Liquid options with low spread

[fullautotrading]

Of course you are more or less certain of a win in the no tax jurisdiction unless the underlying is flat the whole time or your miss the time to realize the loss . As soon as the market moves in either direction you win on one leg. ...

In what you described so far is no such thing as "as the market moves in either direction you win on one leg". I think there is some missing here. You either described something different from what you actually have in mind, or I do not know what you mean.

In order to clear definitely up all the misconceptions and wild guesses, I think you should make a concrete example specifying:

1 where and when (one or multiple accounts) the trading happens
2. a concrete example of possible options configuration you have in mind, where you specify, for each option:
the instrument, strike price, signed position, you want to take and when
3. when and how you want to "close" part of all the options

(make sure the configuration is actually possible. That is, the instruments exist and are quoted)

Only given these elements, I think people can comment. Otherwise, it's just a mess of posters making all sorts of assumptions on tax avoidance strategies and incomprehensible statements on your part such as "you win on one leg", "covering the other part", "looking for a market neutral position", "more or less certain of a win in the no-tax jurisdiction", "achieve a market neutral portfolio without any risk", and so on, which are not compatible at all with "selling calls and puts".

> Currently planning on having the legs in the same account due to possible margin restraints
If that is the only reason, if you short them, it's not going to make any difference. In order to use the portfolio margining you need a different layout.

> The win from each OTM options would be very small
No. I begin to suspect that you are not grasping entirely the consequences of the trade. As explained already a couple of times, even with payoff charts, there is no difference in ITM or OTM for your configuration (strangle), apart from the bigger spread (and slightly larger "premium") of ITM.

>I would need strikes like 2400 and 4420 to feel comfortable risk-wise (30%). The strikes are far too close and I would run a suicidal risk with those strikes, I agree.

You are talking of the impossible. If you think of very far-away strikes, you cannot demand that they be available very short term, like a couple of weeks! Who is so stupid to let you sell at that "distance"? [maybe that is also the reason you cannot get the data ]
Anyway, for a "broader" range of strikes, you may consider SPX (even though I do not favor it because for my personal trading I need things that run H24).

For available strikes at any expiration, you can look for instance on Barchart or other similar websites (or you can just use the IB API to retrieve the available strikes for each expiry)

https://www.barchart.com/futures/quotes/ES*0/options
https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.quotes.options.html
https://finance.yahoo.com/quote/^SPX/options/
https://bigcharts.marketwatch.com/quickchart/options.asp?symb=SPX

 

[newwurldmn]

In what you described so far is no such thing as "as the market moves in either direction you win on one leg". I think there is some missing here. You either described something different from what you actually have in mind, or I do not know what you mean.

In order to clear definitely up all the misconceptions and wild guesses, I think you should make a concrete example specifying:

1 where and when (one or multiple accounts) the trading happens
2. a concrete example of possible options configuration you have in mind, where you specify, for each option:
the instrument, strike price, signed position, you want to take and when
3. when and how you want to "close" part of all the options

(make sure the configuration is actually possible. That is, the instruments exist and are quoted)

Only given these elements, I think people can comment. Otherwise, it's just a mess of posters making all sorts of assumptions on tax avoidance strategies and incomprehensible statements on your part such as "you win on one leg", "covering the other part", "looking for a market neutral position", "more or less certain of a win in the no-tax jurisdiction", "achieve a market neutral portfolio without any risk", and so on, which are not compatible at all with "selling calls and puts".

> Currently planning on having the legs in the same account due to possible margin restraints
If that is the only reason, if you short them, it's not going to make any difference. In order to use the portfolio margining you need a different layout.

> The win from each OTM options would be very small
No. I begin to suspect that you are not grasping entirely the consequences of the trade. As explained already a couple of times, even with payoff charts, there is no difference in ITM or OTM for your configuration (strangle), apart from the bigger spread (and slightly larger "premium") of ITM.

>I would need strikes like 2400 and 4420 to feel comfortable risk-wise (30%). The strikes are far too close and I would run a suicidal risk with those strikes, I agree.

You are talking of the impossible. If you think of very far-away strikes, you cannot demand that they be available very short term, like a couple of weeks! Who is so stupid to let you sell at that "distance"? [maybe that is also the reason you cannot get the data ]
Anyway, for a "broader" range of strikes, you may consider SPX (even though I do not favor it because for my personal trading I need things that run H24).

