{"paper":{"title":"The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"Physical drift improves the fit of put-call parity carry gaps in index options.","cross_cats":[],"primary_cat":"q-fin.GN","authors_text":"Useong Shin","submitted_at":"2026-05-12T15:19:55Z","abstract_excerpt":"Put-call parity is a terminal-payoff identity, but its enforcement is capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in SPX and RUT index options. Quoted parity is tightly compressed, while the synthetic-traded forward channel leaves a systematic wedge. I interpret this wedge as an implementation premium under finite arbitrage capital. A drift-preserving GBM term, r {\\mu}-hat {\\tau}, improves in-sample and leave-one-year-out fit, especially in SPX. The evidence suggests that physical drift enters not option payoffs, but the process e"},"claims":{"count":4,"items":[{"kind":"strongest_claim","text":"Empirically, the drift term improves both in-sample and leave-one-year-out fit, especially for SPX, consistent with drift-sensitive margin burden in parity enforcement rather than a failure of no-arbitrage.","source":"verdict.strongest_claim","status":"machine_extracted","claim_id":"C1","attestation":"unclaimed"},{"kind":"weakest_assumption","text":"That the lagged rolling-OLS trend proxy for the physical drift μ accurately captures the component relevant to margin burden in enforcing put-call parity, and that the derived (rμτ) extension to the GBM implementation-risk term correctly isolates this effect without other unmodeled factors.","source":"verdict.weakest_assumption","status":"machine_extracted","claim_id":"C2","attestation":"unclaimed"},{"kind":"one_line_summary","text":"Empirical evidence shows that a drift term (rμτ) added to GBM implementation risk improves the fit of put-call parity carry gaps in SPX and RUT options, pointing to drift-sensitive margin burden.","source":"verdict.one_line_summary","status":"machine_extracted","claim_id":"C3","attestation":"unclaimed"},{"kind":"headline","text":"Physical drift improves the fit of put-call parity carry gaps in index options.","source":"verdict.pith_extraction.headline","status":"machine_extracted","claim_id":"C4","attestation":"unclaimed"}],"snapshot_sha256":"3f36cd23fa33e1f8b282f58b1c2b1528521995e103288709ebccc23fc16f4284"},"source":{"id":"2605.12250","kind":"arxiv","version":3},"verdict":{"id":"8bc62feb-5282-4d91-a134-4bff77e080ee","model_set":{"reader":"grok-4.3"},"created_at":"2026-05-14T20:36:58.566936Z","strongest_claim":"Empirically, the drift term improves both in-sample and leave-one-year-out fit, especially for SPX, consistent with drift-sensitive margin burden in parity enforcement rather than a failure of no-arbitrage.","one_line_summary":"Empirical evidence shows that a drift term (rμτ) added to GBM implementation risk improves the fit of put-call parity carry gaps in SPX and RUT options, pointing to drift-sensitive margin burden.","pipeline_version":"pith-pipeline@v0.9.0","weakest_assumption":"That the lagged rolling-OLS trend proxy for the physical drift μ accurately captures the component relevant to margin burden in enforcing put-call parity, and that the derived (rμτ) extension to the GBM implementation-risk term correctly isolates this effect without other unmodeled factors.","pith_extraction_headline":"Physical drift improves the fit of put-call parity carry gaps in index options."},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2605.12250/integrity.json","findings":[],"available":true,"detectors_run":[{"name":"claim_evidence","ran_at":"2026-05-19T22:41:58.343195Z","status":"completed","version":"1.0.0","findings_count":0},{"name":"ai_meta_artifact","ran_at":"2026-05-19T10:40:59.586026Z","status":"completed","version":"1.0.0","findings_count":0},{"name":"doi_title_agreement","ran_at":"2026-05-19T08:31:17.099572Z","status":"completed","version":"1.0.0","findings_count":0},{"name":"doi_compliance","ran_at":"2026-05-19T07:46:51.046974Z","status":"completed","version":"1.0.0","findings_count":0}],"snapshot_sha256":"1ea937ae6ea8ec0a7c31b203682e2f73619a7a0ebedce43028e5331945deb2d7"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":2,"snapshot_sha256":"0d9d7deeede09f12129c044ba934c1eafcce9a467bfe0dc69b3917a413ec6b28"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}