Strike Arbitrage Options Strategy - (Using MarketXLS)
Published by MarketXLS Limited
About this tutorial
Template: https://marketxls.com/template/strike-arbitrage/ Book A Demo: https://marketxls.com/book-demo Website: https://marketxls.com/ Author: Mihir Vasani ------------------------------ Strike Arbitrage is an options arbitrage strategy that takes advantage of discrepancies in extrinsic value across 2 different strike prices on the same stock to make a risk-free profit. Strike arbitrage takes advantage of dramatic breaches in Put-Call Parity, resulting in large surges in the extrinsic value of stock options of certain strike prices. This situation occurs mainly in out-of-the-money options when sudden demand surges causes implied volatility to move temporarily out of proportion. To put it simply, when the price of out-of-the-money options is higher than in-the-money options, a possible Strike Arbitrage opportunity may arise.