Theoretical

Settle Price(Spot Underlying Value futures price F1

Symbol Date Expiry futures price (F0)) (S0) No of days (S0*e^rt)
COALINDIA 1-Aug-19 29-Aug-19 203.15 202.45 29 203.2954957651
COALINDIA 2-Aug-19 29-Aug-19 198.25 197.2 28 197.9951139477
COALINDIA 5-Aug-19 29-Aug-19 201.05 200.6 25 201.3220074659
COALINDIA 6-Aug-19 29-Aug-19 205.5 205.1 24 205.808624932
COALINDIA 7-Aug-19 29-Aug-19 206.8 206.1 23 206.7823608948
COALINDIA 8-Aug-19 29-Aug-19 212.4 211.85 22 212.5208543313
COALINDIA 9-Aug-19 29-Aug-19 208.45 207.6 21 208.2274693263
COALINDIA 13-Aug-19 29-Aug-19 204.3 203.75 17 204.248387926
COALINDIA 14-Aug-19 29-Aug-19 200.4 200.5 16 200.9615556956
COALINDIA 16-Aug-19 29-Aug-19 202.6 201.95 14 202.35672345
COALINDIA 19-Aug-19 29-Aug-19 199.45 198.95 11 199.2647533062
COALINDIA 20-Aug-19 29-Aug-19 195.5 195.3 10 195.5808695776
COALINDIA 21-Aug-19 29-Aug-19 189.15 188.8 9 189.0443519131
COALINDIA 22-Aug-19 29-Aug-19 180.55 180.85 8 181.0580408078
COALINDIA 23-Aug-19 29-Aug-19 187.75 188 7 188.189218985
COALINDIA 26-Aug-19 29-Aug-19 188.55 188.75 4 188.8585330828
COALINDIA 27-Aug-19 29-Aug-19 191.85 - 3 #VALUE!
COALINDIA 28-Aug-19 29-Aug-19 184.7 185.05 2 185.1031951276
COALINDIA 29-Aug-19 29-Aug-19 189 189 1 189.0271633523
Using continous compounding
 F1 < F0 F1 > F0
BUY STOCK SELL NCF = F0*lot size +margin SELL STOCK BUY NCF = (B(1+r)^t + Margin Interest paid on
FUTURES money - A(1+r)^t FUTURES money) – F0*lot size charges for stock
-418.3809024711 ü 127.3217770223 1.88418704
ü 468.058083516 -742.2831731192 1.7719144075
-682.2127357162 ü 433.9630297734 1.6090051409
-761.1853595075 ü 517.6077905782 1.5791848303
ü -40.5296255261 -194.359094805 1.5206576706
-343.7881063673 ü 113.0440340083 1.4950177425
ü 416.533444774 -632.6779120817 1.3983355881
ü 55.6477466987 -227.0902506103 1.1106816312
-1288.7912088508 ü 1130.5248956934 1.0286010966
ü 487.9170807168 -627.900761863 0.9064078627
ü 370.9792272826 -479.2335845316 0.701450657
-210.4698869193 ü 114.0126096706 0.6259394414
ü 204.0660862751 -288.0520422063 0.5445580116
-1141.7107054674 ü 1070.4557828403 0.4636366198
-988.1409574933 ü 923.3111162802 0.4216913564
-691.3172793434 ü 654.1216216846 0.2418769609
#VALUE! #VALUE! #VALUE!
-893.1705516393 ü 874.9550234195 0.1185511582
-62.9042572681 ü 53.5851080432 0.0605366109
ntinous compounding
 CONTANGO NORMAL BACKWARD
Interest paid on Interest paid on F1 < F0 F1 > F0
charges for selling charges for long BUY STOCK SELL STOCK
future future SELL FUTURES BUY FUTURES
1.9577813562 0.1386618221 -337.6171683398
1.8467857044 0.1328788944 13.5277794041
1.6706836611 0.119122999 -26.4510403665
1.6374819339 0.1151221281 46.9379766198
1.5785882777 0.1105337756 -514.890948474
1.5487614973 0.106611045 -372.9674492793
1.4520613552 0.1011584345 -61.0088841693
1.152873104 0.0813574545 -412.504445537
1.0652799748 0.0761155175 670.9628940792
0.9417122524 0.0668142452 24.2961491017
0.7288253495 0.0522356167 -85.3641502239
0.6500563132 0.0471983304 -333.2276491012
0.5669750402 0.0420628156 -228.749862777
0.4822330156 0.0368897492 656.4290719713
0.4378266876 0.03264018 492.9816247437
0.2511435735 0.0186707131 222.2709865105
0.1914672897 0.0140735165
0.1231255224 0.009278471 451.6974152903
0.0629146281 0.0046699455 -378.6418285132
Not possible in India
Lot Size 2200
5.2800% --> Using annual rate
5.2455% --> Using continous compounding
0.0019% Transaction charges
Margin % 8%
STT 0.01%
GST 18.00%
SEBI Charges Rs 10/ Crore
Charges Equity Futures Equity Options
0.01% or Rs. 20 per
Flat Rs. 20 per
Brokerage executed order,
executed order
whichever is lower
0.05% on sell side (on
STT/CTT 0.01% on sell side
premium)
Transaction charges NSE: 0.0019% NSE: 0.05%

18% on (brokerage
18% on (brokerage +
GST + transaction
transaction charges)
charges)
Sebi charges Rs. 10 / crore Rs. 10 / crore