Bullseye; RE:" Index Option Arbitrage "
>How can I do some index arbitrage ? One scenario that I'm
looking into is buying ftse100 puts when the dow takes a hit.
...yeah; we were having a lot of fun shorting DAI whenever the DJIA tanked after one of those AsianFlu debacles six months ago. We were using DAI as a proxy for the DAX - that's the easy way; ie., find an ADR that's traded with options over here and use it as a substitute for the foreign market. GE would be the proxy for the S&P, if there weren't any SPY.
>The WEBS are interesting, but I have to know what companies are
in the index. I followed some of the webs, but it seems to me that
they are illiquid and don't follow the underlying value (as opposed
to spy and dia)...
WEBS are very liquid, indeed; and you can short 'em without a downtick, like SPY, I believe. The lack of volume for 'em is just because they are not well known - it doesn't reflect any lack of their liquidity.
If you can't find the underlying components of the WEBS by rooting around the AMEX website, send 'em an E*MAIL and request the info (and please post it here).
Else, bookmark 'Donald Sew' here on SI and ask him for various index option vehicles - he's an active index trader. Both 'Dolinar Janko' and 'Jurgen Trautmann' here trade DAX index options, I believe.
-Steve |
