Scenario Analysis

Bullish Scenario

Market price of the asset increases In case the price of the asset increases after building the arbitrage position, the long leg which is the spot position will have unrealised profits and the short leg which is the futures position will have unrealized losses - both these positions will counteract each other and maintain the net P/L at 0.

Event	Change %	USDT Market Price	Unrealised profit from spot	Unrealised loss from futures	Net unrealised P/L
Market price increases	0%	60000	0	0	0
Market price increases	10%	66000	6000	-6000	0
Market price increases	25%	75000	15000	-15000	0
Market price increases	50%	90000	30000	-30000	0
Market price increases	100%	120000	60000	-60000	0
Market price increases	200%	180000	120000	-120000	0

Bearish Scenario

Market price of the asset decreases In case the price of the asset decreases after building the arbitrage position, the long leg which is the spot position will have unrealised losses and the short leg which is the futures position will have unrealised profits - both these positions will again counteract each other and maintain the net P/L at 0.

Conclusion

As observed, in both bullish and bearish scenarios, our arbitrage trade remains delta neutral and maintains a net P/L of zero. In the bullish scenario, the losses from the short futures position are offset by the profits from the long spot position. Conversely, in the bearish scenario, the losses from the long spot position are covered by the profits from the short futures position.