Conversion (Arbitrage)
Professional arbitrage exploiting put-call parity violations.
Master
Market Outlook
market-neutral
Family
arbitrage
Capital Req
very-high
Risk Profile
neutral
Strategy Overview
Key characteristics and when to use
Structure
Buy Stock + Buy Put + Sell Call (Same Strike)
Greek Profile
Delta neutral, theta neutral, vega neutral
Characteristics
ArbitrageMarket-NeutralProfessionalParity
Profit & Loss Formulas
Mathematical breakdown
Max Profit
Locked-in arbitrage profit
Max Loss
None (if true arbitrage)
Breakeven
No breakeven (arbitrage strategy)