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Selling Options on Futures?
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Selling Options on Futures?

  #1851 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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OX is currently 10% over SPAN minimum margin for CL.

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  #1852 (permalink)
Market Wizard
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There is some strange stuff going on in CL lately.

Last week's inventory report showed US oil production was up. US oil imports were up. US oil input to refineries was down and yet the total inventory was down???

Now today inventory is up, when they were predicting a drop, and futures are up 1.00???

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  #1853 (permalink)
Trading Apprentice
san francsco Ca
 
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ron99 View Post
There is some strange stuff going on in CL lately.

Last week's inventory report showed US oil production was up. US oil imports were up. US oil input to refineries was down and yet the total inventory was down???

Now today inventory is up, when they were predicting a drop, and futures are up 1.00???

response to GDP?

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  #1854 (permalink)
Market Wizard
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traderade View Post
response to GDP?

Welcome.

Maybe. But it wasn't up for 2 hours after GDP came out. But they could have been waiting for inventory report before taking it up because of GDP number.

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  #1855 (permalink)
10 out of 10
Sacramento, CA
 
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Looking at selling some SBV13 calls at or around 20/21 ish based on this recent bounce which is following the seasonal pattern pretty well. Beginning of August is the seasonal high until October.

Also looking at selling some CLX13 (might even look out further) calls at or around 125/130 based on the August seasonal high pattern as well as bearish supply information.

ROI on the sugar trade is decent, the CL is barely decent. Slim pickings at the moment.

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  #1856 (permalink)
Market Wizard
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eudamonia View Post
Looking at selling some SBV13 calls at or around 20/21 ish based on this recent bounce which is following the seasonal pattern pretty well. Beginning of August is the seasonal high until October.

Also looking at selling some CLX13 (might even look out further) calls at or around 125/130 based on the August seasonal high pattern as well as bearish supply information.

ROI on the sugar trade is decent, the CL is barely decent. Slim pickings at the moment.

I sold a bunch of SBV13 20.25 calls on Monday. I should have waited a day or so. 3.7% monthly ROI, so I was happy.

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  #1857 (permalink)
Market Wizard
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Sharing

In this interest of "paying it forward" to this great thread that Ron started, I thought I'd share my current positions...

My goal in selling options is to be in 7 instruments at any given time. Each would then be allocated about 15% of margin.

Right now I am in 8 markets, really 9 if you consider Cotton calls and puts to be 2 unique positions - which I guess they are because they are in opposing directions. Although, maybe HO and CL should be considered 1 position, since they are correlated instruments.


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  #1858 (permalink)
Market Wizard
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I went back and watched the Karen Supertrader YouTube video again. I came away this time with a couple of points.

1. Keep it simple. She was asked if she tried this or that and she said no. She just sticks with what she does. She tried other things but found they didn't help.

2. Stick to the plan. She didn't pay attention to external news. She just sold the options on down days and adjusted her position if the market went against her by moving to lower strikes and/or selling some calls.

So then I was playing around with the ROI for different ES put options trying to find the best ROI time period. What I found was that the best time frame for selling ES options with a 0.0200-0.0300 delta was to only keep them for about 30 days or until the price is about 0.40.

It looked like when the price got below 0.40 that the price erosion slowed down. So keeping them past then lowered your ROI.

In the example below, the ESv3p1350 option, if kept to expiration, had a monthly ROI of 2.1%. But if you kept it for 28 days (assuming a flat futures market) and then traded out at $17.50 or 0.35 the monthly ROI is 4.4%.

You made $65. Minus fees you netted $56.86. Margin and 2X excess was $1392. 56.86/1392 is 4.1% in 28 days or 4.4% in 30 days.

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A 1250 for the same time frame and months was 2.9% monthly ROI. 1300 was 3.4%. 1400 was 4.5%. So lower prices and strikes didn't work as well. But higher strikes didn't get a much better ROI.

Going further out in time on the 1350s didn't help. Nov was 3.7%. Dec was 3.6%

If anybody finds a better delta or time frame let us know.


Last edited by ron99; August 1st, 2013 at 05:38 PM.
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  #1859 (permalink)
Market Wizard
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Karen said she sold SPX options. But when I use the OX Trade Calculator it says margin is $135,000? Can somebody enlighten me on that?

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  #1860 (permalink)
Market Wizard
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ron99 View Post
Karen said she sold SPX options. But when I use the OX Trade Calculator it says margin is $135,000? Can somebody enlighten me on that?

I've only watched part of the videos, so maybe she addressed this?

Why does she use SPX options versus ES futures options? Aren't SPX options treated the same as stock transactions, as opposed to the much better tax treatment of futures ?

Maybe it is liquidity, transaction costs or position size granularity, but it seems to me there'd have to be BIG advantages to SPX, to offset the tax disadvantages...

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