/biz/ - Business & Finance

Found a huge arbitrage opportunity using a spread similar to a reverse conversion, except both sides of the spread are synthetic (not a box spread). It's based on a 2 leg spread I do frequently, just adding a mirror side so I'm confident on the fills.
The spread actually costs negative margin i.e. the broker's risk based margin system is giving me liquidity for taking on the position. So theoretically I could open as many of these spreads as liquidity allows...and buy 5.5% yield TBills with the net credit. Table is based on worse than midprice fills and account for commissions/fees, if IV changes significantly or the underlying drops significantly the outcomes are even better.

By the end of the year I'll either be a millionaire or homeless.