SyntheticFuture

Calculate the synthetic futures price using ATM options (Put-Call Parity).

Endpoint URL

Local Host   :  POST http://127.0.0.1:5000/api/v1/syntheticfuture
Ngrok Domain :  POST https://<your-ngrok-domain>.ngrok-free.app/api/v1/syntheticfuture
Custom Domain:  POST https://<your-custom-domain>/api/v1/syntheticfuture

Sample API Request

{
  "apikey": "<your_app_apikey>",
  "underlying": "NIFTY",
  "exchange": "NSE_INDEX",
  "expiry_date": "25NOV25"
}

Sample cURL Request

curl -X POST http://127.0.0.1:5000/api/v1/syntheticfuture \
  -H 'Content-Type: application/json' \
  -d '{
  "apikey": "<your_app_apikey>",
  "underlying": "NIFTY",
  "exchange": "NSE_INDEX",
  "expiry_date": "25NOV25"
}'

Sample API Response

{
  "status": "success",
  "underlying": "NIFTY",
  "underlying_ltp": 25910.05,
  "expiry": "25NOV25",
  "atm_strike": 25900.0,
  "synthetic_future_price": 25980.05
}

Request Body

Parameter	Description	Mandatory/Optional	Default Value
apikey	Your OpenAlgo API key	Mandatory	-
underlying	Underlying symbol (NIFTY, BANKNIFTY, SENSEX)	Mandatory	-
exchange	Exchange: NSE_INDEX, BSE_INDEX	Mandatory	-
expiry_date	Expiry date in DDMMMYY format	Mandatory	-

Response Fields

Field	Type	Description
status	string	"success" or "error"
underlying	string	Underlying symbol
underlying_ltp	number	Current spot price
expiry	string	Expiry date
atm_strike	number	ATM strike used for calculation
synthetic_future_price	number	Calculated synthetic futures price

Formula

Synthetic Future Price = Strike Price + Call Premium - Put Premium

Where:

• Strike Price = ATM strike

• Call Premium = LTP of ATM Call

• Put Premium = LTP of ATM Put

Understanding Synthetic Futures

What is Basis?

Basis = Synthetic Future Price - Spot Price

Basis	Interpretation
Positive	Cost of carry (normal market)
Large positive	High demand for futures/options
Negative	Backwardation (rare)

Example Calculation

Spot Price (underlying_ltp): 25910.05
ATM Strike: 25900
ATM Call Premium: 500
ATM Put Premium: 420

Synthetic Future = 25900 + 500 - 420 = 25980
Basis = 25980 - 25910.05 = 69.95 points

Notes

• Synthetic futures provide a fair value reference for actual futures

• Useful for arbitrage detection between futures and options

• The basis indicates the cost of carry

• Near expiry, synthetic future converges to spot price

Use Cases

• Arbitrage strategies: Compare with actual futures price

• Fair value calculation: Determine if futures are overpriced/underpriced

• Options pricing: Use as underlying for options Greeks calculation

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