There is no way to make it margin-efficient in a retail account, even with portfolio margin. Say you're short the ETF vs. the long synthetic basket. Neutral price and you're probably talking about variance on the order of $500-$600 per day, max, with PM. It's just not feasible. You would need to be trading a prop sub-account to effect it. No back-office at a BD is going to allow you to go on call. You would need to be at a place like Bright or Echo. Friesen at Bright probably sees this 10x a week. It's nothing for them.
exacta exactamundo thanks for confirming. I am learning options so get ready for some trolling. cottle, baird & sinclair are getting a re-read.