E-Mini box question...

Discussion in 'Index Futures' started by ktm, Aug 2, 2002.

  1. ktm


    I don't trade the E-Minis, but I was considered using the futures contract as a hedge against the S&P, then maybe throwing in some options. Does anyone know if it is legal to box the E-Mini?

    For example:

    Take 1 contract long, then write an ATM call. Take 1 contract short, then write an ATM put. It seems you'd lock in the premium minus the transaction costs.

    I haven't looked at the E-Mini options but the SPX options are loaded with premium...about 40pts ATM today with the VIX over 45. This can't be legal...or I've certainly missed something. I'd appreciate any thoughts on this.
  2. maybe i am missing something too. dont the short and long futures contracts cancel each other? and you are left with two naked short positions.. e.g. SP goes to 750. you made 40 each on the short options (total 80), but lost (strike-750) on the short put.
  3. ktm


    You're right...I missed one calc in my model...a costly one....shoulda looked at it again. Thanks
  4. You could long the future in one account, and short it in another account, to achieve your strategy. Nothing illegal with that as far as I can see.