Settlement Term Arbitrage Scanner

Overview

The Settlement Term Arbitrage Scanner automatically detects profitable opportunities to arbitrage the price differences between immediate settlement (CI) and 24-hour settlement (24hs) for the same instrument.

How it works: When the same asset trades at different prices depending on its settlement term, you can profit by buying in one term and selling in another, while using caucion (repo) to finance the operation.

Key Features

Real-Time Scanning

Continuously monitors all configured instruments for arbitrage opportunities

Profit & Loss Calculator

Calculates precise P&L including commissions, market fees, and caucion costs

Portfolio Filter

Option to show only arbitrages possible with your current holdings

Profitable Only

Filter to display only opportunities with positive P&L

Scanner Options

All Instruments
Portfolio Only
Profitable Only

View arbitrage opportunities for all monitored instruments, regardless of your portfolio holdings.Use case: Discover new opportunities that may require acquiring positions.

How Settlement Arbitrage Works

Calculation Formula

The scanner uses the following logic to calculate arbitrage profitability:

// Spread TNA (annualized)
SpreadTNA = ((SellPrice / BuyPrice) - 1) / Days * 365

// Spread vs Caucion
SpreadCaucion = SpreadTNA - CaucionTNA

// Profit/Loss calculation
if (EsCaucionColocadora) {
    ProfitLoss = SellTotal - BuyTotal + InteresNeto
} else {
    ProfitLoss = SellTotal - BuyTotal - InteresNeto
}

Market Fees & Commissions

All calculations include:

Broker commission: Configurable (default 0.10%)
Market rights (Derechos de Mercado):
- Bonds: 0.01%
- Treasury Bills (Letras): 0.001%
- Stocks & CEDEARs: 0.08%
Caucion fees: Broker-specific TNA for both taker and placer

Configure accurate commission rates in the scanner window for precise P&L calculations. Default values may not match your broker’s rates.

Operation Types

Type 1: Sell CI, Buy 24hs (Requires Holdings)

When the CI settlement price is higher than 24hs:

Sell in CI

Sell the instrument with immediate settlement to lock in the higher price

Buy in 24hs

Simultaneously buy the same instrument with 24-hour settlement at the lower price

Place Caucion

Place the cash from the CI sale in caucion (repo) to earn interest until 24hs settlement

Example:

Sell 1,000 NVDA at CI: $50.00 → Receive$ 50,000 today
Buy 1,000 NVDA at 24hs: $49.80 → Pay$ 49,800 tomorrow
Place $50,000 caucion for 1 day → Earn interest
Net profit: Price spread + caucion interest - fees

Type 2: Buy CI, Sell 24hs (Requires Capital)

When the 24hs settlement price is higher than CI:

Buy in CI

Buy the instrument with immediate settlement at the lower price

Sell in 24hs

Simultaneously sell the same instrument with 24-hour settlement at the higher price

Take Caucion

Take caucion (borrow) to cover the CI purchase until 24hs settlement

Example:

Buy 1,000 SPY at CI: $45.00 → Pay$ 45,000 today
Sell 1,000 SPY at 24hs: $45.20 → Receive$ 45,200 tomorrow
Take $45,000 caucion for 1 day → Pay interest
Net profit: Price spread - caucion interest - fees

Type 2 operations require available capital or the ability to take caucion. Ensure you have sufficient margin before executing.

Arbitrage Detail View

Double-click any row in the scanner to open the detailed arbitrage calculator:

In this view you can:

Adjust nominal amounts
Modify buy/sell prices to simulate scenarios
Change commission rates
See real-time P&L recalculation
View detailed breakdown of all costs

Opening Arbitrage for Specific Instruments

You can manually open the arbitrage calculator for any instrument:

Go to Arbitrajes de Plazos > Seleccionar instrumento y Plazos
Select:
- Instrument ticker
- Buy settlement term
- Sell settlement term

Configuration

Caucion Commission Rates

Configure broker-specific caucion rates for accurate calculations:

Comisión Tomadora (TNA): Interest rate when taking caucion (borrowing)
Comisión Colocadora (TNA): Interest rate when placing caucion (lending)

These are broker-specific rates. Contact your ALyC (broker) to obtain the correct values.

Monitored Instruments

Add or remove instruments from monitoring:

Configuración → Instrumentos a monitorear
Add one instrument per line (e.g., GGAL, AL30, GD30)

Understanding the Settlement Days

The scanner automatically calculates settlement day differences:

// CI is always 0 days (immediate settlement)
// 24hs varies based on market calendar (typically 1 day, 3 on Fridays)

DiasCaucion = Sell.CalculateSettlementDays(Buy, DiasLiq24H)
EsCaucionColocadora = DiasCaucion < 0  // Negative = place caucion

The application automatically detects the correct settlement days for 24hs based on available caucion instruments in the market.

Best Practices

Monitor Multiple Instruments

Add all your portfolio holdings plus liquid instruments (GD30, AL30, popular CEDEARs) to maximize opportunity detection.

Set Accurate Commission Rates

Use your broker’s exact commission and caucion rates for realistic P&L calculations. Default values are arbitrary.

Watch Market Hours

Settlement arbitrage is most active during market hours. Opportunities diminish near closing.

Consider Execution Risk

Scanner shows bid/offer prices. Actual execution may differ if the market moves. Use limit orders.

Account for Slippage

The P&L is calculated on current bid/offer. Add a safety margin for price movement during execution.

Caucion Calculator

Calculate returns on caucion operations independently

Market Data

Real-time market data powers the arbitrage scanner

Video Tutorial

Technical Reference

The settlement arbitrage scanner is implemented in:

SettlementTermArbitrationProcessor.cs - Main processing logic
SettlementTermTrade.cs - Trade calculation and P&L
Caucion.cs - Caucion interest and fee calculations
Settlement.cs - Settlement day determination

Getting Started