What is Synthetic Stock Arbitrage?
Synthetic stock arbitrage is a cross-asset trading strategy that exploits mispricings between the options market and the underlying stock market. A synthetic stock position is created by simultaneously buying a call option and selling a put option (synthetic long) or selling a call and buying a put (synthetic short) at the same strike price and expiration date. According to put-call parity, the cost of a synthetic position should equal the underlying stock price minus the present value of the strike price. When this relationship breaks down, an arbitrage opportunity exists.
Our Synthetic Stock Arbitrage Finder automates this analysis by scanning real-time options chain data across multiple tickers, comparing the cost of constructing synthetic positions with actual stock prices, and flagging any discrepancies that exceed a user-defined threshold after accounting for bid-ask spreads and transaction costs.
Why Use Our Arbitrage Finder?
Put-Call Parity Scanning
Automatically compare synthetic long and short positions against actual stock prices across hundreds of strike/expiry combinations to find mispricings.
Bid-Ask Spread Awareness
Every opportunity is evaluated using actual bid and ask prices, not mid-prices, ensuring that flagged arbitrage is executable after accounting for real-world trading costs.
Greeks & IV Data
View Delta, Theta, implied volatility, and other Greeks for each option leg to assess risk and understand why the mispricing exists.
Multi-Ticker Scanning
Scan multiple stocks and ETFs simultaneously with preset watchlists for mega-cap tech, popular ETFs, high-volume names, and more.
Configurable Thresholds
Set minimum spread, maximum days to expiry, strike range, and minimum volume filters to focus on the most actionable opportunities.
Long & Short Signals
Separately identify synthetic long arbitrage (stock overpriced vs. synthetic) and synthetic short arbitrage (stock underpriced vs. synthetic) with clear signal labels.
How to Use This Tool
- 1
Enter Stock Symbols
Type one or more comma-separated ticker symbols (e.g., AAPL, MSFT, SPY) or select a preset watchlist to quickly populate the scanner.
- 2
Configure Filters
Set the minimum arbitrage spread (in dollars), maximum days to expiry, strike price range (as a percentage from ATM), and minimum option volume to filter out illiquid contracts.
- 3
Scan for Arbitrage
Click the scan button to fetch real-time options chain data and stock prices. The tool will pair calls and puts at each strike/expiry combination and calculate synthetic position costs.
- 4
Analyze Opportunities
Review flagged opportunities in the table. Check the arbitrage spread percentage, bid-ask costs, and signal direction. Switch between the detailed view and summary view to analyze by individual opportunity or by symbol.
Understanding Put-Call Parity
Put-call parity is a fundamental principle in options pricing that defines the relationship between the price of a European call option, a European put option, the underlying stock price, and the strike price. The formula states: C - P = S - K × e^(-rT), where C is the call price, P is the put price, S is the stock price, K is the strike price, r is the risk-free rate, and T is the time to expiration.
When this relationship is violated, a risk-free profit can theoretically be captured by constructing a synthetic position. For example, if a synthetic long stock (buy call + sell put) costs less than the actual stock, a trader could buy the synthetic and short the stock to lock in the difference. In practice, transaction costs, bid-ask spreads, margin requirements, and execution risk reduce the profitability of these trades, which is why our tool carefully accounts for bid-ask spreads when flagging opportunities.
While true risk-free arbitrage is rare in highly liquid markets, temporary mispricings do occur, especially around earnings announcements, dividend ex-dates, and periods of high volatility. Even when the mispricing is too small for pure arbitrage, understanding synthetic pricing helps traders identify relatively cheap or expensive ways to gain stock exposure through options.