An option conversion is the action of trading the real long position against the synthetic short position. An option reversal is taking the opposite trade (real short, synth long). The C/R is often used to test the "robustness" of option pricing models. Li (2009) uses put/call parity to check US- and Canadian-listed options markets. A decade earlier, Hajyehia (1999) used the method on Israeli's currency option market.
This is the conversion/reversal market for the $96 call on the October 2011 NYMEX WTI Crude Oil futures contract. Options markets are most active during hours the floor is simultaneously open.
This is the conversion/reversal market for the $96 call on the October 2011 NYMEX WTI Crude Oil futures contract. Options markets are most active during hours the floor is simultaneously open.
July 21 - 22, 2011
July 21, 2011
July 22, 2011
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