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training_data/curated/text/8e89e4f85679f6584da943f0fbd8dc74b7d65465baab46e03c250c679d626117.txt

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+be exercised? Will the puts get assigned? If the puts are assigned, the
+traders are left with no short stock and should let the calls expire without
+exercising so as not to have a long delta position after expiration. If the puts
+are not assigned, they should exercise the calls to get delta flat. It’s also
+possible that only some of the puts will be assigned.
+Because they don’t know how many, if any, of the puts will be assigned,
+the market makers have pin risk. To avoid pin risk, market makers try to
+eliminate their position if they have conversions or reversals close to
+expiration.
+Boxes and Jelly Rolls
+There are two other uses of synthetic stock positions that form conventional
+strategies: boxes and rolls.
+Boxes
+When long synthetic stock is combined with short synthetic stock on the
+same underlying within the same expiration cycle but with a different strike
+price, the resulting position is known as a box. With a box, a trader is
+synthetically both long and short the stock. The two positions, for all intents
+and purposes, offset each other directionally. The risk of stock-price
+movement is almost entirely avoided. A study of the greeks shows that the
+delta is close to zero. Gamma, theta, vega, and rho are also negligible.
+Here’s an example of a 60–70 box for April options:
+Short 1 April 60 call
+Long 1 April 60 put
+Long 1 April 70 call
+Short 1 April 70 put
+In this example, the trader is synthetically short the 60-strike and, at the
+same time, synthetically long the 70-strike. Exhibit 6.9 shows the greeks.
+EXHIBIT 6.9 Box greeks.