic traders.
The firm's legacy system used Python scripts for calculations and custom databases for position tracking. While fast, the system was rigid—adding new index products or adjusting fair value models required developer time and code changes. Traders couldn't easily perform ad-hoc analysis or test new strategies without engineering support.
Sourcetable provides the flexibility traders need while maintaining computational speed. The firm streams real-time futures and spot prices into Sourcetable, which continuously calculates fair values and basis spreads. Traders set natural language rules: "Execute cash-and-carry when SPX futures trade 8+ points above fair value and bid-ask spread is under 0.5 points." The AI monitors conditions and flags opportunities meeting both criteria.
When European markets open and EURO STOXX 50 futures show unusual basis spreads, traders quickly analyze the opportunity: "Compare EURO STOXX arbitrage return to SPX opportunities." Sourcetable evaluates both markets simultaneously, accounting for different financing rates (ECB versus Fed rates), dividend schedules (European vs. US payment timing), and currency considerations. The analysis shows EURO STOXX offers 4.8% annualized return versus 3.2% for SPX—traders shift capital allocation accordingly.
The firm also uses Sourcetable for post-trade analysis: "Show execution quality for all arbitrage trades this month." The AI compares actual fill prices versus mid-market prices at execution time, calculates realized slippage, and identifies patterns. They discover that trades executed in the first 30 minutes after market open show 0.08% higher slippage than mid-morning executions—leading to adjusted trading rules that improve profitability by $50,000 monthly.
Asset Manager Index Fund Enhancement
A large asset manager runs $5 billion in passive index funds tracking the S&P 500. While the funds aim to match index returns, the manager seeks small enhancements through securities lending and opportunistic futures arbitrage. Even 5-10 basis points of additional return represents $2.5-$5 million annually—meaningful value for investors.
The portfolio management team already holds the physical index constituents (or SPY ETF shares). When futures trade at premiums above fair value, they can execute cash-and-carry arbitrage without buying additional securities—simply selling futures against existing holdings. This requires minimal capital while generating incremental returns.
Using Sourcetable, the team monitors arbitrage opportunities that fit their constraints: "Show me SPX futures opportunities with 30+ days to expiration and expected returns above 0.25%." The AI filters for longer-dated contracts (shorter-term futures require more frequent rolling and monitoring) with returns exceeding their minimum threshold after transaction costs.
When June futures show a 0.35% arbitrage opportunity, the team asks: "What's the impact on fund returns if we arbitrage 20% of holdings?" Sourcetable calculates that selling futures against $1 billion of the $5 billion portfolio would generate approximately $3.5 million in profit over 60 days—adding 7 basis points to annual returns. The AI also shows the tracking error impact (minimal, since the position remains fully hedged) and margin requirements.
The manager executes the trade and uses Sourcetable for ongoing monitoring: "Track daily basis convergence and alert me if spread widens above entry level." This passive monitoring ensures the arbitrage performs as expected without requiring constant attention. At expiration, the basis converges to zero as predicted, and the fund captures the full profit. Over the year, executing 4-6 such opportunities adds 8-12 basis points to returns—outperforming the benchmark while maintaining nearly identical risk profiles.
Individual Trader Education and Small-Scale Arbitrage
An experienced options trader wants to learn index arbitrage strategies. With $250,000 in capital, they can't compete with institutional players on speed or scale, but they can capture occasional opportunities when basis spreads widen significantly during market dislocations.
Starting with Sourcetable, they upload historical futures and spot data: "Show me how often SPX futures traded more than 10 points above fair value in the past year." The AI analyzes historical basis spreads, identifying 15 instances where spreads exceeded 10 points—typically during high-volatility periods like Fed announcements or earnings season. This historical analysis helps the trader understand opportunity frequency and typical duration.
They set up monitoring for current opportunities: "Alert me when any SPX futures contract trades 10+ points above fair value." Rather than watching screens constantly, they receive notifications only when significant opportunities arise. When a notification triggers during a market selloff, they ask: "Calculate profit for 2 contracts with current prices." Sourcetable shows expected $2,000 profit on $420,000 notional exposure—manageable risk for their account size.
Before executing, they verify their understanding: "Explain the risks if I hold this arbitrage to expiration." The AI outlines key risks: financing costs if rates rise unexpectedly, dividend forecast errors, early assignment risk (not applicable to cash-settled index futures), and margin calls if basis spreads widen temporarily. This educational component helps the trader understand not just the mechanics but the potential pitfalls.
After executing several trades over months, they analyze results: "What's my average return per trade and total profit?" Sourcetable aggregates all positions, showing they've captured 6 opportunities averaging 0.38% return each, totaling $4,800 in profit. While modest in absolute terms, this represents 1.9% return on capital with minimal directional risk—a valuable addition to their overall trading strategy. The learning experience also builds expertise they can scale as capital grows.
Frequently Asked Questions
If your question is not covered here, you can contact our team.
Contact UsWhat is the theoretical fair value formula for index futures and what inputs matter most?
How does the cash-and-carry trade generate profit and what are the operational requirements?
What are dividend risk and timing risk in index arbitrage and how are they managed?
How has the cash-and-carry spread behaved historically and what drives periodic widenings?
What is the relationship between the VIX futures basis and S&P 500 futures cash-and-carry?
How do ETF arbitrage and index futures cash-and-carry interact in the modern market structure?
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