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I have realized all along this is the way they are priced. It's called backwardation, I believe. Just looking for opportunities . . . . and they do exist. AZD

FA, Thanks for your input. It seems the big key in this is to get your broker to allow you to set up the position "free" with no naked requirements on the puts. I'm not necessarily going to do one of these, but it's always nice to investigate all scenarios, even if they seem too good to...

MTE, Thanks for the input. No, I did not forget about that. And I just used that particular month/strike as an example. It is possible to get a big discount on 1 and 2 year contracts as well. Also, the position could be closed out at any time, so a 3 year (or 1 year) wait would not...

Good Point. Perhaps the best strategy is to deal with SPY puts that have some more time value. Then, if your broker will consider them "covered," your rate of return gets more interesting. AZD

OEX and XEO are both settled on the S & P 100, right? One is American style and the other is European style. Where would one go wrong using the example (740 puts) that you posted? AZD

I think I have accounted for everything. Unless there is a large divergence between SPY and SPX prices, there are opportunities. Not $15 of free money as there is more risk the closer to the money you go. Here is something that possibly you are not considering. It may be possible to...

After looking at these strategies more closely (namely the put spread), they all provide at least 4 to 5% return with the opportunity for much more. I think you guys give up too easily.:D AZD

Why Spin, is that really you? Are you still hanging out at the other cyber-place, or has everyone defected over here?:) I don't know how much I can contribute to your majesty, as I am not even worthy to change your vacuum cleaner bag - - - However, I've been doing the same as you...

Yahoo Finance for January 22, 2004 has the SPX at 1143.94 and the SPY at 114.80 with an adjusted close of 109.29. I don't have immediate access to options data of that same time period. AZD

Yet one more play on this is to buy 10 deep ITM SPY calls (Dec 60s) and buy the SPX Dec 1900 put to form a "gut." Just thinking out loud. AZD

Also, worst case scenario with assignment, with dividends on the SPY you get 4 to 5% a year. Best case scenario, you get a very cheap call on the underlying if it rockets past 1900/190. AZD

Yes, I realize that assignment is likely that far in the money. However, if you go for example to the 1600s/160s you still get a credit. I'm not saying you must go way ITM. AZD

Ooops, make that 16K on 40K would be 40% return or 13%+ a year, no? AZD

"This is not an arb opportunity!" But is it an opportunity? 1:10 contracts brings in 16,000 for 3 yrs. You get interest on that amount, and if the SPYs are considered uncovered, your margin is around 40K plus. A 25% return over 3 years + interest if you look at it that way, provided...

Seems to be almost a 1:1 correlation over a long period of time. AZD

Every once in a while, I am right. But even a broken clock is right twice a day! :D AZD

I don't know if anyone has discussed this idea so here goes: What does everyone think about the idea of buying deep in the money SPX options (European exercise, big discount) and selling SPY options (10 SPY for every 1 SPX)? Example: Buy 1 SPX (1423.5) Dec 09 1900 put at 318...

Key statement: "If it doesn't close above 130 you've lost it all. " Not true. If it doesn't close above 130, you don't receive maximum profit. If it closes below 125, you've lost it all, and that is only if you decide not to close it out before the end of expiration day. Yes, the OIH...