I started a thread last week about creating a proxy / synthetic position for a moving average. It attracted less than helpful responses and the moderator thankfully closed the thread. But lets give it another try. I was looking at different pair trading strategies recently and thinking about how for the most part everyone must be looking at the same set of pairs. As an alternative, is it possible to trade the spread between an index, say SPX/SPY/ES, and its own moving average, say a 13 day simple moving average for an example? To trade this spread it seems one would have to be able to identify when the spread has reached an extreme positive or negative value. You would also have to determine if there are levels at which the spread becomes so great that the probability of the spread collapsing in the near term becomes tradable. I would suggest dividing the spread by the stdev of SPX for the last 30 days to somewhat normalize the raw spread numbers. Once a relationship is identified and historically extreme levels are found you would then need to be able to create a position that gains value as the spread between the SPX and its 13 MA contracts. For example, the SPX has increased. The spread between the SPX and the MA becomes positive 60 and this happens to be above our positive threshold. A possible strategy would be to short the SPX and sell x number of put and y number of call contracts. You obviously don't know what the SPX will do going forward, but you do know what values are leaving the 13 day MA going forward. If you assume SPX stays unchanged you can calculate how much on average the MA will increase each day as the spread decreases. Theta(of the entire option postion)*(number of shares) should be equal to the average daily increase in the MA over x amount of days. Delta would be slightly positive, I think. Obviously you would have to play around with the strike prices, and take Gamma and Vega into consideration as well, but I think that this structure might work. The near month seems to be the best choice for big Theta's. So in summary, you would put the trade on when the upper or lower boundaries are penetrated and take the position off when the spread becomes near zero. I apologize for the long post, but I wanted to get some feed back on the overall structure. Does it sound feasible? Any thoughts or suggestions would be greatly appreciated. Jeff.