Pith Number

pith:GVJT7XVF

pith:2026:GVJT7XVFD5PLKGWSBDCRQ5W4BQ

not attested not anchored not stored refs pending

The Cost of a Free Lunch: Evidence from U.S. Derivatives Markets

Useong Shin

Enforcing put-call parity incurs hidden carry costs from daily settlement and margin risks despite near-zero price residuals.

arxiv:2604.19604 v5 · 2026-04-21 · q-fin.GN · q-fin.CP

Open paper page JSON Open Graph Bundle Merged state Verified badge What is a Pith Number?

Add to your LaTeX paper

\usepackage{pith}
\pithnumber{GVJT7XVFD5PLKGWSBDCRQ5W4BQ}

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Record completeness

1 Bitcoin timestamp

2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

✓ Portable graph bundle live · download bundle · merged state

The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

The carry gap is an implementation wedge invisible in price space but systematic in carry space.

C2weakest assumption

That the reduced-form specification centered on the volatility times sqrt(tau) path-risk term correctly isolates implementation risk without omitted variable bias or post-hoc selection of the functional form.

C3one line summary

Enforcing put-call parity creates an annualized carry gap that is systematic in carry space and linked to a volatility times sqrt(tau) path-risk term using minute-level options data.

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-20T00:04:32.215552Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

35533fdea51f5eb51ad208c51876dc0c23ec6b725d23fddf20c6d050e8393c76

Aliases

arxiv: 2604.19604 · arxiv_version: 2604.19604v5 · doi: 10.48550/arxiv.2604.19604 · pith_short_12: GVJT7XVFD5PL · pith_short_16: GVJT7XVFD5PLKGWS · pith_short_8: GVJT7XVF

Agent API

Resolver JSON Graph JSON Events JSON Schema Signing key

Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/GVJT7XVFD5PLKGWSBDCRQ5W4BQ \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 35533fdea51f5eb51ad208c51876dc0c23ec6b725d23fddf20c6d050e8393c76

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "a94809b0f7702a01d5a0976bc095becc032063327a8ead0d2974438cd479e0ae",
    "cross_cats_sorted": [
      "q-fin.CP"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "q-fin.GN",
    "submitted_at": "2026-04-21T15:53:44Z",
    "title_canon_sha256": "cfca3d7509b6ef024696bc453c1b5f3297bc6d649f1a80f2bc26484de901d5dc"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2604.19604",
    "kind": "arxiv",
    "version": 5
  }
}