Arbitrage
Options arbitrage scanner - synthetic forwards and box spreads
Synthetic forwards locked at each strike and adjacent-strike box spreads, measured against the parity forward - from executable prices only.
- Structures
- Synthetic · Box
- Prices used
- Executable only
- Updates
- Every tick
| Strike | CE ask | PE bid | Buy F | Sell F |
|---|
Synthetic forwards
At any strike, buying the call at the ask and selling the put at the bid locks a long forward. The mirror - selling the call at the bid, buying the put at the ask - locks a short one. Every strike therefore quotes its own pair of forwards.
They should all agree. When one strike’s locked sell price is above another strike’s locked buy price, the two together are a spread that does not depend on where the market goes, and the pair is flagged.
Box spreads
A box across two adjacent strikes pays exactly the difference between them at expiry, whatever happens in between. So its cost today should be that difference, discounted.
The scanner prices the four legs at what you could actually transact and compares the result against the discounted value - a gap either way is arbitrage, and the direction tells you which side to take.
What it deliberately does not do
Conversions and reversals against the future are excluded. On this data the future paired with a symbol is not reliably the contract its options price off - at the August 2026 roll, CRUDEOIL’s future quoted 8271 while its own chain implied 8164. A futures-legged scan would have reported around 100 points of edge that did not exist.
Everything is quoted per unit of the underlying and before costs. Brokerage, exchange fees, taxes and the margin the structure ties up are yours to subtract, and on tight boxes they are usually the whole story.
Questions
- What is a synthetic forward?
- A long call plus a short put at the same strike, which together behave like being long the underlying at that strike. The price you lock is the strike plus the compounded difference between the two option prices.
- Does the scanner use mid prices?
- No. Legs are priced at the bid or ask you would actually hit. A mid-priced arbitrage is an arbitrage that vanishes the moment you try to execute it.
- Why are conversions against the future excluded?
- Because the future paired with a symbol in the feed is not always the contract the options settle against, and pricing across the two produces edge that is an artefact of the mismatch rather than a real opportunity.
- Are costs included?
- No - figures are per unit of the underlying and before brokerage, fees, taxes and margin. That is stated on the page itself, because on tight structures those costs are usually larger than the edge.
Related tools
Market data and analytics are provided for information and research. They are not investment advice and not an offer to buy or sell any security or contract.