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Politics : Ask Michael Burke
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To: Knighty Tin who wrote (82197)7/9/2000 4:39:00 AM
From: Richard Gibbons  Read Replies (2) of 132070
 
Hi Michael,

In GSTRF, the implied volatility for the puts is about 30% higher than for the calls, such that with the stock at 7 9/16, the Jan 2002 calls are 4 - 4 3/8, and the puts are 4 1/4 - 4 5/8.

To me, this is begging for short stock, short put, long call position, to just collect the short rebate on the net credit for a year and a half. Unfortunately, my broker doesn't pay a rebate when I short. Is there any other way to arbitrage this sort of volatility skew that doesn't require earning a short rebate?

Richard
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