Question
Q1. Given the following SPY options prices, could you find any arbitrage opportunities if there is no dividend? If so, please construct the arbitrage procedure
Q1. Given the following SPY options prices, could you find any arbitrage opportunities if there is no dividend? If so, please construct the arbitrage procedure and calculate the arbitrage profits.
| Time to maturity: | 3 months | ||
| 3-month interest rate: | 0.10% | ||
| Strike | Bid | Ask | |
| Call | 190 | 6 | 6.1 |
| put | 190 | 6.08 | 6.21 |
| SPY spot price: | 190.52 | 190.55 |
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Public Finance Administration
Authors: B. J. Reed, John W. Swain
2nd Edition
0803974051, 978-0803974050
