Synthetic Long Discount Alert: PETROLEO BRASILEIRO SA $PBR trading at a 21.79% discount for the 20-Dec-2024 expiration

Quantchabot has detected a promising Synthetic Long Stock trade opportunity for PETROLEO BRASILEIRO SA (PBR) for the 20-Dec-2024 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.

PBR was recently trading at $11.61 and has an implied volatility of 59.48% for this period. Based on an analysis of the options available for PBR expiring on 20-Dec-2024, there is a 68.27% likelihood that the underlying will close within the analyzed range of $4.87-$32.02 at expiration. In this scenario, the average linear return for the trade would be 123.47%.

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 put position is opened at a strike of $12.00, which is already $0.39 in-the-money. However, its sale more than offsets this moneyness and the cost of the long call that the trade results in a net credit of of $2.92 per share. The final position can be considered as having a discount of $2.53 per share over the underlying price of $11.61 for a 21.79% 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.