Every NSE index and stock future ranked by its premium or discount to spot — annualized and net of an indicative round-trip cost, benchmarked against the risk-free rate. See where cash-and-carry actually pays.
A futures contract almost never trades at exactly the spot price. When it trades above spot it's in contango (a premium); when it trades below spot it's in backwardation (a discount). That gap — the basis — encodes the cost of carry, dividends, borrowing constraints, and pure sentiment all at once. This screener ranks every NSE index and stock future by its basis so you can see at a glance who's rich and who's cheap.
Raw basis is misleading on its own. A 0.4% premium with 25 days to expiry is normal carry; the same 0.4% with 3 days left is an enormous annualized rate. So Strota annualizes every basis (basis% × 365 / days-to-expiry), then subtracts an indicative round-trip transaction cost and compares the result against the risk-free rate. The output tells you whether a cash-and-carry trade — buy the stock, sell the future, hold to expiry — would actually beat just parking the cash, after costs.
This is a screener, not a guarantee. The figures ignore slippage, market impact, and the nuances of physical settlement at expiry; reverse-arbitrage on the backwardation side needs stock borrow (SLB) that retail rarely gets; and dividends explain part of many discounts. Treat the verdicts as a starting point for where to look, not a P&L promise.
Contango (futures > spot). The normal state for most equity futures, because holding the future saves you the cash you'd otherwise tie up buying the stock — so the future charges you that financing cost as a premium. Unusually rich contango means either an expensive carry (bullish positioning crowding into longs) or a genuine cash-and-carry opportunity.
Backwardation (futures < spot). Less common and more interesting. A future at a discount usually signals one of three things: heavy short positioning / bearish sentiment, an upcoming dividend (the spot drops ex-date, so the future prices it in early), or a hard-to-borrow stock where shorts can't easily sell spot to arbitrage the gap away. Deep, persistent backwardation is a real positioning signal.
Index futures (NIFTY, BANKNIFTY) sit close to fair carry most days; meaningful index backwardation is a notable bearish tell. Single-stock futures show the widest, most actionable dislocations.
Annualizing puts a 3-day basis and a 25-day basis on the same scale, so you can compare contracts across the expiry cycle. But annualization cuts both ways: it also magnifies costs. A one-time round-trip cost of ~0.15% is trivial over a month but, annualized over 3 days, it's a ~18% drag — which is why we drop ultra-short-dated contracts (under two days to expiry) entirely, where the math becomes noise.
The net annualized figure is annualized basis − annualized cost − risk-free rate. A positive number on the contango side means the carry beats holding cash at the risk-free rate after costs — a real edge. A small positive raw premium that goes negative after this adjustment is the common case, and it's exactly the trap the screener is built to expose.
Contango table is sorted by net annualized return, best first. A Cash-&-carry edge verdict means the premium clears the risk-free rate net of the assumed cost; Premium (carry < risk-free) means it's a normal premium that doesn't pay to arb.
Backwardation table is sorted by the deepest discount first. Before treating a discount as bearish, check whether the stock has an upcoming ex-dividend date — that's the most common innocent explanation.
The cost and risk-free assumptions used are shown inline above the tables so you can judge the verdicts against your own brokerage and funding rates.
Contango is when a futures contract trades above the spot price (a premium); backwardation is when it trades below spot (a discount). The gap is called the basis. For Indian equity futures, mild contango is the normal state because the future embeds the cost of carry, while backwardation usually signals bearish positioning, an upcoming dividend, or a hard-to-borrow stock.
Annualized basis = (futures − spot) / spot × 365 / days-to-expiry, expressed as a percent. Annualizing lets you compare a near-month and a far-month contract on the same scale. Strota then subtracts an annualized round-trip cost and the risk-free rate to show the net edge.
You buy the stock in the cash market and simultaneously sell its future at a premium. At expiry the two prices converge, so you capture the basis regardless of where the stock goes. It's profitable only if the annualized premium beats the risk-free rate after transaction costs — which is exactly what this screener checks.
Three common reasons: heavy short / bearish positioning, an upcoming dividend (the spot falls on the ex-date, so the future prices it in), or a hard-to-borrow stock where short-sellers can't sell the underlying to close the gap. Always check the ex-dividend date before reading a discount as a bearish signal.
An indicative all-in round-trip cost (dominated by STT, plus exchange charges, stamp duty and GST) is applied and annualized, then the risk-free rate is subtracted. The exact assumptions are shown on the tool. It deliberately excludes slippage, market impact, and physical-settlement nuances at expiry, so treat it as indicative.
No. It's a screener that surfaces where the basis is unusually rich or cheap. Real execution involves slippage, margin, physical settlement of stock futures at expiry, and — for the backwardation side — stock borrow that retail rarely gets. Use it to find candidates, not as a P&L promise.