E-mini protection using puts

Discussion in 'Index Futures' started by stephenszpak, Jul 13, 2005.

  1. Prevail

    Prevail Guest

    This whole discussion would be easy if the 'insurance' did not cost as much.

    Some ideas to buy insurance for less are:

    Buy long dated puts and sell before they become front month to voice high theta exposure

    Pay for the put by selling a corresponding OTM call

    Set up 1x2 or 2x3 put ratio backspreads to pay for extra long put

    Set up the sling shot trade in 'coulda, woulda, shoulda.
     
    #61     Aug 15, 2005
  2. What does it mean when they say "closing prices will be determined by referencing their respective market conditions?" Does this mean that the last price on globex will be the settlement price for the Russell? That could be a nasty few minutes given how thin the trading is....
     
    #62     Aug 15, 2005
  3. I'm talking about a once in twenty years event. Think
    about what would have happened on Sept 11th if all
    the attacks occured at lunch and at Washington. I do
    worry excessively, but calamities do occur as well.

    P.S. Doesn't mean we have 10 or 15 years until
    something really bad happens. Terrorist or other.

    Regards,

    Stephen Szpak
     
    #63     Aug 17, 2005

  4. I sort of understand these two:

    Pay for the put by selling a corresponding OTM call

    Set up 1x2 or 2x3 put ratio backspreads to pay for extra long put

    http://www.asx.com.au/investor/options/how/library/StrategyofWeek280303_AM4.htm

    Does the top one have a name?

    Both can involve early exercise (OEX, let's say) correct?

    Stephen Szpak
     
    #64     Aug 17, 2005
  5. Prevail

    Prevail Guest

    Financing a put with a call when the strikes are different is essentially a synthetic underlying with a smaller delta. Early assignment would be the risk on any american style, yes.
     
    #65     Aug 17, 2005
  6. Thanks. So what is the savings, if any?

    To keep costs down, one would have to assume a, let's
    say,a 40 point drop in the E-mini S&P 500 futures BEFORE one could
    exit one's long futures position, (were still talking about
    day trading here). I say "to keep costs down" because the
    puts would be very cheap to buy.

    For simplicity, for now, perhaps comments
    could be made regarding the options on the E-mini S&P 500
    futures. (Sorry to mention the OEX, its just more familiar.)

    One has to consider the different option strategies and
    commisions, and that they would have to be implemented
    repeatedly if the market moves up over a number of days
    (or hours). This *will* be more complicated than just buying
    a deeply out-of-the-money put every so often.

    Stephen Szpak
     
    #66     Aug 17, 2005