index-arbitrage

What problem does it solve?

This Skill addresses the challenge of exploiting temporary price discrepancies between index futures and their underlying constituent baskets, ensuring profitable trading opportunities are captured efficiently and safely.

Core Features & Use Cases

• Fair-Value Monitoring: Continuously calculates and monitors the fair value of index futures against their cash components.
• Basis Arbitrage: Identifies and executes trades on dislocations between futures and cash baskets.
• Basket Execution Control: Manages the execution of both cash and futures legs with built-in risk controls.
• Use Case: When the market price of an index future deviates significantly from its calculated fair value, this Skill can automatically identify the opportunity, assess the risk, and execute the necessary trades to capture the arbitrage.

Quick Start

Run the index arbitrage diagnostics script with your input data file.