Tuning in to Frequencies: How Global Assets Align U.S. Put-Call Parity Residuals

Put-call parity is a risk-neutral identity, but enforcing it is path-dependent and capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in SPX and RUT options. Because parity enforcement ties up scarce capital, its opportunity cost may reflect outside investment opportunities. 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. The evidence indicates reduced-form P-Q alignment: the carry gap is not empirically separable from physical-measure outside-option proxies, rather than behaving as a purely OIS-contained wedge.