Index Arbitrage

objective

Trade index cash-futures dislocations with fair-value diagnostics and execution-safe basket controls.

workflow

1. define fair-value model with rates, dividends, and carry conventions.
2. compute real-time basis dislocations versus fair value.
3. build executable basket routes for cash and futures legs.
4. stress dislocation persistence and execution slippage risk.
5. deploy only when net basis edge exceeds implementation friction.

required diagnostics

• basis residual distribution by index and session.
• cash-leg completion risk and hedge mismatch cost.
• fair-value input sensitivity to rates and dividends.
• dislocation half-life and mean-reversion diagnostics.
• net edge after exchange and financing costs.