28 lines
1.1 KiB
Plaintext
28 lines
1.1 KiB
Plaintext
Appendix C: Put-Call Parity • 293
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Strike Call
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Put
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(a)
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Interest2
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(b)
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Put + Interest
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(a + b) Dividend P + I − D Notes
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18 19.55 0.13 0.03 0.16 0.24 (0.08) P + I < D,
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arbitrage
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20 17.60 0.15 0.03 0.18 0.24 (0.06) P + I < D,
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arbitrage
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23 14.65 0.28 0.03 0.31 0.24 0.07 No arbitrage
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25 12.75 0.39 0.04 0.43 0.24 0.19 No arbitrage
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28 10.00 0.69 0.04 0.73 0.24 0.49 No arbitrage
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30 8.30 1.00 0.04 1.04 0.24 0.80 No arbitrage
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32 6.70 1.43 0.05 1.48 0.24 1.24 No arbitrage
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35 4.70 2.37 0.05 2.42 0.24 2.18 No arbitrage
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37 3.55 3.25 0.05 3.30 0.24 3.06 No arbitrage
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40 2.22 4.90 0.06 4.96 0.24 4.72 No arbitrage
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42 1.55 6.25 0.06 6.31 0.24 6.07 No arbitrage
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45 0.87 8.65 0.06 8.71 0.24 8.47 No arbitrage
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50 0.31 13.05 0.07 13.12 0.24 12.88 No arbitrage
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There are only two strikes that might be arbitraged for the
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dividends—the two furthest ITM call options. In order to realize the
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arbitrage opportunity, you would wait until the day before the ex-dividend
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date, exercise the stock option, receive the dividend, and, if you didn’t want
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to keep holding the stock, sell it and realize the profit. |