Question from McMillan's book

Discussion in 'Options' started by luckyputanski, Mar 16, 2013.

  1. Page 264 in 5th edition sarts with a table about no cost collars. Allegedly, at 30% IV at-the-money put cost about the same as OTM call 30% away from underlying. For higher IV, OTM distance goes even further. Is it even possible? Seems like free money for me, unless I'm missing something? Which options currently offer something like this?

    Thanks
     
  2. Anybody?
     
  3. kivd

    kivd

    i have the fourth edition so I don't see what you are looking at,

    but obviously, this isn't true, the arbitragers would take care of it very quickly
     
  4. negative dividend?