Is anyone privately trading these? In general, is anyone doing any option-based correlation arb? Correlation arb is a pretty popular institutional strategy.
Well, the simplest example would be buying an option on a correlated basket and selling options on individual equities. If the timing is good, it is a pretty way to make a buck. I have done something like that with swaptions, a bit different though. There are numerous strategies like these. I just want to see if low-cap traders are doing anything like that. damn, i can't wait to get better and back on the trading floor..