conversion-reversal-box-arbitrage

What problem does it solve?

This Skill addresses the complexity of identifying and executing profitable arbitrage opportunities within options markets, specifically focusing on conversion, reversal, and box strategies. It automates the diagnostics and risk controls necessary for low-latency execution.

Core Features & Use Cases

• Arbitrage Identification: Computes conversion, reversal, and box values, accounting for fees and borrow costs.
• Risk Management: Implements stress tests for edge durability and enforces strict execution controls.
• Use Case: When tasked with finding mispricings in options financing, use this skill to analyze box-spread implied rates and monitor structure consistency for calls, puts, and underlier legs.

Quick Start

Run the conversion reversal box arbitrage diagnostics script with the input file input.csv and save the output to diagnostics.json.