A synthetic futures which consists of buying calls and selling the same amount of puts with the same strike price and expiration date.
Long synthetic futures = (long calls “amt x” + short puts “amt x”) @ strike price, ex-date
This structure effectively replicates the risk profile of buying a stock with almost no cost.
A long synthetic futures is used to replicate the payoff pattern of a long futures position. It is established by buying at-the-money call options and selling an equal number of at-the-money put options on the same underlying futures and for the same expiration month.
It is also called a synthetic long futures.
