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It would be less than that, because you have to divide the 10k by the multiplier to really hedge it out... {nm}
Posted by: SPrasad2 on Feb 03, 09:43 in response to Oleg Max's post i guess it makes sense in theory. however one could only...
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. {nm} 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... 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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