Just as surfers are supposed to dream of the perfect wave, traders are supposed to dream of the perfect arbitrage — those supposedly non-existent opportunities to buy and sell equivalent assets against one another and walk away with a riskless profit.

Option traders by nature are attuned to any hint of pricing anomalies, real or apparent, and they understand synthetic positions backward and forward.

This is what makes the following story so interesting. Two closely related strategies have widely divergent results for an intriguing reason.