So 1% in comms on say 60K in premium, absent microstructure. Imagine doing this in 1995. It would've cost you 3-5%.
Long /ESU8 1/50 AUG 18 (Wk1) /EW1Q8 2805 CALL/PUT @40.50 (from 7/19) Currently marked at 27.75 Hedging gains realized since trade: 410 P/L: -240 Current positions: /ESU8 1/50 JUL 18 (EOM) /EWN8 2805/2800 PUT @.75 /ESU8 1/50 JUL 18 (EOM) /EWN8 2820/2825 CALL @.40 I hedged the gamma poorly so far...
More trading hours (even considering ext. hours for SPX). I'm usually busy at work during the day and enter my trades in the evening. Also, I am hoping to capture moves, so it's better if I can trade 23/5 and have limit orders in place.
Regardless of your options (SPX, SPYs or ES), you'd be hedging your delta in futures which you can trade round the clock. I don't see, however, why you'd trade futures options instead of index based on that reason alone.
With other options. So for example, if ES goes up x pts, i will buy a short-dated OTM put spread instead of selling futs. I am aware that I am adding more Gamma and neg Theta... but that's what I want to do What I am ultimately betting on is my ability to pick the strike and cap of these hedges to do better than a simple futs hedge.