For available strikes at any expiration, you can look for instance on Barchart or other similar websites (or you can just use the IB API to retrieve the available strikes for each expiry)

https://www.barchart.com/futures/quotes/ES*0/options
https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.quotes.options.html
https://finance.yahoo.com/quote/^SPX/options/
https://bigcharts.marketwatch.com/quickchart/options.asp?symb=SPX

the structure is straightforward. He has two 99 delta options. So when the market moves, one earns and the other loses in equal amounts. He closes the winning one while banging street prostitutes in Panama. And then closes the losing one while hanging out at a fetish sex club in Berlin.

 

[destriero]

the structure is straightforward. He has two 99 delta options. So when the market moves, one earns and the other loses in equal amounts. He closes the winning one while banging street prostitutes in Panama. And then closes the losing one while hanging out at a fetish sex club in Berlin.

Yeah, it's just dumb as there is no leverage.

 

[newwurldmn]

Yeah, it's just dumb as there is no leverage.

its dumb because he's moving from a shithole to another shithole in order to save a few bucks in taxes and there's still a decent chance he ends up in a shithole jail for tax evasion.

 

[fullautotrading]

the structure is straightforward. He has two 99 delta options. So when the market moves, one earns and the other loses in equal amounts. He closes the winning one while banging street prostitutes in Panama. And then closes the losing one while hanging out at a fetish sex club in Berlin.

LOL, where is Overnight? ... the Stranger said that one should be opening both legs... in Panama... "The Dude abides"

For the contemplated 2 weeks' short options the"flat" stuff happens (equally in ITM or OTM)
in a relatively "narrow" range, practically unusable for the purpose (Δ immaterial over the relatively small range where the "diagonals" add up to a constant).

Beyond that, one is FKeD big time, whatever direction

(I understand the intention may be to keep "rolling" that continuously. But there are probably better ways to use time and $$$.)

 

[statist]

its dumb because he's moving from a shithole to another shithole in order to save a few bucks in taxes and there's still a decent chance he ends up in a shithole jail for tax evasion.

How often do I have to tell you it is a legal? Maybe you have to google dunning kruger effekt? But this is a new low as you do not even know the topic you are giving out "advice" about (tax laws in country x and going to jail). Maybe you are a good options trader but tax law is not your forte.

 

[destriero]

An SPX roll is riskless and costs less than $1K to effect. Put on 1-10-100-1000 rolls. Cover the losing 1000-lot synthetic when you meet your cap-gains threshold. You can replicate the losing synthetic as a box/roll order with a new tenor inside the existing winning synthetic.

You're the money pro, right?

 

[destriero]

How often do I have to tell you it is a legal? Maybe you have to google dunning kruger effekt? But this is a new low as you do not even know the topic you are giving out "advice" about (tax laws in country x and going to jail). Maybe you are a good options trader but tax law is not your forte.

lol you're the clueless one. The dude you're trolling could buy your life 10x over. His daily var is like $500K. I am sure he thinks about your ghetto Caribbean tax authority about as much as they think about him.

You're asking for advice and came up with a r******d structure.

 

[destriero]

OK, you guys need to stop with the ridiculous guts/inside strangle. It's monumentally dumb.

1) There is no leverage. In RegT it's going to cost you the full debit per side. 2) The account becomes a tax-scam vehicle and nothing else due to the size necessary with no margin treatment. I ran the inside (guts) strangle in SPX at 2000x5000 strikes and it required the full debit under PM-treatment (TIMS), no idea if that's accurate bc I've never modeled something so stupid.

Buy a call, short a put at x in M1. Buy a put short a call at y in M2. It's a box arb by tenors. Dissected, it's a bull spread at x and a bear spread at y (or) long the inside strangle at x, y and short the outside strangle at x, y.

You can trade the roll in stupid size and dial in the number needed to cover your taxable gains. You can perpetuate the roll (roll the roll) with another roll when you cover the losing synthetic. Losing synthetic goes off as you replicate in another tenor and roll against the existing winning synthetic (synthetic -> conversion -> new synthetic when conversion terminates).

 

[destriero]

Roll -> cover losing synthetic -> conversion against winning synthetic -> cover losing side of conversion -> cash loses; cover, trade new synthetic against existing (complete roll) -> synthetic loses; cover, trade new synthetic against cash (complete conversion).