Expiry (27/7/2017) Span Margin Dividend RF Rate Spot Price Transaction date

Suzlon Power 13.03 0 6.27% 18.75 5-Jul

June
May
April

Syndicate Bank 12.97 0 6.27% 73.65 5-Jul

June
May
April

TATA Chemicals 12.6 0 6.27% 639.15 5-Jul

June
May
April

TATA Communications 12.51 0 6.27% 679.7 5-Jul

TATA Consultancy Services 12.54 0 6.27% 2350.9 5-Jul

Fair Futures Price Actual Future Price Lot size Total Contarct Futures

18.8188529498 18.95 30000 568500

73.920454387 74 9000 666000

641.4970593541 643.15 1500 964725

682.1959653336 682.75 700 477925

2359.532874655 2354 250 588500

Total Contract Value spot Strategy Basic Profit

562500 Arbitrage 3934.4115

Closing Price Settlement Date
18 18.1
19.45 19.35
20.5 20.5

662850 Arbitrage 715.910517

Closing Price Settlement Date

73.3 75.5
79.3 79.35
75.9 76

958725 Arbitrage 2479.41097

Closing Price Settlement Date
599.3 600.75
615.6 615.25
653.15 653.7

475790 Arbitrage 387.824266

Closing Price Settlement Date
June 717.95 723.05
May 655.1 655.35
April 721.95 722.25

587725 Reverse Arbitrage 1383.21866

Closing Price Settlement Date
June 2338.3 2333.25
May 2623.95 2624.6
April 2304.2 2302.65
 Basis Risk Gross Profit(INR) Total cost(Transaction +Int on Margin &M2M&Transaction cost)

0 3934.41150486 2681.4996599876

0.1
-0.1
0

0.7833333333 716.693850665 3146.0582511861

2.2
0.05
0.1

0.55 2479.96096889 4516.6335973994

1.45
-0.35
0.55

1.8833333333 389.70759982 831.2573189208

5.1
0.25
0.3

1.9833333333 1385.20199698 1025.4243225303

 5.05
-0.65
1.55
Net profit/loss(INR) Net profit/loss(INR) per LOT

1252.911844876 0.0417637282

-2429.364400522 -0.2699293778

-2036.67262851 -1.3577817523

-441.5497191003 -0.630785313

359.7776744547 1.4391106978
Assumptions:-
1) Basis Risk is calculated on historical data of June,May & April expiry contracts data
2) 6.27% (91 days T-Bills rate) is conidered as Interest rate

3) 4% Margin kept for M to M settlement

 ASSIGNMENT 2
Submitted To Prof. Hariprasad Soni
Submitted By Saptarshi Mukherjee
P.R.N 16021141097
Subject:- Derivatives
 Transaction cost calculation Suzlon
(Zerodha charges)
Futures TC Spot TC
Contract Value 568500 562500
Brokerage 0.01% 0
STT 0.01% 0.10%
Transacction Charges 0.0021% 0.00325%
GST 0.002178% 0.00059%
SEBI CHARGES 0.00015% 0.00015%
STAMP DUTY(TELENGANA) 0.01% 0.01%
SELL 0.034% 195.72318 0.114% 641.165625
BUY SIDE COST 0.032% 183.78468 0.114% 641.165625
Transaction cost futures and spot 0.067% 379.50786 0.228% 1282.331250

Total Transaction cost 1661.839110

R.f Rate 6.27%
Day1(total)%
Interest on transaction cost 8.8093633099 0.148%

M to M settlement % 4.00% Total margin

Margin 13.03% 17.03%
Margin amount 96815.55

Interest on Margin 1010.8511866776

Total Interest Cost 1019.6605499876

Total Cost 2681.4996599876

 Syndicate BANK TATA Chemicals

Futures Contract value Spot Contract value Futures Contract value

666000 662850 964725

444.59496 1511.099145 644.011821

1955.694105 2829.6172035

10.3202039832 14.9491873688

Total margin
12.97% 16.97% 12.60%
113020.2 160144.35

1180.0439422029 1672.0672065305

1190.3641461861 1687.0163938994

3146.0582511861 4516.6335973994
TATA Chemicals TATA Communiations TCS

Spot Contract value Futures Contract value Spot Contract value Futures Contract value
958725 477925 475790 588500

2185.6053825 319.043613 1084.658463 392.85906

1403.702076 1732.6957425

7.405831064 9.1192793455

Total margin Total margin

16.60% 12.51% 16.51% 12.54%
78905.4175 97337.9

823.8514878567 1016.3050431848

831.2573189208 1025.4243225303

2234.9593949208 2758.1200650303
TCS

Spot Contract value

587725

1339.8366825

Total margin
16.54%