SPY/QC - Well doing a bull call spread defeats the purpose of matching the S&P, doesn't it? Still, I'd argue that it's better to hedge and underperform on a good run so, if I wanted to have a lot of SPY (say 1/3) and I had a $1M portfolio, I'd pick up 30 of the 2017 $200 ($24.25)/$230 ($8.25) bull call spreads for $14 ($42,000) and sell 25 the 2017 $170 puts for $8 ($20,000) for net $6 ($22,000).
If all goes well and the S&P is over $230, you collect $90,000 for a $68,000 profit against the risk of owning 2,500 shares of SPY at net $176 ($440,000). While you risk being assigned a bit more than $330,000, your assignment comes at $35 (16.5%) off the current price and, of course, we can always roll and adjust in between because the 25 short SPY puts take just $43,000 in margin.
Forgetting the huge return on cash (309%) or margin+cash (104%), the return on your $333,000 allocation is 20.4% over 19 months. That outperforms a normal S&P and only requires SPY to be 8.4% higher for you to make the full 20.4%. In a flat market you make money and you don't actually lose money unless SPY drops more than 16.5% (1,771).
If you are worried about missing out on an S&P run of another 50% between now and 2017, that would be S&P 3,000 and SPY 300 so you could pick up 15 of the 2017 $240 calls for $4.80 ($7,200) and sell 10 AAPL 2017 $100 puts for $6.50 ($6,500) or 10 SPY 2017 $160 puts for $6.20 ($6,200) and that puts you in for net about $800 so, at SPY $300, you would get back $450,000 - certainly not missing anything that way!
AAPL/1020 - I agree.
