Thanks Robert. I used the search function - 16 threads about bullets, but only a few references to conversions. Correct me if I am wrong - but I take it that in a bullet the put is purchased from the bullet firm. Are the options involved in a conversion purchased from the various options exchanges? What I am getting at - is the only difference from getting a conversion at a pro firm versus setting it up yourself at a retail firm is that the pro firm recognises the neutral position and therefore does not impose massive margin requirements? What are the problems that you refer to if the options expire at the strike price?