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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,971 / 5,727
Last Reply:22 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old August 16th, 2013, 05:56 PM   #1901 (permalink)
Market Wizard
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I am working on a project to try to determine the best entry and exit prices to get the best ROI% for options that I don't ride to expiration. The data I need is the price each day, which I have been able to calculate, and the margin required. This is turning out to be elusive.

There is no way with the PC-SPAN program to calculate margin while only changing the date and keeping all other variables constant. So what I am left with estimating margin based on a few days where the future's price was about the same and then guesstimating the others.

Preliminary results for an Oct ES 1350 put (when futures are at 1685) is best monthly ROI% is on at 2.50 to 1.90 and out at 0.25. Starting at a higher price further out in time gave a slightly lower ROI. Starting at 1.00 or less gave worse results by 1-1.5%

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Old August 16th, 2013, 05:59 PM   #1902 (permalink)
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Margins dropping in C, S, W, LH, LC effective next Wed am.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv13-378.pdf

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Old August 16th, 2013, 06:54 PM   #1903 (permalink)
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ron99 View Post
I am working on a project to try to determine the best entry and exit prices to get the best ROI% for options that I don't ride to expiration. The data I need is the price each day, which I have been able to calculate, and the margin required. This is turning out to be elusive.

There is no way with the PC-SPAN program to calculate margin while only changing the date and keeping all other variables constant. So what I am left with estimating margin based on a few days where the future's price was about the same and then guesstimating the others.

Preliminary results for an Oct ES 1350 put (when futures are at 1685) is best monthly ROI% is on at 2.50 to 1.90 and out at 0.25. Starting at a higher price further out in time gave a slightly lower ROI. Starting at 1.00 or less gave worse results by 1-1.5%

Coincidentally, I have been looking at a similar thing, but more in real time. The question I was attempting to answer is "does it makes sense to hang on for the last tick or 2, or is it better to exit before expiration?"

The way I set it up: For any trade date after I enter, I simply re-enter all the pertinent info, and see what the new ROI is. If the new ROI is significantly higher than the original ROI, I consider adding to position. If it is a lot less, I look at exiting early, especially if I need margin for other trades.

So far, most of the time, it is indeed better to hold until expiration. But not always. Nevertheless, it was a useful exercise, but not nearly as in-depth as Ron's study.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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Old August 16th, 2013, 07:00 PM   #1904 (permalink)
Market Wizard
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Most of the softs are better held to expiration. ES is better to get out early. CL can go either way.

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Old August 16th, 2013, 07:12 PM   #1905 (permalink)
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Futures Edge on FIO

ron99 View Post
I am working on a project to try to determine the best entry and exit prices to get the best ROI% for options that I don't ride to expiration. The data I need is the price each day, which I have been able to calculate, and the margin required. This is turning out to be elusive.

There is no way with the PC-SPAN program to calculate margin while only changing the date and keeping all other variables constant. So what I am left with estimating margin based on a few days where the future's price was about the same and then guesstimating the others.

Preliminary results for an Oct ES 1350 put (when futures are at 1685) is best monthly ROI% is on at 2.50 to 1.90 and out at 0.25. Starting at a higher price further out in time gave a slightly lower ROI. Starting at 1.00 or less gave worse results by 1-1.5%

It looks like PC-SPAN hasn't been updated since 2000. It sounds like what you need is an API (Application Programming Interface) to SPAN so that you can automate the SPAN calculations according to your own needs. I just had a look at the PC-SPAN online documentation. From it's appearance, it looks like PC-SPAN was written in Visual Basic. It MIGHT be possible to extrapolate an API from the DLL's/COM objects (If indeed the PC-SPAN authors used that approach, but I can imagine where they might have written PC-SPAN as a monolithic program, in which case you'd be sort of out of luck)

Alternatives? Unfortunately, there is remarkably little info available on SPAN margin calculating on the net.

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Old August 19th, 2013, 07:39 AM   #1906 (permalink)
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QE

Hi Guys,

just thought i would ask for your thoughts on the effect of the possible winding back of QE in the US. is it likely to have an effect on commodity prices?

the context i ask in regards to the aussie dollar. i have been selling plenty of options on the dollar for the last 4 or so months. With China slowing down and interest rates only going down in Australia i would expect the dollar not to rise agains the USD. I was reading something and a comment was made where Steve Briese was expecting the aussie dollar to bounce against the USD. I use cotbase.com to look at cot data and went in to have a look at what it was saying about the AUD. It currently is sitting, or just come off some crazy extremes for the commercials and the small Specs.

My question is, what would the effects of winding back QE have on the USD?

Regards,

Bakes

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Old August 20th, 2013, 12:16 PM   #1907 (permalink)
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Sorry Bakes but myself and the others don't have a good idea what will happen. I rarely look at that.

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Old August 20th, 2013, 12:42 PM   #1908 (permalink)
Market Wizard
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KC option volume and OI has dropped a lot. OI is the lowest since Feb 2010. Volume the last few days has been 2k. Last year 8k.

CL option OI is less than last year by 16%. But futures OI is all time highs. CL option volume Friday was the lowest since March.

NG option OI is down 10% from last year.

Grain and Livestock options are down from last year mainly because it was up last year due to drought.

GC & SI options OI are way up. 40% & 25%. But there is poor ROI on them.

But ES put OI is up 66%! Volume is up about 200%!

At first I was surprised how the markets changed from year to year. Now I expect it. So you need to be able to adjust your trading year to year. You can't find something that works now and say I can just keep doing this for a while. That just doesn't work.

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Old August 20th, 2013, 12:46 PM   #1909 (permalink)
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ron99 View Post
KC option volume and OI has dropped a lot. OI is the lowest since Feb 2010. Volume the last few days has been 2k. Last year 8k.

CL option OI is less than last year by 16%. But futures OI is all time highs. CL option volume Friday was the lowest since March.

NG option OI is down 10% from last year.

Grain and Livestock options are down from last year mainly because it was up last year due to drought.

GC & SI options OI are way up. 40% & 25%. But there is poor ROI on them.

But ES put OI is up 66%! Volume is up about 200%!

At first I was surprised how the markets changed from year to year. Now I expect it. So you need to be able to adjust your trading year to year. You can't find something that works now and say I can just keep doing this for a while. That just doesn't work.

I have experienced that too. You just have to keep shopping around. It makes it harder to keep up with the fundamentals for a wider variety of markets.

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Old August 20th, 2013, 03:01 PM   #1910 (permalink)
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Haven't posted in a while but the only trades I have been making are in CL and ES. Been selling weekly ES options around high up or down days (if there is one) because I'm thinking we'll be range bound for a while. My opinion is there is a downside bias in the indices with the 'tapering talk' happening and some of the earnings misses. The ROI is crap but if I can add a few hundred to the account week after week then I'm going to take it.

Been selling CL calls are around 130 or 140 level. Don't like the puts yet. Too long to hold the 75 or 70's. Too long for me that is.

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