Conversion Reverse Arbitrage Strategy

A reverse conversion, also called a reversal, shorts the stock, buys a call and sells a put at the same strike and expiration, pinning the outcome to the strike so what remains is the pricing gap between the synthetic and the shares.

Both options are quoted from bid and ask and the stock leg is priced from last and previous close, then the locked result is computed before borrow cost and interest. Those carrying costs usually decide whether the gap is real, so they are entered as explicit inputs rather than ignored.