Is such a strategy is even theoretically possible?

Conversion/reversal. In this environment. you'd have to go long term. With higher interest rates, you could do it shorter term.

Of course, taking the loss on the reversal makes no sense, but it fits the OP.

 

1) If you can convince a firm that there is some "economic merit" to the trade(s), then it could be possible.
2) You also have to have the firm delay assigning the initiating trades to an account before your offset later in the day.

 

Anyone contemplating doing this needs to be aware of wash sale rules and IRS Revenue Ruling 2008-5.

 

http://www.irs.gov/irb/2008-03_IRB/ar01.html

Rev. Rul. 2008-5 Rev. Rul. 2008-5

Loss from wash sales of stock or securities. This ruling provides that if an individual sells stock or securities for a loss and causes his or her IRA or Roth IRA to purchase substantially identical stock or securities within a specified period, the loss on the sale of the stock or securities is disallowed under section 1091 of the Code, and the individual’s basis in the IRA or Roth IRA is not increased by virtue of section 1091(d).

 

I would guess that future's options are "securities" but if they are not one could use those in the taxable account and use index or index ETF options in the IRA.