Lets Say all the stock index fall 20% in three days from monday. You owned puts with these instruments and they all had roughly the same number of days to expiration, thus the same time decay risk, and there respective strike price was at a level where the market would have to fall 10% in each case to get to the strike price. Assume premium price paid is relative. -SPY - ETF options -QQQQ - ETF options -Big Sp500 Futures -E mini Futures -NQ mini Futures Say the market then fell 20%, and these puts become very valuable. Question: Would the return on each instrument be the same, each option must be purchased with 100% cash, as you cant margin purchase options ? So if the QQQQ was to return of 20 times your money, would this be the same expectation for the other instruments ? So all would return 20 times your monies or close to it. Current prices from Yahoo options centre QQQQ Feb 17th PUTS @ $38.00 = $0.20 SPY Feb 17th PUTS @ $112.00 = $0.25 XSP-X.W ( mini SPX options) Feb 17th PUTS @ $111 = $0.30 Thx in advance.

Well to start with options don't have roughly the same number of days to expiration. It's either YES or NO. They would not return the same % gain. DIA puts would probally return the most on a 20% DOW decline, compared to QQQQ puts on a 20% Nasdaq decline.

If you purchase deep ITM puts on all instruments, the delta is close to 1.00 so the put would move close to 1;1 with the underlying, not perfect but close.. However the value per point is not the same for each intrument. This is a messed up question, are ou just asking which product would give you the most profit on a large drop in price? You are comparing puts on apples and oranges here....20% drop in QQQQ is a lot different than 20% drop in SP.

..."This is a messed up question, are ou just asking which product would give you the most profit on a large drop in price? You are comparing puts on apples and oranges here....20% drop in QQQQ is a lot different than 20% drop in SP.".... Sorry thats the question ? What in order is the best PUT you would buy then ???

Since you equate all the indexes together without any differentiation, I would buy puts on the index with the highest numerical value. 20% drop on the DOW is a higher absolute number than a 20% drop on the S&P 500. You make more money with a 20% drop in the DOW than you would with a 20% drop on the S&P..... the question still need to be quantified to make any sense...