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Could you please explain me whether there is an arbitrage opportunity in this situation (added below)?

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  • $\begingroup$ I advise you play around with various options of shorting and buying the asset and the option and see what happens in the two scenario's. $\endgroup$ – Bob Jansen Dec 18 '20 at 15:43
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On an expiration basis, your put protected long underlying makes money above $80 and you have a locked in loss of \$5 below \$75.

Note that long underlying plus long put is synthetically equal to a long call. Pretending no carry cost or dividend, your position is the same as buying the \$75 call for \$5 and the P&L is the same as stated above.

There's no arbitrage.

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