MCP For Claude Marketplace
Index Arbitrage Strategy

Index Arbitrage Strategy MCP Connector for Claude

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Detect and quantify cash-and-carry and reverse cash-and-carry arbitrage opportunities.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides deterministic modeling for identifying arbitrage between cash indices and futures contracts. It calculates fair value using the cost of carry and identifies actionable signals when the basis exceeds specific thresholds. Use calculate_arbitrage_signals to determine specific trade actions like CASH_AND_CARRY or REVERSE_CASH_AND_CARRY, and get_historical_basis_analysis to evaluate market opportunities over time. The engine includes liquidity filters and cost-of-carry adjustments to ensure realistic profit modeling.

arbitragefuturesindexquantitativefinance

3 tools expose this connector's capabilities to your AI agent.

calculate_arbitrage_signals

Determines the specific arbitrage action and profit potential for a given set of market conditions

get_historical_basis_analysis

Evaluates the historical consistency and frequency of arbitrage opportunities over a time series

validate_market_conditions

A diagnostic tool to check if the current environment allows for any deterministic arbitrage

See how to talk to your AI agent using Index Arbitrage Strategy.

Calculate arbitrage signals for an index at 4500 with a futures price of 4550, 30 days to expiry, 3% risk-free rate, and 1% dividend yield.

The basis is positive, indicating a CASH_AND_CARRY opportunity. The fair value is 4503.29, and the basis is 46.71.

Check if the current market conditions are viable for arbitrage with 15,000 open interest and a 0.1% basis.

The market is not viable because the basis does not provide a sufficient buffer over transaction costs.

Analyze the historical basis for these prices: [{'indexPrice': 100, 'futuresPrice': 102, 'daysToExpiration': 10}, {'indexPrice': 101, 'futuresPrice': 100, 'daysToExpiration': 5}] with 2% risk-free rate and 1% dividend yield.

The analysis shows 1 opportunity found with an average basis of 1.2%.

It is an operation performed when futures are overpriced. The trader sells the futures and buys the underlying index to lock in profit.

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