BankNifty- Nifty Spread

The BankNifty had closed out the last series at 11235 and is currently trading at 11100 in the July futures well below the June level.

 

The Nifty on the other hand had closed June at 5682 and is currently trading at 6050 well above 400 points over it's previous series close.

 

If it closes here we may have 2 series closing about 350 points apart successively which is rare , but that is not the point of this post.

 

The 6% drop in the BankNifty last week has further added to the price divergence between the Nifty and the bankNifty.

 

Spread 0 Banknifty- Nifty Spread

 

The above chart is the difference between the two instruments as we have worked through the month of July.

 

Here is a daily spread chart of the two :

 

Spread%202 Banknifty- Nifty Spread

 

The current spread in the BankNifty- Nifty is at 2 year lows and fast approaching the 1.70 levels last seen In January 2012 and then in February 2010.

 

Here is a slightly shorter term view of the same chart.

 

Bnnf 60 Min Spread Banknifty- Nifty Spread

 

Shorter term there is an arbitrage opportunity for a long BankNifty short Nifty call for either august or sept delivery which can hit value low for this move down at 1.9340 or 1.9480 .