Strategy #0000000153 · Arbitrage and relative value
ADR and cross-listing parity scenario
Enter both share prices, ADR ratio, FX, direction, notional, borrow and trading costs.
An ADR and its home-market share can be compared after applying the depositary ratio and exchange rate. Gaps may persist because of time-zone overlap, capital controls, taxes, settlement and market segmentation, and the two lines may not trade simultaneously. This scenario computes parity from manual quotes; it does not establish executable or risk-free arbitrage.
No synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What cross-listing gap remains after converting the ADR ratio and FX and accounting for borrow and trading costs?
An ADR and its home-market share can be compared after applying the depositary ratio and exchange rate. Gaps may persist because of time-zone overlap, capital controls, taxes, settlement and market segmentation, and the two lines may not trade simultaneously. This scenario computes parity from manual quotes; it does not establish executable or risk-free arbitrage.
Enter both share prices, ADR ratio, FX, direction, notional, borrow and trading costs.
No synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded.
- Entered assumptionsEnter both share prices, ADR ratio, FX, direction, notional, borrow and trading costs.
- Model outputNo synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
P_{ADR}^{*}=P_{home} imes ADR ratio imes FX,quad Gap_{net}=Direction imes(P_{local}/P_{ADR}^{*}-1)-Borrow-Costs
Foreign price × shares per ADR × home-currency FX gives parity; direction, borrow and costs are scenario inputs.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約／稅務
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
P_{ADR}^{*}=P_{home} imes ADR ratio imes FX,quad Gap_{net}=Direction imes(P_{local}/P_{ADR}^{*}-1)-Borrow-Costs
Practical context · published observations
ADR and cross-listing parity scenario: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, tax rules, contracts and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | An ADR and its home-market share can be compared after applying the depositary ratio and exchange rate. Gaps may persist because of time-zone overlap, capital controls, taxes, settlement and market segmentation, and the two lines may not trade simultaneously. This scenario computes parity from manual quotes; it does not establish executable or risk-free arbitrage. | No synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded. |
| Conservative version | Stress assumptions | Raise costs and reduce eligible/executable amounts to stress the result. | Scenario benefit may shrink. |
| Validation version | Data review | Check inputs against consistent quotes, settlement rules and personal eligibility. | Needs representative data and professional review. |
No synchronised quotes, borrow availability, capital controls, taxes, settlement or session data are loaded.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.