Equity Basket Options?

Discussion in 'Options' started by sle, May 1, 2003.

  1. sle


    Is anyone privately trading these? In general, is anyone doing any option-based correlation arb? Correlation arb is a pretty popular institutional strategy.
  2. Maybe; a little more specific ...
  3. sle


    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..
  4. Yes; not easy ...