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Triangular Arbitrage using Bid Ask Quotes

Have you ever wondered how to determine how to compute the triangular arbitrage formula using bid and ask quotes?  Using four simple rules it is possible to compute triangular arbitrage relationships using bid and ask prices. Three example computations for three different symbols are presented with an intuitive description of how to interpret the results in terms of identifying inefficiency, including the triangular arbitrage “risk free” opportunity, as well as the opportunity to transact at a better price using the synthetic than the underlying, even when no real arbitrage opportunity exists.

Triangular Arbitrage with Bid Ask Quotes
Triangular Arbitrage with bid ask prices 1000 bid vs synthetic ask quotes

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  1. avi
    March 7, 2014 at 12:40 am

    its nyce i like it….thnx for the knowledge..!!

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