All Questions
Tagged with option-strategies arbitrage
8
questions
2
votes
1
answer
688
views
Call Option Overvalued and put-call parity [closed]
I have a question regarding if a Call option is overvalued compared to the call price and how you can benefit from the Arbitrage opportunity.
My thoughts are as follows:
Step 1: Short the call ...
- 21
2
votes
0
answers
302
views
Arbitrage from ATM option trading?
So I was testing out a collar options strategy (long put, short call, and long shares of the underlying stock) in a backtest for a school finance project, and the profits & losses are given by the ...
1
vote
1
answer
867
views
Arbitrage strategies in Rubinstein's binomial tree one-step
Suppose that the current stock price is $S_0=20$ and the call option price with no arbitrage is $c=0.633$. Knowing that the expiry stock price can be $S_T=22$ with call option price $1$ or $S_T=18$ ...
2
votes
0
answers
144
views
Risks Associated with Option Arbitrage Portfolio
If my math is correct, if I construct the following portfolio of options the worst that I can do regardless of what the underlying does is profit $1.74 (less commissions).
Is this correct? Are there ...
- 121
1
vote
2
answers
1k
views
Option arbitrage with dividends?
If a stock pays a discrete dividend, the stock price falls by the amount of the dividend. There is no arbitrage opportunity from this predictable jump, because the investors receive the same amount of ...
- 5,805
1
vote
1
answer
761
views
Risk-free investment strategy for european call and put option
I have some trouble solving the following question:
We have an european call and put option (with the same maturity date $T$ en strike $E=10$). The stock price now is $S=11$ and we use a continuous ...
- 35
8
votes
1
answer
14k
views
Call option arbitrage opportunity
I am having trouble wrapping my head around some text provided to us by our lecturer (unfortunately he is currently unavailable). If we let $c$ be the price of a European call option, $S_0$ the ...
- 91
10
votes
1
answer
2k
views
What is the average Sharpe ratio of volatility arbitrage funds?
Where can I get data on performance metrics for volatility arbitrage funds? I am trying to compare the Sharpe ratio of my strategy to those of the major players.
- 101