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i guess it makes sense in theory. however one could only play 10k of MST in order to be fully covered. {nm}

Posted by: Oleg Max (a.k.a Oleg_Max) on Feb 03, 09:38 in response to SPrasad2's post Look at it as two different baskets of securities

Using options for arbitrage trading: put-call parity SPrasad2 Feb 03, 08:06

Wow! That post just gave me a headache. {nm} tonyj1 Feb 03, 08:18

By the way the multiplyer for a non-holiday weekend 2.7 not 2.8 {nm} tonyj1 Feb 03, 08:19

Ha! Fair point. Is kind of complicated. And thanks for catching my 2.7 error. {nm} SPrasad2 Feb 03, 08:30

You're assuming there'll be efficiency between the call price and the put price before they halt on Friday, and that's not guaranteed. {nm} RogerMore Feb 03, 08:48

On the contrary--I'm assuming HSX isn't efficient. The adjustment forces efficiency--and profit exists between those two points. {nm} SPrasad2 Feb 03, 08:53

But how do you know which is over-priced and which is under-priced before the adjust? Because if you miscalculate the OW and RogerMore Feb 03, 09:04

Look at it as two different baskets of securities SPrasad2 Feb 03, 09:28

i guess it makes sense in theory. however one could only play 10k of MST in order to be fully covered. Oleg Max Feb 03, 09:38

It would be less than that, because you have to divide the 10k by the multiplier to really hedge it out... {nm} SPrasad2 Feb 03, 09:43

if that's the case, then we are talking about 3,704 shares in order to have riskless profit? & it involves 3 trades? too much math & effort. Oleg Max Feb 03, 09:47

way too complicated for this game ndmaster Feb 03, 09:45

It ain't my fault I had too much time on my hands this morning! SPrasad2 Feb 03, 10:50

Well!, This is interesting however just by looking at what you wrote seems that is based in some assumptions that may no be there. Guillo Feb 03, 10:22

None of that matters. This strategy is bulletproof. The only problem is that you just can {nm} lukesed MGYLL option was for bes Feb 03, 13:18

...can't invest very much money in it. It does not in any way rely on a rational market. You just have to sell the MST right after adjust. {nm} lukesed Feb 03, 13:20





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