{"paper":{"title":"Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"The carry gap in U.S. equity index options aligns with low-frequency global asset returns rather than being contained within OIS rates.","cross_cats":[],"primary_cat":"q-fin.GN","authors_text":"Useong Shin","submitted_at":"2026-04-21T15:55:29Z","abstract_excerpt":"Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition variables, or also by residual outside-option information. Adding IEFA, IGOV, and IAU improves in-sample and leave-one-year-out fit after U.S.-centered controls. Gains survive broad-dollar neutralization, alternative blocks, PCA, residualization, and nested horizon selection. Results support reduced-form P-Q alignment: finite-capital parity enforcement reflec"},"claims":{"count":4,"items":[{"kind":"strongest_claim","text":"Adding low-frequency global asset-return components to an OIS-based baseline improves in-sample and leave-one-year-out out-of-sample R^2, with gains robust to broad-dollar neutralization, alternative asset blocks, and nested horizon selection.","source":"verdict.strongest_claim","status":"machine_extracted","claim_id":"C1","attestation":"unclaimed"},{"kind":"weakest_assumption","text":"That the carry gap represents the opportunity cost of scarce capital used to enforce parity and that low-frequency global asset returns serve as valid proxies for those outside opportunities.","source":"verdict.weakest_assumption","status":"machine_extracted","claim_id":"C2","attestation":"unclaimed"},{"kind":"one_line_summary","text":"Carry gap in U.S. equity option put-call parity correlates with low-frequency global asset returns, indicating reduced-form alignment between risk-neutral and physical measures.","source":"verdict.one_line_summary","status":"machine_extracted","claim_id":"C3","attestation":"unclaimed"},{"kind":"headline","text":"The carry gap in U.S. equity index options aligns with low-frequency global asset returns rather than being contained within OIS rates.","source":"verdict.pith_extraction.headline","status":"machine_extracted","claim_id":"C4","attestation":"unclaimed"}],"snapshot_sha256":"af3fd1d1e3e868055dcfcc96a3eaefd6b3e87ae79f8003b9db915fe99aadcf93"},"source":{"id":"2604.19605","kind":"arxiv","version":6},"verdict":{"id":"a7787650-e3fe-450a-9b50-9c383bfb2eb4","model_set":{"reader":"grok-4.3"},"created_at":"2026-05-11T01:53:51.501451Z","strongest_claim":"Adding low-frequency global asset-return components to an OIS-based baseline improves in-sample and leave-one-year-out out-of-sample R^2, with gains robust to broad-dollar neutralization, alternative asset blocks, and nested horizon selection.","one_line_summary":"Carry gap in U.S. equity option put-call parity correlates with low-frequency global asset returns, indicating reduced-form alignment between risk-neutral and physical measures.","pipeline_version":"pith-pipeline@v0.9.0","weakest_assumption":"That the carry gap represents the opportunity cost of scarce capital used to enforce parity and that low-frequency global asset returns serve as valid proxies for those outside opportunities.","pith_extraction_headline":"The carry gap in U.S. equity index options aligns with low-frequency global asset returns rather than being contained within OIS rates."},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2604.19605/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}