I sell covered calls on QQQ. Just start to looking into the OEX calls. Seems to me the bid/offer spreads of OEX calls are about the same level as the QQQ calls'. e.g. for the ITM calls, around 10% and OTM calls, 20% bid/offer spreads. Anyone can comment on this?
NDX moves much like QQQ so their calls are alike as well. They do settle differently but that does not make a difference to me. The reason I sell calls on QQQ, not NDX, is that I have long term investment of several hundred shares of QQQ. I have some SPY and wish there were options on it. SPY does not hedge OEX calls perfectly and that's one thing I'd take a look.