Hi mozz ... haven't put buffalo cruncher to work on the the reverse ...
I was trying to be careful to qualify the exercise because I don't want anyone to simply get the idea that a risk-neutral trade can be had by simply buying both ways and viola .. instant green ...
Usually, BSOPM sensitivities demand one cancels the other and vice versa as we know ...
The purpose of the exercise was to simply demonstrate with real numbers that when the circumstances are favourable and Volatility exists that a risk-neutral trade is technically possible.
I think I have succeeded with the numbers above in proving this to be the case.
Derivatives traders would find this of interest ... particularly those who are crunching their own numbers as any possibility a little free extra green is always welcome ...
