Synthetic Long Stock
Description
Buying a call and selling a put at the same strike and expiry, replicating the payoff of owning the underlying outright without buying it directly.
Setup
- Buy one call at the money.
- Sell one put at the same strike and expiry.
Context
Used to gain stock-like exposure with less capital tied up, or to exploit a pricing gap between the options market and the underlying itself.
Risk Profile
Behaves like owning the underlying: loss grows as the underlying falls, gain grows as it rises, in both cases roughly one-for-one with the underlying's move.
Pros
- Requires less capital than buying the underlying outright.
- Delta-one exposure: moves closely track the underlying.
- Can be used to arbitrage a mispricing between the synthetic and the real underlying.
Cons
- Carries the same downside exposure as owning the underlying.
- Assignment risk on the short put before expiry.
- Bid-ask spreads on two legs instead of one instrument.
Effect of Time
Time decay has little net effect: the long call's decay is largely offset by the short put's decay.
Effect of Volatility
A change in implied volatility has little net effect, since the call and put move in opposite ways that largely cancel out.
Look-Alike Strategies
Live Structure
| Position | Right | Ratio | Strike | Expiry | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Long | Call | 1 | $84500.0000 | 24 Sep 2026 | $262.0957 | $287.4598 | $25.3641 |
| Short | Put | 1 | $84500.0000 | 24 Sep 2026 | $211.3673 | $186.0032 | $25.3641 |
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $67600.0000 | -$16900.0000 | -$16950.7284 | -33414.7% |
| $84500.0000 current breakeven | $0.0000 | -$50.7284 | -100.0% |
| $101400.0000 | $16900.0000 | $16849.2716 | +33214.7% |