Synthetic Long Discount Alert: LYONDELLBASELL INDUSTRIES $LYB trading at a -0.47% discount for the 15-Jan-2021 expiration

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Quantchabot has detected a promising Synthetic Long Stock trade opportunity for LYONDELLBASELL INDUSTRIES (LYB) for the 15-Jan-2021 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.

LYB was recently trading at $99.03 and has an implied volatility of 22.88% for this period. Based on an analysis of the options available for LYB expiring on 15-Jan-2021, there is a 68.27% likelihood that the underlying will close within the analyzed range of ($23.72)-($46.70) at expiration. In this scenario, the average linear return for the trade would be 257.08%.

Upside potential: This synthetic long position offers the same potential benefits and liabilities as a long stock position, but at a discount due to the significant premium at-the-money puts are trading at over calls. In this case, the long call position is opened at a strike of $55.00, which is already $44.03 in the money. An out-of-the-money put at the same strike is sold to finance the call, resulting in a net debit of $44.50 per share. The final position can be considered as having a discount of ($0.47) per share over the underlying price of $99.03 for a -0.47% total.

Downside risk: This discount is generally a sign of the stock facing considerable short pressure, and may indicate that the stock has become hard to borrow. However, if you have a long view of the underlying over this period, it could be a good opportunity to benefit from the upside at a major discount.

To analyze this trade in depth, please visit the Quantcha Options Search Engine.


This is an automated post generated based on a market analysis of delayed data at 10/12/2018 10:42:03 AM ET. The analysis does not include brokerage fees or commissions and is not investment advice.