The long future / long OTM put combination is the equivalent to long ITM call The 'intrinsic' is the same for both strategies ... if you don't...
Andy Why bother with the combo long future / long put option ... when you could just buy the call ( at same strike / expiry as Put ) as...
Baozi ... might be interesting for you to compare #1 / your 123 Fly ... 275-285-290 against #2 / 121 Fly ... 275-285-290 #3 / 1111 Condor...
There is some real benefit in dissecting your positions into embedded flies-verticals-outrights ... particularly if you are intending to 'adjust'...
You may have already seen it, but Charles Cottle provides a good explanation of the structure of 123 ( SkipStrike ) Flies and other similar...
Sounds like you sold an ITM call vertical ( bought OTM put vertical ) to convert position to BWB ... screenshots always useful to look at if you...
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Bob ... I presume that if John Hull states that "Put-Call parity does not hold for American Options" you now accept this is the case, even if you...
The possibility of early exercise ... but probably beyond the scope of this thread ... it would have been a much more interesting discussion to...
Nope, didn't miss this at all ... have a look at my post #37 above where I said Put-Call parity for American Style Options does not hold but there...
We can agree to disagree whether put-call parity holds for American Options ... but I rest my case with an extract from John Hull's "Options...
Bob You are confusing non-arbitrage with put-call pariy. We agree that markets are efficiently priced and there are few ( if any ) arbitrage...
Bob Glad to see you are back in this discussion ... The point of using an option model was to provide a simple illustration the fact that...
Why not just answer a simple question ... what is your p-c parity calculation for the example given ?
Spot Price $100 Dividend $10 $80 strike ... call price ... Euro Settlement $10.04 / American Settlement $20.00 ... put price ... Euro Settlement...
How exactly are my facts flawed ... I have provided the simplest of examples to illustrate the point that p-c parity does not necessarily hold...
Here we go again ... when Bob lost the argument about p-c parity ... he claimed he just wasn't interested in the debate any more If you think p-c...
Probably better to compare both Raw Vega and some form of Time Weighted Vega if comparing strategies across different expiry dates ...
Guru ... the name itself is one of life's delicious ironies ... still believe that put-call parity always holds ... or like Bob ... just not...
Classy ...
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