Contrary to the fears that today's demise of SunEdison's (SUNE) stock would spread over the entire solar sector, shares of SolarCity (SCTY), Elon Musk's child, are up over 3% today: Solar stocks have demonstrated violent volatility recently and I refuse to give any directional forecast on the them. In fact, I do not care what direction SolarCity's shares move in the future because I have identified an arbitrage strategy with the stock and its options: (Source: TD Waterhouse) Note: the above table shows prices for SolarCity's options expiring on April 29, a month from now. The biggest concern with the arbitrage strategy I am talking about is liquidity. As you can see in the table above, there is not much volume in option even with such a close expiration. Nevertheless, small volumes (up to 10 - 20 contracts) will likely get filled by market makers. So, here is what I propose: (Source: market data) Note: I used middle prices for calculations. In essence, I am offering you the same deal another WhoTrades contributor talked about a week ago with reference to SunEdison: buy the synthetic long and sell the stock short. This transaction results in an immediate credit balance of $24 per share and simultaneously locks in a profit of $1.54 per share: (Source: author's calculations) In order to prove to you that this strategy delivers the same profit at any price of the underlying, I modeled outcomes of the stock price ranging from $0 to $40 per share: (Source: author's calculations) The strategy is delta-neutral at initiation and remains so throughout its life. Essentially, I am offering you a strategy that will generate you a 4.5% return (assuming you need a 150% margin on shorted stocks, like in the case of my broker) in April with virtually no risk (other than the counterparty risk). The biggest concern here is execution - lack of liquidity on the market will eat into your margins. I also excluded interest payable to the broker on shorted securities (although it is unlikely to be high due to the short duration of the trade). So, what are you waiting for?