SPY put/call imparity - arbitrage or what?

Normally a difference in price between a put and a call for the same strike should be the the difference between the spot price and the strike:

C-P = Strike-Spot

However for Mar'13 expiration I see the following prices for SPY options at 146 strike:

Put: 1.49/1.50
Call: 5.30/5.33
Spot: 150.01

That makes put's time value more than that of a call by about .20

Is this an arbitrage opportunity or am I missing something?

 

Here is a possible box spread (attached)

It can be sold for 5.17 while its intrinsic value is 5.

 

It has to do with dividends and early exercisability. If you are well below 151 at march expiry, you will "lose" the dividend on the 146 (that you short forward on) and "pay" the dividend on the 151 you are long forward on.

 

I think the next SPY dividend is on the 15th.

 

The only two "arbs" i've ever seen in boxes.

When Citi was going through the potential convertible preferred talk in 2009 boxes traded extremely rich on risk of borrow.

You can arb boxes if you fund better than libor. But if you fund better than libor there are probably a million more profitable things to do.

 

What about this particular box? 17c is 3.4% of $5. There are ~45 days till March expiration.
Is this a true risk-free rate or are there some hidden risks?

Correction: I did not see the dividends posts above.
With that in mind, when can an early exercise happen and under what conditions?

 

Dividend risk... i mentiond it above.

 

You are missing something. Put on a position and you will find out quickly .

 

There are dozens of threads on the topic. Search.

 

If you could fund better then LIBOR in 09, you did not need to do boxes Sent you a PM.