synthetic futures

Discussion in 'Options' started by MRE, Jun 25, 2009.

  1. MRE


    i wonder if anyone can help me with a question regarding a combo trade...

    could a synthetic futures position in the SPX options exactly offset a emini S&P 500 futures position? is there a market to roll out of this position at or near expiration? e.g. short sep futures, long sep9 900 combo.

  2. MTE


    Yes, the two would offset each other. You would need 2 ES futures to 1 SPX combo. However, you can just as easily use ES options to hedge in which case it would be 1 to 1.

    And, yes, there is a market to close it out at expiration.
  3. MRE


    thanks for the reply.

    i figured that the SPX options would be a better market the the EX futures options for size.

    where would i go to get a quote to close out the combo vs futures? the cboe floor? i assume the market would be tight and should be around flat, right? (apologies if this is a naive/moronic questions - new to options and this would be part of a larger arb strategy)
  4. MTE


    I don't know if you could submit a single order to close out the options and futures together, but given the fact that futures are extremely liquid you could close out the options first and then close out the futures.

    If you go with ES options then I presume you can do the whole thing as a single order.
  5. Depending on who your broker is and who you are you can quote SPX options tied to the futures via phone for a live market.