Has anyone realized the options on the KOSPI is mispriced? (at least i think so) The sep futures is trading at 160.00 and the put options is 5.55/5.60 and the call is 4.90/4.95. What's going on here? With the liqudity of that market, the price cant be mispriced. It really sounds too good to be true especially with all kinds of autospreader program going on nowadays. Is it because of interest rate (high leverage required by the exchange cause buying the call and selling the futures too expensive) or just people too fear to the downside causing put volatility to shoot up?
No, same strike P/C trade at =volty. What month are the options, Sep? K200 pays a dividend. http://www.kse.or.kr/webeng/tong/st/tugd/tn_st_tugd_cl_en.jsp Yup, 1.78% yearly.
Looks to me like you're comparing July options to Sep Futures. You can't do that (different forward values). Also, keep in mind the serial options expire into cash and the final print on expiration can move significantly away from where the futures are trading. Thus, what may look like a good trade doesn't necessarily mean you can lock in a profit.