Atticus,
You did not take time to read me, I wrote" I am not talking of arb nor collar" that's may be not crystal clear english as english is not my mother tong also you are too experienced to beleive you may have missed or not know something
Anyway I gave up posting in this forum long ago, too many smart guys taking others for idiots and others ideas for BS, yesterday was a mistake, I prefer to read it occasionaly and make-up my mind myself.
So you found a free lunch at 17% per 2 weeks exploitable since long, dont you call this a free lunch, off course not they dont exist.
You did not take time to read me, I wrote" I am not talking of arb nor collar" that's may be not crystal clear english as english is not my mother tong also you are too experienced to beleive you may have missed or not know something
Anyway I gave up posting in this forum long ago, too many smart guys taking others for idiots and others ideas for BS, yesterday was a mistake, I prefer to read it occasionaly and make-up my mind myself.
So you found a free lunch at 17% per 2 weeks exploitable since long, dont you call this a free lunch, off course not they dont exist.
Quote from atticus:
I find arbs all the time. Many are not worth the effort due to ROI among other factors. Conversions/reversals are the most basic of vertical arbs, so I am sure it seems reasonable to you that there wouldn't be such obvious low-hanging fruit. The swap embedded in FX options is no different that the implied forward embedded in equity call options. Case in point; price the GOOG Jan 08 atm call and put. Can we arb the call/put premium?
I become irritated when we start the discussion with arbitrage and it vectors into talk of selling gamma to recover swaps. Don't deal in GBPJPY if your intent is to somehow isolate the swap. The result will simply be a greater loss of edge due to vol of vol. Stick with the swap in EURUSD if you want to play with it as a hobbyist. Trading arbs at a small loss is a great learning tool.
There is a place for marketable-arbs in liquid assets; conversions traded under JBO-leverage, boxes into a STIR prediction, etc.
FWIW, I have an arb paying 17% on 10-14 day durations. It's been exploitable for weeks -- so I am not intolerant in this regard.