I know something must be awry here, but I'm having a brain fart or something. Sell 1 near month EUR futures contract in account 1 Buy 1 near month EUR futures contract in account 2 Sell one EUR three-month put in account 1 Sell one EUR three-month call in account 2 Roll over both futures contract Let the futures contracts expire Let the options contracts expire. Is this a close to fool proof way to capture the time premium on the two option positions? Name for this? Alternatives?