Synthetics & risk reversals
Bullish
Debit or credit
Risk: Large both ways, like futures
Synthetic long futures
Also called: Long call + short put
Buy a call and sell a put at the same strike and expiry: the pair moves point for point with the underlying, like long futures.
Payoff sketch (per unit, index points)
At expiry
Today (7 days left)
Net premium
Debit 31 pts
Max profit
Unlimited above the chart
Max loss
Large as the price falls
Breakeven
25,031
How it works
Put-call parity ties call − put to (forward − strike), discounted: the combination behaves like a futures contract struck at the option strike.
Differences from real futures: the options can be chosen on a different expiry, carry option charges (STT on the sold put, exchange fees on premium), and are margined through the short put.
When traders use it
- Replicating a futures position on an expiry or strike where futures are not available (for example weekly NIFTY expiries).
- Arbitrage when the futures and the option pair are out of line.
Greeks
| Delta | About +1, like futures. |
| Gamma | Near zero (the two legs offset). |
| Theta | Near zero. |
| Vega | Near zero. |
Profit, loss and margin
| Max profit | Unlimited above the breakeven. |
| Max loss | Large: the underlying's full fall below the breakeven. |
| Breakeven | Strike + net debit (or − net credit). |
| Margin | About a futures margin, through the short put. |
In India
- Short options are margined like futures: NSE Clearing's SPAN risk margin plus an exposure margin (2% of notional for index contracts, 3.5% for stocks in Arthfy's model). An at-the-money short option on NIFTY typically blocks well over a lakh of rupees per lot.
- A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
- STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
- Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.
Arthfy numbers
Arthfy's history covers single options and spreads, not synthetic futures.
Try it in the F&O hub
Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain
Backtest since 2016Daily data, every NIFTY expiry
Replay on expiry daysMinute data since October 2024
Open the option chainLive premiums, IV and Greeks
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
