What the Synthetic Stock Screen Measures
A matched long call and short put has terminal payoff S − K before premiums; reversing the legs gives K − S. The strike remains a future cash obligation. This screen compares bid/ask option combinations plus the undiscounted strike with a separately retrieved stock quote. It does not calculate a full funded arbitrage ledger.
Two Per-Share Gap Calculations
Long-side gap = S − (call ask − put bid + K)
Short-side gap = (call bid − put ask + K) − S
The percentage is gap / stock quote × 100, not an annualized return or return on margin. A long-side candidate compares buying the option pair with selling shares; a short-side candidate compares selling the pair with buying shares. The reference stock quote is not the side-specific price needed to execute either comparison.
For a hypothetical S = $100 and K = $100, call bid/ask $5/$5.20 and put bid/ask $5.40/$5.60, the long-side gap is $0.20 and short-side gap is −$0.60 per share. The sum of quote widths is $0.40. That width is displayed separately; it is not subtracted again from the gap. None of these inputs proves simultaneous fills or includes fees.
Inspecting the Candidate Rows
- Enter up to 20 unique tickers, then choose a nonnegative dollar threshold, 1–365 whole days, strike range and minimum daily volume.
- The scanner pairs only standard 100-share calls and puts with the same strike, expiry and reported exercise style. Missing or crossed option bid/ask quotes are excluded; day closes are never substitutes.
- Each leg must meet the volume filter. Volume is historical activity, not available quote size or a guarantee of liquidity.
- Use the detailed and symbol views to inspect gaps. Request failures are shown separately. Up to 250 contracts per symbol are loaded without following pagination; a pair can be absent from this sample.
Why a Gap Is Not an Arbitrage Conclusion
European parity with compatible dividend and financing assumptions is C − P = S − PV(dividends) − K exp(−rT). This scanner has no rate or dividend inputs, so its arithmetic is the special zero-carry case. For example, even perfectly consistent European prices at a positive rate need not satisfy C − P = S − K.
The Options Industry Council parity discussion covers the importance of borrowing, transaction costs and dividends. American contracts may be exercised early; their matched terminal shape does not make European price equality automatically applicable. Matching exercise style only prevents unlike contracts being paired; it does not remove these differences.
Review timestamp alignment, stock bid/ask, available quote sizes, financing, dividend compensation, stock-borrow availability, collateral and exercise handling independently. The scan retrieval time is not a market timestamp. Greeks or IV are not shown in this table and do not enter the gap formula. No order placement or Pine Script arbitrage execution is provided.