Put–Call Parity Arbitrage Detection in the Iranian Options Market

Problem

Observed parity violations may not be executable after commissions, slippage, low liquidity, and unavailable bid or ask depth are considered.

Context

A research laboratory approach for executability-adjusted no-arbitrage testing in equity options.

Work completed

1. Used historical order-book snapshots.
2. Matched call–put pairs.
3. Calculated parity residuals and synthetic prices.
4. Estimated cost-adjusted expected profit.
5. Modeled commissions and slippage.
6. Applied liquidity filters and Level-1 executability filters.
7. Ran statistical and cluster analysis on residual distributions.
8. Examined profit percentages and opportunity rates by underlying, strike, and expiry.

Solution

An empirical detection system for identifying economically attainable put–call parity violations after costs and liquidity constraints.