Case 2, AMC 3-4 long put 3應該OTM, 4 put ITM, 應該係變左long AMC.
第一次真係見option 有得做arbitrage
No holding Put call parity.
拋磚分析:
Root cause 應該係put side IV 太高
Reverse Conversion 高過4蚊
Btw IB 個call IV> put IV. 唔知咩事
可唔係因為AMC short interest 太高, markets short 唔到,所以存在arbitrage limit.