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Thanks for your time and your sample. It was my mistake. I thought that you were talking about selling puts (or calls) when the std.dev of the index was above |1.2| respect to his mean (of "n" days).

Mmm, that sounds familiar to me! :p Which period do you consider for the sigma?

Another issue with Collective2 is that they do not value accurately the margins in vertical strategies.

Maybe is related to that, and he can get discounts in the official commisions from his/her broker under the table. :D

Wow, under no reason I would suggest the idea of forgetting the Greeks. They must be present in your strategy, cos when the things change you will know exactly WHY and approximately how much.

Well, sorry for the stupid remark but, have you tried at the right time? Eurostoxx options are negotiable from 7:50 to 16:30 GMT

Try it with ESTX50