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What is Settlement Term Arbitrage?

Settlement term arbitrage involves taking advantage of price differences between the same asset trading with different settlement periods (CI, 24hs, 48hs). ChuchoBot’s scanner detects these opportunities in real-time, calculating potential profit after commissions and market fees.
Watch this video for a detailed explanation: https://www.youtube.com/watch?v=i0xQ3_KqdHI

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When to Use Each Strategy

There are two main arbitrage scenarios depending on which settlement term you sell first:

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Strategy 1: Sell Short-Term, Buy Long-Term

Requirements: You must own the asset in your portfolio When to use: When the short-term settlement (CI) has a higher price than the long-term settlement (24hs or 48hs) Example: 1 Sell NVDA - CI / 2 Buy NVDA - 24hs
1

Sell the asset in the shorter settlement period

Execute the sell order in CI settlement. This generates cash that settles immediately.
2

Buy the asset in the longer settlement period

Execute the buy order in 24hs settlement. This replenishes your position with deferred payment.
3

Place the proceeds in cauciones (repo)

Take the cash from step 1 and place it in cauciones to earn interest while waiting for the buy settlement.
You capture the price spread between settlement terms while earning repo interest on the cash proceeds.

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Strategy 2: Buy Short-Term, Sell Long-Term

Requirements: You need available cash or ability to borrow via cauciones When to use: When the long-term settlement (24hs or 48hs) has a higher price than the short-term settlement (CI) Example: 1 Sell SPY - 24hs / 2 Buy SPY - CI
1

Buy the asset in the shorter settlement period

Execute the buy order in CI settlement. This requires immediate payment.
2

Sell the asset in the longer settlement period

Execute the sell order in 24hs settlement. This locks in a higher sale price with deferred receipt.
3

Borrow via cauciones tomadoras

Take cauciones for the total amount of the purchase from step 1 to cover the immediate cash requirement.
This strategy requires borrowing capacity. Ensure you configure the correct borrowing commission (TNA) in ChuchoBot for accurate P&L calculations.

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Using ChuchoBot’s Arbitrage Scanner

The settlement arbitrage scanner provides real-time detection of opportunities:

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Scanner Features

  • Real-time monitoring via WebSocket connection to Primary API
  • Automatic P&L calculation including commissions and market fees
  • Portfolio-based filtering to show only opportunities for assets you own
  • Profit filtering to display only positive P&L opportunities

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Accessing Arbitrage Details

  1. Double-click any row in the scanner grid
  2. The detail window opens with full calculation breakdown
  3. Adjust nominals, prices, and commission rates to simulate scenarios
  4. View approximate profit/loss for the complete operation

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Opening Arbitrage for Specific Instruments

You can manually open the arbitrage window for any instrument:
  1. Click menu Arbitrajes de Plazos > Seleccionar instrumento y Plazos
  2. Select the instrument
  3. Choose buy settlement period
  4. Choose sell settlement period

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Calculation Example

Let’s walk through a real arbitrage calculation: Scenario: NVDA trading at different prices across settlement terms
  • NVDA CI (sell): $50,000 per share
  • NVDA 24hs (buy): $49,500 per share
  • You own 100 shares of NVDA
Operation:
1

Sell 100 NVDA in CI

  • Gross proceeds: 100 × 50,000=50,000 = 5,000,000
  • Commission (0.10%): $5,000
  • Market fees (0.08%): $4,000
  • Net proceeds: $4,991,000
2

Buy 100 NVDA in 24hs

  • Gross cost: 100 × 49,500=49,500 = 4,950,000
  • Commission (0.10%): $4,950
  • Market fees (0.08%): $3,960
  • Net cost: $4,958,910
3

Place proceeds in cauciones

  • Amount: $4,991,000
  • Period: 1 day
  • Assuming 30% TNA
  • Interest earned: ~$4,102
4

Calculate final P&L

  • Net proceeds from sale: $4,991,000
  • Net cost of purchase: $4,958,910
  • Repo interest: $4,102
  • Total profit: $36,192
ChuchoBot performs these calculations automatically in real-time, accounting for your configured commission rates and market fees.

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Configuration Tips

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Setting Commission Rates

For accurate P&L calculations, configure:
  • Trading commission: Default 0.10% (adjustable in arbitrage window)
  • Cauciones tomadora commission (TNA): Set in scanner window
  • Cauciones colocadora commission (TNA): Set in scanner window

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Market Fees by Instrument Type

ChuchoBot automatically applies correct market fees:
  • Stocks and CEDEARs: 0.08%
  • Treasury letters (Letras): 0.001%
  • Bonds: 0.01%
Refer to BYMA’s official market fees: https://www.byma.com.ar/wp-content/uploads/dlm_uploads/2019/11/BYMA-Derechos-Mercado-sobre-Operaciones-2022-12-01.pdf

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Best Practices

Monitor Portfolio Requirements

Strategy 1 requires owning the asset. Filter by portfolio to see only actionable opportunities.

Configure Accurate Commissions

Set your broker’s actual commission rates for precise P&L calculations.

Check Market Hours

Arbitrage opportunities are only executable during market hours (10:30-17:00 by default).

Consider Execution Risk

Prices change rapidly. Execute both legs quickly to lock in the spread.

Understanding Settlement Terms

Learn about CI, 24hs, and 48hs settlement periods

Asset Rotation Strategies

Explore ratio-based trading strategies

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