That's partly true... when there is a dividend or other corporate action involved, all is not so straight forward. I've seen plenty of times when there were mistakes in prices quoted... ones that could clearly be arbitraged.
Regarding my previous post... there is something you capture... It's a bit of a coincidence that put call parity holds in this case. Spot 93.11 Interest 0.22 Call + Strike - Spot - Interest = Put 5.80 + 90 - 93.11 - 0.22 = 2.47 But we're actually comparing to different animals... a 55 day call with a 58 day put, both with different underlyings. Call based on cum-div spot. Put based on Ex-div spot, since (when all stays equal) that call will be exercise before dividend... but the put will still have a few days left... I would say that put after dividend with 3 days to go will have about 10 cents of premium... so if OP would do this trade, he would make 10 cents. If the call isn't exercised he would make 42 cents. But that's unlikely. The reason I look at put call parity without the dividend, is bc that call will be exercised. So... you could say that the call is overpriced about 10 cents. But, that would be because a bit of extra premium is added. That call has basically the option to exercise before div, or after div. And the fact that it can swing to not being exercised due to the fact that say the stock drops 3% in the next 2 months... that's gives an extra incentive to buy and hedge this call. Hence the extra premium. It's a gamma thing... since when you exercise it's delta 100, if you don't you have say delta 70. If the pivot is over 10 cents move in the stock... that's a decent gamma. But in the end... at those values OP set out... there's no loss possibility, but only gain. So... A few scenarios: - you get called on the stock very soon... this would be best case, since you get the full extrinsic value of the call (currently 2.69) - you get called just before dividend... you get the +/-10 cents leftover in the put, if you sell this. - stock drops to say 90 or below... you get the dividend of 42 cents. - stock rallies up... you're left with no gain or loss. Short call will be assigned prior to dividend. Put is worthless at that time. If you're not assigned, you get the dividend though.
They were selling an ATM option with three days to run and a stock on a good run higher for a dime. stock was > 12 < 18 . That option was worth 1.00 the next morning and 2.00 the next day. Yep , sometimes they get it wrong. Not often Should say, they get it wrong all the time, but not so YOU can tell in advance,
Soes, this thread is about a synthetic via options hedged with the stock... not just a short naked call....