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You may have already seen it, but Charles Cottle provides a good explanation of the structure of 123 ( SkipStrike ) Flies and other similar configurations in the chapter in his book on WingSpreads

Sounds like you sold an ITM call vertical ( bought OTM put vertical ) to convert position to BWB ... screenshots always useful to look at if you have them

Bob ... I presume that if John Hull states that "Put-Call parity does not hold for American Options" you now accept this is the case, even if you don't necessarily understand why ...

The possibility of early exercise ... but probably beyond the scope of this thread ... it would have been a much more interesting discussion to explore this issue and it's effect on option prices before the thread was hi-jacked by the put-call vigilantes who insisted put-call parity holds for...

Nope, didn't miss this at all ... have a look at my post #37 above where I said Put-Call parity for American Style Options does not hold but there is a chain of inequalities ( the boundaries you refer to )

We can agree to disagree whether put-call parity holds for American Options ... but I rest my case with an extract from John Hull's "Options Futures and Other Derivatives" #1 Put-Call parity only holds for European Options #2 Put-Call parity does not hold for American Options

Bob You are confusing non-arbitrage with put-call pariy. We agree that markets are efficiently priced and there are few ( if any ) arbitrage opportunities arising from option mis-pricing. Just put your math where your mouth is ... should be simple for a man with your resources to show that...

Bob Glad to see you are back in this discussion ... The point of using an option model was to provide a simple illustration the fact that put-call parity doesn't necessarily hold for ITM options with American Style exercise and dividends before expiry Are you now saying that ... the model...

Why not just answer a simple question ... what is your p-c parity calculation for the example given ?

Spot Price $100 Dividend $10 $80 strike ... call price ... Euro Settlement $10.04 / American Settlement $20.00 ... put price ... Euro Settlement $0.04 / American Settlement $0.04 What is your p-c parity calculation for each Euro / Amer settlement ?

How exactly are my facts flawed ... I have provided the simplest of examples to illustrate the point that p-c parity does not necessarily hold for American Options. Why not provide me with your explanation of why you think it does hold using the example provided ...

Here we go again ... when Bob lost the argument about p-c parity ... he claimed he just wasn't interested in the debate any more If you think p-c parity always holds, then try to do what Bob/Guru refused to do ... and explain why it always holds when the following example clearly shows that it...

Probably better to compare both Raw Vega and some form of Time Weighted Vega if comparing strategies across different expiry dates ...

Guru ... the name itself is one of life's delicious ironies ... still believe that put-call parity always holds ... or like Bob ... just not interested in this debate anymore ?

Classy ...

Of course the prices are correct, just that put-call parity doesn't necessarily hold for American Style options. What other definition of put-call parity is there ?

Guru ( and Robert ) I presume you now accept that you were wrong to claim that put-call parity holds for American Style options that can be exercised / pay dividends before expiry. In order to illustrate with a simple worked example, I have used the CBOE IVolatility Option Calculator to...

We are discussing whether put-call parity holds for American Style ( early exercise ) options where the underlying pays a dividend before expiry. You presented the following formula ... in an effort to prove that put-call parity holds for American Style ( early exercise ) options where the...