Synthetic futures and Futures

[moksha99]

Is it possible to demo trade the following
Or say chart the P/L potential of the following
1) GO long or short futures position
2) At the same time Go opposite by using Synthetic by using Futures options

ESM11 1315.25 / 1315.5

Buy 1315 June call 22.00/23.00
Sell 1315 June Put 22.5/23.5

 

[Rhody Trader]

There's nothing really to chart. Your gain/loss is locked in as soon as you do the trades. If you short the ESM11 at 1315.25 and do the synthetic long at 1315 your position value is going to be 1315.25-1315.00 - 23.0 (long call) - 22.5 (short put) = -.25, less transaction costs.

There may be some small variation through the course of the hold do to minor deviations in time value, etc., but the would not be expected to be large enough to put you in the money.

 

[moksha99]

There's nothing really to chart. Your gain/loss is locked in as soon as you do the trades. If you short the ESM11 at 1315.25 and do the synthetic long at 1315 your position value is going to be 1315.25-1315.00 - 23.0 (long call) - 22.5 (short put) = -.25, less transaction costs.

There may be some small variation through the course of the hold do to minor deviations in time value, etc., but the would not be expected to be large enough to put you in the money.

I guess what I am trying to work out is
IS there any arbitrage opportunity like this?

 

[etem_tezcan]

i put your values i my option trading excel spreadsheet. options profit and futures profit track each other when underlying price changes. if risk free rate increases, options perform better, if dividend yield increases, options perform worse.

 

[Rhody Trader]

I guess what I am trying to work out is
IS there any arbitrage opportunity like this?

You'd need to be a market maker so the spreads are working against you and your transaction costs are very low.

 

[moksha99]

You'd need to be a market maker so the spreads are working against you and your transaction costs are very low.

Could you please explain with an example

 

[Rhody Trader]

Calculate the profit from your above example assuming you bought at the bid and sold at the offer (as you would being a market maker) rather than the other way around (as you do otherwise).