Forget cost of carry in the synthetic, it doesnât feature here. The $ 3 arb is locked by buying the natural Put. You buy the stock for $...
Actually it wasnât me, but I agree the $ value. Not necessarily. Youâd still derive a forward value, and a cost of carry value. Put-Call...
I'm not referring to > one straddle. I'm referring to how a synthetic equivalent is priced; If you buy 100 shares and sell 2 calls (both ATM)...
Yep, else there'd be an arb. Agreed, and goodnight.
The break-even is $ 62.70, calculated thus; $ 75 + (76.30-75.00)/2 = $ 75.65 $ 75.65 â ($ 15.10 + $ 10.80)/2 = $ 62.70 ******* To...
No it doesn't. Run a practical example and you'll see it.
I agree the synthetic equivalent, but not his break-even. It's $ 62.70, see above. Not $ 64.20.
Actually need to add-in the difference between strike and underlying at the time of going long. Break-even is; $ 75+ (76.30-75.00)/2 = $...
But he didn't sell 2 Puts. He received a total premium of (15.10+10.80) $ 25.90, and because of his long position he is now net short 2 Puts....
and the downside loss starts at ($75 â ($15.10 + $ 10.80)/2) $ 62.05. Not $ 50.40. Keep them coming....
How about you two using the PM facility ? Then you can slag each other off 24/7 and nobody will give a sh!t. Cheers.
Unless you know what the future volatility will be, it is impossible to find undervalued options. Options are only undervalued in hindsight, not...
I had suspected as much, but wanted to check. ABS Vols = absolute ? Would a low vol environment necessarily favour a long correlation trade...
Reverse dispersion trade, partial index replication; Which stocks to include / exclude in the basket and why ? Where the index is...
Gentlemen, please ! Once again you seem to have taken offence when someone (this time Mysticman) points out what he thinks is an error in your...
Should be the same as DIA else an arb to be had (which won't last for long). How did you balance that against the component stocks, or was that a...
I thought the discount was a function of the value of early exercise. And if you can find an instrument with both Amercian & European style...
The vast majority of funds are long equity. Any hedge would involve buying protective Puts or selling covered calls or a combination of both....
Yep, Riskarb & MTE have it right. More discussion here; http://www.elitetrader.com/vb/showthread.php?s=&threadid=56688 Be careful you don't...
Why, what's up ? This is how I'd balance a short dispersion portfolio; feel free to rip it apart... Balanced by $Delta (Contracts Qty x...
Separate names with a comma.