What should the margin be with portfolio margin? Should I be pleased with tying up 10 percent or so of the underlying? mean, really, what is the risk I need to post margin for? How can I blow up? What if I used ES/MES and SPAN?
Risk-less collars and margin
- Thread starter SoCalOptionsWriter
- Start date
XYZ bought at 10 and simultaneously selling a 10 call and using the premium for buying a 10 put, all the same expiration.
It's riskless, but you cannot make anything. Stress it in your front end.
Short call + put = synthetic long at $10-strike. Price should equal the forward to exp.
Long shares at 10.
Should be less than $70 under PM to carry the arb. There are no greeks (outside of some rho).
Robert Morse
Sponsor
This is called a Conversion. The short side is called a Reversal.
I had so many more questions, but was hoping someone else would ask. Riskless collar? 10%? SPAN/PMA? I have never hear of a Riskless collar,
I had so many more questions, but was hoping someone else would ask. Riskless collar? 10%? SPAN/PMA? I have never hear of a Riskless collar,
Robert Morse
Sponsor
His example was long stock, long put and short calls. Like we both said, that is the conversion.