synthetic-positions-put-call-parity

What problem does it solve?

This Skill automates the construction of synthetic options positions and performs rigorous put-call parity checks to identify potential mispricings and ensure hedge equivalence in options markets.

Core Features & Use Cases

• Synthetic Position Construction: Creates synthetic equivalents for options using underlying assets, calls, puts, and financing legs.
• Parity Diagnostics: Calculates and analyzes parity residuals, accounting for fees, dividends, and financing costs.
• Mispricing Detection: Identifies discrepancies between theoretical parity and market prices.
• Use Case: Use this skill to monitor a portfolio of options for any deviations from put-call parity, flagging potential arbitrage opportunities or hedging inefficiencies.

Quick Start

Run the synthetic positions put call parity diagnostics script using input.csv and save the output to diagnostics.json.