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 | |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
The Audit Value Factor Making Managements Head Turn Internal Audit And IT Audit Series
Authors: Daniel Samson
1st Edition
1138198129, 978-1138198128
