This paper (https://s3-us-west-1.amazonaws.com/meteor-dalalbeat/santosh-ghost/80269143-Box-Spread-Arbitrage-Efficiency-of-Nifty-Index-Options.pdf) give a pretty good view of box spread opportunities on the NSE.
In this post, I will attempt to analyze such opportunities with the goal of earning returns in excess of a bank deposit (say 8.0%).
Load Data
Model-Kite-RAM-Box-Spread-Analysis.R
loads the data in the format needed for analysis.