Question
Given the following SPY options prices, could you find any arbitrage opportunities? If so, please construct the arbitrage procedure and calculate the arbitrage profits. (Assume
Given the following SPY options prices, could you find any arbitrage opportunities? If so, please construct the arbitrage procedure and calculate the arbitrage profits. (Assume SPY does not have any dividends during the period and interest rate is not compounded.)
Time to maturity: 3 months
3-month interest rate: Bid: 0.50%Ask:0.75%
Strike Bid Ask
Call 191 3.07 3.09
put 191 3.43 3.45
SPY spot price: 190.56 190.57
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
