synthetic short call on ES (and skew)

Discussion in 'Options' started by luisHK, May 22, 2013.

  1. luisHK


    Any reason i shouldn't sell the synth rather than the call ?

    With the ES options skew, it looks better to sell a otm short put plus 1 ES contract than selling the corresponding short call, even despite the extra commish and bid/ask spread lost. The premium is around 3points more for the June19 synth calls on a 2%otm call.

    What do you think ?
  2. Sell the 2% OTM put and short ES to effect the synth short call? How does that relate to the 2% OTM call? One is a synth ITM call and one is an OTM natural.
    MajorUrsa likes this.
  3. luisHK


    Oups sorry, I got lost, it should have been a short 2% itm put and short ES to mimic the 2% short otm call. Nothing to gain there skewwise.

    I should get some sleep :(
  4. luisHK


    I guess selling otm calls with low IV in this bull market has cost me some sleep ...