Sell MCDT Oct 50 calls @ $5.80
Buy MCDTA Oct 50 calls @ 3.60
Looks like you make no more than the difference, (2.20) best case. Worst case, MCDT is something like 60 at expiry and MCDTA is 50, and you lose 4.20 on the MCDT short call and 3.60 on the MCDTA long.
I've looked over the possibilities and they all involve more risk than you'd think. And no, by Oct 2000 there is no particular reason for this spread to close. If it was that cut and dried, no one would work for a living, they'd all mortgage their homes, short MCDT via a synthetic short , buy MCDTA, and cash out for the big bucks in OCT.
This whole spread thing smelled from the beginning. I posted about that a long time ago. It's being gamed for the benefit of the MM's and whoever else runs the show here. the McData folks seem to have no clue , as I've called them about it.
Think about it, there are folks that put on the spread at 3 dollars, thought it was candy, and now they are sitting on a 5 point LOSS. Not my idea of riskless arbitrage.
I also think that as the price rises on this pair, the spread may also widen. Just another gotcha waiting in the wings. |
