: How to replicate a long put option How can I replicate a long put option on S&P 500 index? I believe the best way is to short delta shares and put the proceeds plus the value of the put in t bills but i am not getting

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The typical way to replicate a long put option is to short the underlying and buy a call at the strike you want.

So in your case you would sell S&P 500 futures at the expiry you want, and buy calls at the expiry and strike you want.

Since selling S&P futures require significant margin, you could also look at short ETFs that closely track the S&P 500.

Note: I am NOT recommending this strategy; just illustrating how you could short the index.