How to construct a Call Option on an intermarket spread (say +1ES-2NQ)? So that it would behave the same as if +1ES-2NQ were one symbol? Any help is greatly appreciated.
1) If you expect the "ES" to outperform the "NQ" to the upside, you could buy 1 ES call and short-sell 2 NQ calls both (ATM) at-the-money OR equally (OTM) out-of-the-money. 2) You have to be wary of "asset reallocation into tech" that may hurt you on the spread. 3) Ideally, your trading firm will give you some type of preferential margining so you don't have to treat each position as a separate outright.