Long future/long put/short call

Discussion in 'Index Futures' started by ChrisM, Jun 19, 2002.

  1. ChrisM


    Anybody can share own practical experience with the trades i.e.:

    Long SPU2 @1210
    Long SPU2 PUT 1210
    Short SPU2 CALL 1210

    (opening on up days, when CALLS IV is high, so CALLS are overvalued versus PUTS)
  2. take a look at the spreads on those options contracts...That is not really much of a strategy for an off the floor trader...I would say "locking in" big open profits in the futures side of the trade might be worth trading a collar around it, but to have that as your initial position to try and extract premium from, the spreads will take away your edge
  3. ChrisM


    That`s what I actually thought, but never tried.

    Thx, Vulture.
  4. Are you just trying to leg into the conversion? Your better off just trading the futures postion without the options, your going to give up too much vig expecially around expiration.
  5. chisel



    The IV of the calls and the puts are the same. Maybe the quotes are late to make it appear worthwhile, but I wouldn't advise trying to lock in the profits. The guys on the floor would be all over it. It's free money.