Implicit Option Replication using futures/cash

Discussion in 'Options' started by CPTrader, Apr 19, 2006.

  1. Is it possible and if so how replicate a long or short volatility view using futures/cash instruments instead of options?

    If so, how?
  2. No.
  3. I thought so...but was hoping I was sad/

    How about a pesudo-replication i.e. not exact but will still have similar risk/reward to a long vol/short vol options position?
  4. No, not really. In some carry markets[grains,softs] you can trade to large backwardations/contangos, but that's an oscillator or convergence trade and would entail a futures time spread or a classic discount/premium arb. It's not decay, per se.
  5. So options it is. I wish futures options were more liquid and traded electronically.

    As it stands now you can't trade S&P options overnight despite the fact that we have some good gap moves overnight?

    Why can't globex make trading of electronic combo/spreads easy/straightforward and have A DPM to trade overnight like they do in the globex currencies??