The dawn proving that he doesn’t know how to read. perhaps the market makers have hacked his account to prevent him from sharing his infinite gamma theories.
Dude. He can replicate the tax loss for a fraction of the cap-req with the roll. What would require $300K with the strangles would require $3K with the roll. I am not discussing the risk to the strangle, but the roll has no risk. You have no argument.
1) if you're intent on exhibiting signs of CTE then go ahead and trade the moronic guts strangle, but for the love of God trade it from the long side. OP said something about short prem taxation but I really don't GAF. Regardless, long or short the guts is an IQ-test. 2) If you're running an operating-co and have mils in EBITDA then you're a fucking FOOL not to trade the tax-scam in the roll-market.
There are easier legal ways if you are in #2 that don’t involve using an IB account that doesn’t have access to index option prices.
SPX options would most definitely be the best for your situation. I cannot go into details about "why." It has tax implications.
Whatever method is used, ranging from synthetic forward, as proposed, to more simply rolling forever "parallel" futures, in purely abstract terms, one will just be executing orders on 2 "legs". The straightforward idea strongly pushed by Des (if I understood correctly his professional jargon ) is to use a "synthetic" instrument (that is "artificially" created but with the same or inverse dynamics of a chosen, "real", instrument). Certainly an intelligent solution, and avoids many of the "strangle" controversial aspects discussed here. If one takes any instrument, say I (that has options, but it is not an option itself), one could build either: the synthetic "inverse of I" putting together a \_ + --\ (long atm put and short atm call) or the synthetic "clone of I": _/ + /-- (long atm call and short atm put) and then start either with a buy/buy, in the first case (I + inverse of I), and with a buy/sell or sell/buy in the second case (I + clone of I). Another way (which personally I would prefer, in practice, if I had to do it for myself) is to take a pair of actual instruments, say I1 and I2, which trade almost "parallel", like 2 futures with close expiration dates, like in this screenshot below (these are 2 different expiry futures, one started long the other short): BRR FUT 20230127 CME 5 CME CF Bitcoin Reference Rate [BTCF3, 576721265, mult: 5] BRR FUT 20221230 CME 5 CME CF Bitcoin Reference Rate [BTCZ2, 462304879, mult: 5] The net PnL of the two legs will have to add up ideally to 0 (or a negligible loss, obviously due to transactions/spread), at any time. In order to be able to accumulate "losses" in one taxed accounting location and, then, eventually take the corresponding profits in "Panama", it will be necessary to use a "specific lot" accounting method, in order to "match" suitably the orders, to selectively report the "realized losses". It will also be necessary that the instruments have high volatility (high range) because otherwise, the trading activity will gradually reduce and stop because, in order to create new "matches" of orders with a "loss", it is necessary to continuously expand the range of price traded. In fact, the continuous close and reopening of the positions, to "realize" the losses, will require higher buy orders and lower sell orders. In this case, one can either create new pairs of instruments when necessary or go to Panama to close the "unrealized" and get the profit (ideally almost equal to the sum of all the losses reported.) In this way, tons of "losses" could be easily created in just a few days, or months (depending on the instruments chosen and the size of orders used). [Of course, it works on the paper until some tax officers, more astute than others, will start wondering how can it be that one reports millions in losses in an account where the net balance, net of possible withdrawals, shows little or no loss at all . (But I guess one could use two or more accounts...)] [btw, the procedure would also work similarly and inversely, to create millions of artificial "gains" instead of "losses"...]
omfg. The roll is a synthetic long in one tenor, short in another tenor. The edge loss (fill above strike with on the long roll and carry) is the cash requirement. In the US you cannot trade the tax arb with spot/futures as it's aggregated on the 1099. Fucking duh. You've been doing this how long and you don't understand rate-arbs?
the OP has repeated infinite times he is not even in the US. Accounts can be everywhere. (Even layers could be in different accounts in different countries.)