13.2.1
Cross-Border Tax with Options
PYTHON PLUGIN
Tax
Arbitrage
Description
Strategy 13.2.1: Use deep ITM puts around ex-div dates to capture franking credits
Strategy Logic
Strategy 13.2.1: Cross-Border Tax Arbitrage with Options.
Use deep in-the-money put options around ex-dividend dates in countries
with dividend imputation (franking credits).
Write a put option: V_put ~ K - [S0 - D*(1 + kappa)]
After exercise: P&L = D * (1 + kappa)
where kappa = franking credit rate.
Signal: trade when put pricing reflects the tax credit (i.e. the put
premium embeds less than the full franking credit value).
Required columns: close, dividend, put_price, strike, franking_pct
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| kappa | 0.4286 | float |
| min_profit_pct | 0.003 | float |
| transaction_cost_pct | 0.002 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 5.0% |
| Max Drawdown Pct | 8.0% |