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.