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Arbitrage Scanner Examples

Strike Arbitrage

A scan done on 3/28/02 shows a Strike arbitrage between QQQ Jan-03
14 and 16 calls for a 2.00 arb credit.

Calender Arbitrage

On another scan, we picked up two calender spread arbitrage opportunities (hilighted in green) for Lucent on 3/16/2002.

The first one is to Sell a Oct-02  20put for 14.90bid and Buy a Jan-03  20put for 14.80ask locking in a .10 arb credit.

 

The second one is to Sell a Oct-02  25put for 19.90bid and Buy a Jan-03  25put for 19.80ask locking in a .10 arb credit.

Synthetic Spread Arbitrage

On 3/28/02, we did a scan for msft and came up with the following synthetic spread arbitrages.  A synthetic spread Arb is simply a (buy call + sell put + buy underlying) which is greater than zero.  The call and put have to be the same strike price and month.  As you can see, the selected spread generates a net credit of .59 

It consists of selling a Jan-03 70call for 3.5bid + buying a Jan-03 70put for 12.6ask + buying MSFT for 60.31
At expiration, you stand to make $59 at any price.

 

Copyright 2002  Star Research, Inc.
Neither Star Research, Inc. nor Optionstar software make trading recommendations. None of the charts
or information contained in these pages should be construed as a solicitation to trade any of these strategies.
In addition, none of the prices contained in the graphs are current. All data is provided solely as theoretical
examples for informational purposes. Consult a qualified options broker before assuming a position you are
unfamiliar with. There is risk of loss in all trading.