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?
1) ?.....The futures "offset". The options don't. 2) Your net position is a short-straddle. 3) What you may want to try to do is to have losing trades be allocated to Account-1 which is taxable AND allocate profitable trades to Account-2 which is tax-deferred and/or tax-exempt. Then you may really have "something".
Don't worry I do this all the time. At about 11:00PM i'll have the greatest trading idea ever, and then by 9:00 once i've had a night's rest and coffee, it's not so brilliant anymore.