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I would like to be sure of my correct understanding of some basic principles.

I have following example, data from Euronext:

1 Month maturity, future and options are same day expiry. Strike 5400.

Future price: 5407. Put: 28.8 Call: 20.1

We construct following portfolio: Long Call, Short Put, Short Future. This yields zero underlying exposure, and $+28.8-20.1=+8.7$ index points in cash equivalent. Now whatever the final spot is at maturity date, I am effectively gathering 15.2 index points:

Final spot 5400:+7 on Futures + 8.7 in cash

Final spot at 5447. Call +47, +8.7 in cash, -40 on Futures. etc...

Am I missing something? In school was told this shouldn't happen in real life

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    $\begingroup$ There must be something wrong with your data. Please specify contract details, futures codes , etc so we can check ? $\endgroup$
    – dm63
    May 21, 2017 at 2:42
  • $\begingroup$ Yup, that's right. derivatives.euronext.com/fr/products/index-options/PXA-DPAR Gives delayed prices, but I thought if I take tham after closing, it should be up-to date. This is not the case, I just checked with Interactive brokers $\endgroup$
    – dgan
    May 21, 2017 at 20:19
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    $\begingroup$ I don't see any day where the CAC futures closed at 5407 - the June 17 futures never closed above 5357 - the May futures closed near those levels a few days from expiry - but you have a one month expiry. $\endgroup$
    – FinanceGuyThatCantCode
    May 23, 2017 at 19:20

2 Answers 2

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There are usually a couple of problems with reconciling futures / options data from sources like Euronext

  1. Real time / Delayed Data is not always asynchronous ....

  2. EOD Options Data ... Options usually stop trading before Futures ... therefore not comparing apples with apples

... assuming no Cost of Carry .... then the implied Forward for any expiry can be estimated by Strike + Call Premium - Put Premium ... better to use ATM strike

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Impied future = strike + call - put

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  • $\begingroup$ Could you elaborate? $\endgroup$
    – Bob Jansen ♦
    May 24, 2017 at 5:09

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