ARBITRAGE OPPORTUNITY @ OPTIONS OF IFCI LTD.

Looking to the chart below it can be conclude  that if we do following thing then there is an  arbitrage oppotunity of around Rs. 3,000/- Buy one Call of Rs. 47.50 @ Rs. 3.40 Buy one Put of Rs. 47.50 @ Rs. 0.85 Sell one Call of Rs. 55.00 @ Rs. 0.40 Sell one Put of Rs. 55.00 @ Rs. 4.95 Now If we make the payoff table it will  give initial inflow of Rs. 1.10/- and the  lot size is 4000.then it means an inflow of Rs. 4,400/- however brokerage for execution of this 4 contract will be  60*4=240/- and on automatic cancellation  on Due Date will be 15*4=60/- i.e. total brokerage is 300/- whereas other expenses to the tune of Rs. 100/-.  Now the margin for this transaction will be Rs. 38,400/- (3.40+.85+.4+4.95=9.6*4000) Taking the rate of interest on borrowed  fund at its highest rate of borrowing @ 3% p.m. then maximum interest is around Rs. 1000/-. So What are we waiting for. Leave comment or query, if any.   Home > F&O > Option Chain > Strike Price

IFCI Underlying Value As on 06-MAY-2011 09:45:12 Hours IST : 49.60    Futures contracts    Expiry Dates : 26MAY2011 |  30JUN2011 |  28JUL2011 |  REFRESH PAGE For an underlying :     Calls Puts Quote Open Interest Change in Open Interest LTP Net Change Volume Bid Qty Bid Price Offer Price Offer Qty Strike Price Bid Qty Bid Price Offer Price Offer Qty Volume Net Change LTP Open Interest Change in Open Interest Quote Quote - - - - - - - - -  40.00  28,000 0.05 0.20 12,000 - - - - - Quote Quote - - - - - - - - -  42.50  4,000 0.05 0.20 16,000 - - 0.20 12,000 - Quote Quote - - - - - - - - -  45.00  64,000 0.30 0.40 60,000 14 -0.10 0.35 280,000 4,000 Quote Quote 28,000 - 2.85 0.15 1 20,000 2.70 3.40 12,000  47.50  40,000 0.75 0.85 12,000 7 -0.25 0.80 712,000 - Quote Quote 2,756,000 64,000 1.55 0.25 131 28,000 1.50 1.55 16,000  50.00  4,000 1.70 1.80 4,000 19 -0.30 1.80 1,188,000 -20,000 Quote Quote 3,308,000 - 0.75 0.15 47 132,000 0.70 0.75 68,000  52.50  20,000 2.95 3.80 4,000 1 -0.75 3.10 600,000 - Quote Quote 9,436,000 44,000 0.40 0.10 106 428,000 0.35 0.40 416,000  55.00  4,000 4.95 5.95 20,000 - - 6.25 848,000 - Quote Quote 1,400,000 - 0.20 0.05 23 4,000 0.20 0.25 352,000  57.50  4,000 7.70 11.90 20,000 - - 7.50 20,000 - Quote Quote 4,436,000 16,000 0.15 - 12 1,348,000 0.10 0.15 160,000  60.00  20,000 10.10 12.55 20,000 - - 8.40 328,000 - Quote Quote 156,000 - 0.10 - - 20,000 0.05 0.15 100,000  62.50  - - - - - - - - - Quote Quote 336,000 - 0.05 - - 104,000 0.05 0.10 180,000  65.00  52,000 11.05 20.00 4,000 - - 12.00 36,000 - Quote Quote 100,000 - 0.10 - - 32,000 0.05 0.10 64,000  70.00  4,000 16.00 25.00 4,000 - - 16.10 4,000 - Quote Quote - - 0.15 - - - - 0.10 64,000  75.00  - - - - - - - - - Quote Quote 4,000 - 0.05 - - - - 0.10 64,000  80.00  - - - - - - - - - Quote Top FURTHER I WOULD RECOMMEND A BUY IN THE STOCK BECAUSE ITS TRADING ON ITSBOOK VALUE TODAY AND IT HAS A GOOD P/E RATIO OF AROUND 5.25. I HAVE FURTHER  ANALYSED THAT IN CASE OF INTRA DAY TRADING IF BOUGHT @ CURRENTPRICE OF Rs. 49.60. IT WILL END UP TO Rs. 51.00 TO 52.50 UP TO THE CLOSURE OF THE EXCHANGE i.e. A REVENUE OF AROUNDRs. 1.50 PER SHARE CAN BE DONE WHICH IS AROUND 3% OF THE TRANSACTION.CLICK HERE TO VIEW REAL TIME CHARTTHE ABOVE ALL ARBITRAGE OPPORTUNITY IS BECAUSE OF UNDERVALUATION OF OPTION AT LOWER STRIKE PRICE AND OVER VALUATION OF OPTION AT HIGHER STRIKE PRICE.ANNUAL VOLATALITY OF IFCI IS AROUND 40% AS PER NIFTY.