The "box spread": - European-style options: the pay-off is the risk-free interest rate - American-style options: the pay-off is a little better due to the risk of assignment
How do you get a "box spread" fill ? I have tried this for several days and it never seem to get hit.
You'll need to offer the MMer a +expectancy > the risk-free rate to see a fill. Conversions are similarly risk-averse, but involve a 3-way instead of the 4-way. It's a very difficult market to game -- there are fully automated systems that execute these w/o any human intervention with direct lines to the exchange. There are some limited opportunities in hard to borrow short-stock reversals and an occasional mispriced arb due to merger complexities. By and large it's an academic exercise.
This was posted on another thread: <table> <td vAlign="top" noWrap width="150" bgColor="#FFFFCC"><a name="post1063762"></a><a name="newpost"></a><font class="vb"><b><a href="http://www.elitetrader.com/vb/member.php?s=&action=getinfo&userid=44598" target="_blank">WD40</a></b></font><br> <font class="t2"> </font><br> <p><font class="t2">Registered: Dec 2005<br> <a href="http://www.elitetrader.com/vb/search.php?s=&action=finduser&userid=44598">Posts: 121</a> <p> </p> </font><!-- --> </td> <td vAlign="top" width="100%" bgColor="#FFFFCC" colSpan="2"><font class="t2"><img alt="New Post" src="http://www.elitetrader.com/vb/i/posticonnew.gif" border="0" width="10" height="11"> 05-07-06 <font color="#000000">07:27 PM</font></font><br> <p><font class="vb">maybe this can help<br> <a href="http://www.traderslibrary.com/tradesecrets/manuals/3342047.pdf" target="_blank">http://www.traderslibrary.com/trade...als/3342047.pdf</a></font></p> </td> </table>