Quote from opt789:
I did not mean an experienced professional option trader with a firm that gives good interest rates couldn't do it; I was referring to him, an assumed average retail trader with poor interest rates. If he doesn't even know what a conversion is, it is unlikely he is prepared to successfully lobby his clearing firm to assume the risk of overnight forcible buy-ins of hard to borrow stock. In other words, you're right, but Joe Blow retail isn't going to pull that off. How is your new hedge fund going?
A retail trader can do it too but you need software to scan for the arbitrages and place the order automatically. The opportunities appear once in a blue moon.