option arbitrage....examples ?

Discussion in 'Options' started by jjk2, Jun 30, 2008.

  1. jjk2


    is there a book on this ? perhaps your own insights? is it very profitable ?
  2. rosy2


    basic arbitrage is buying a 100 strike call for $8 and shorting the underlying when the underlying is trading at $110

    profitable arbitrage +15 years ago was combos ...buying underlying and selling the synthetics. Or buying anyting and selling synthetics (and vice versa)

    none of this is profitable anymore.
  3. Rocko1


    arbitrage opportunities are meant to be discovered on your own, as they become obsolete if exploited by many.

    Nobody in their right mind would share it with you if they're arb'ing in any particular manner.
  4. jjk2


    i did not ask for a specific technique but merely at some ballpark where most ppl would find opportunities.
  5. I would think that the computerized market making firms removed the option arbitrage opportunities long ago.

    Maybe there are some arbitrage opportunities in the exotic options.
  6. MTE


    The basic arbitrage (put-call parity and etc) is absolete for a retail off-floor trader.
  7. cvds16


  8. how about finding mispricings / discrepancies in IV?

    It makes sense that different valuation methods and tools would result in different perceptions regarding the extrinsic value of certain options.
  9. MTE


    And how do you define IV mispricings/discrepancies?

    There's no single correct IV value, so how would you determine that a particular IV number is "wrong"?
  10. cvds16


    or in other words ... what about skew ... or are you saying Black and Scholes is correct ? don't think so ....
    #10     Jul 1, 2008