Abstract
This paper examines the efficiency of CBOE options market and potential arbitrage opportunities based on no-arbitrage principle and options pricing model. Results show that the efficiency of the options market is relatively high. Most of the mispricing can be fixed in 1 to 2 days. However, arbitrage opportunities still exist. Black-Scholes model and Put-call parity options pricing model are two mathematical models that can calculate the options price in a theoretical way. The average arbitrage duration in Black-Scholes model violation test is the longest. Arbitrage duration and profits are related to the liquidity of options. High arbitrage profits can be obtained from less liquid options. Arbitrage profits are high for put options.
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