Which of the following is a Wall Street derivative arbitrageur unlikely to do?

Multiple Choice

• A Wall Street derivatives arbitrageur might hedge a long call option position with a short position in the underlying stock to create a delta-neutral position.

• A Wall Street derivatives arbitrageur might short a put option and also short the underlying stock against it.

• A Wall Street derivatives arbitrageur might see that an ETF is trading at a big premium to fair value, program buy most of the underlying shares, concurrently short sell the ETF, after the close send the underlying shares to the ETF market-maker for conversion of those shares into the ETF, and deliver the new ETF shares for the short sale.

• A Wall Street derivatives arbitrageur might buy a convertible bond at 200% of par and short the underlying stock aganst it.

• A Wall Street derivatives arbitrageur might sell the S&P 500 futures and buy 450 of the 500 underlying stocks.