Ann: Appendix 3B , page-4

in an efficient market the option price would be at least on par with the heads minus conversion price. Imagine options over CBA or BHP trading with the lag that these have - would be money for jam (and would never happen).

No efficiency at the spec end of the market, so buyers taking a long term position get a cheaper entry via MABOA and investors holding MAB that have a long term position can arb their MAB by selling MAB, buying MABOA and converting.