Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
13.2.1Tax arbitrageReference
Cross-border tax arbitrage with options
Use deep in-the-money puts, exercised after the dividend, to transfer franking credits; put prices then breach their usual no-arbitrage bound.
Why there is no chart
Option prices around ex-dividend dates.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 13.2.1 · Tax arbitrage
- Asset class
- Tax arbitrage
- In the lab
- Explained, not backtested
Cross-border tax arbitrage with options (13.2.1)
Use deep in-the-money puts, exercised after the dividend, to transfer franking credits; put prices then breach their usual no-arbitrage bound.
Key equation
Data it needs
Option prices around ex-dividend dates.
More in Tax arbitrage
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.