Reversal Arbitrage

Definition:

A riskless arbitrage that involves selling the stock short, writing a put, and buying a call. The options have the same terms.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Quality option

Gives the seller choice of deliverables in Treasury bond and Treasury note futures contracts. Also called the swap option. Related: Cheapest to deliver issue.

Subscribe to the Term of the Day via email Get the Term of the Day in your inbox!


Create your free portfolio