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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,836 / 5,734
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Selling Options on Futures?

Old August 23rd, 2013, 10:11 AM   #1971 (permalink)
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rosho01 View Post
hi ron (though its kevins post), out of interest as CLZ3 90P has a delta which fits with your strategy have you been selling any of these? i am surprised by the delta being that low for a 90P.

re the ES spreads, from other forums i have read that TOS provides much more liquidity, though there seems to be a lot of debate over which is the cheapest. I will have to check TOS out.

The delta on that option is 0.1241. Way too high.

I generally stay at least 25 OTM on CL options no matter what the delta is.

No way TOS or any other provider can have more liquidity for ES options. They all have the same. They all get the quotes from the CME. ES is not like stock trading.


Last edited by ron99; August 23rd, 2013 at 10:32 AM.
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Old August 23rd, 2013, 10:27 AM   #1972 (permalink)
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BlueRoo View Post
Ron, Thanks for post your approach to seasonal charts in excel. It spurred me on to complete some work I had been doing with XSP seasonality in excel. Here I have applied it to USO as I don't have a data service for futures. I would imagine it would provide a similar seasonal chart for the continuous month in CL. (Is that reasonable to suggest?). I have normalized the prices for each year so the extent of the moves are comparable. Thoughts and feedback welcomed.

Nice chart. What version of Excel is that?

That chart looks similar to ES charts on the timing and trends.

For most futures you will need each month rather than continuous unless you are only trading the last 30 DTE. The back months do move differently than the front.

Futures like ES, GC, SI, KC continuous is OK. Make sure you switch contracts on them right before first notice happens. Otherwise screwy numbers.

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Old August 23rd, 2013, 10:28 AM   #1973 (permalink)
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rosho01 View Post
hi ron (though its kevins post), out of interest as CLZ3 90P has a delta which fits with your strategy have you been selling any of these? i am surprised by the delta being that low for a 90P.

re the ES spreads, from other forums i have read that TOS provides much more liquidity, though there seems to be a lot of debate over which is the cheapest. I will have to check TOS out.


Note that I was referring to October puts, not December puts. The delta on CLZ3 90P will be a lot different than the delta on CLV3 90P

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Old August 23rd, 2013, 10:49 AM   #1974 (permalink)
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rosho01 View Post
hmm sorry, i shld have been more specific:

ES Z3 +1740 (long) -1730 (short) Bear Call Spread Bid: 2.95 Ask 2.65.

So thats only 6 ticks wide (0.05 denomination), perhaps it is time of day & i was getting confused - easily done. Ignore!

the spread on this is 3.50 / 2.50 at the moment, though bids for 3.25 keep appearing & disappearing. i wasnt seeing things.

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Old August 23rd, 2013, 10:52 AM   #1975 (permalink)
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rosho01 View Post
the spread on this is 3.50 / 2.50 at the moment, though bids for 3.25 keep appearing & disappearing. i wasnt seeing things.

To leg into it right now it is 2.25-2.50.

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Old August 23rd, 2013, 11:56 AM   #1976 (permalink)
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OX increased their margins by 10% on CL, RB, & HO today. CL is now 20% over SPAN minimum. HO 30%. RB 40%.

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Old August 23rd, 2013, 12:09 PM   #1977 (permalink)
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Sell not buy.

I sell options (verticals) on various with the delta of the short option between 20 and 30.
I hedge the delta with options or futures with very low risk and usually good returns.

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Old August 23rd, 2013, 12:11 PM   #1978 (permalink)
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datahogg View Post
I sell options (verticals) on various with the delta of the short option between 20 and 30.
I hedge the delta with options or futures with very low risk and usually good returns.

Can you show a detailed example? I'm confused by delta "between 20 or 30." Delta can't go above 1, can it?

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Old August 23rd, 2013, 12:18 PM   #1979 (permalink)
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kevinkdog View Post
Can you show a detailed example? I'm confused by delta "between 20 or 30." Delta can't go above 1, can it?

I suspect he removed the decimal point. So they would be 0.200-0.300

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Old August 23rd, 2013, 03:56 PM   #1980 (permalink)
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Math


Yes the option will have a delta of 0.2 - 0.3 for my use. But the option with a delta of 0.2 with no change will
be equivalent to 20 shares of the underlying (for a call.) My point was that verticals with a sold option with a
delta of 0.20 - 0.30 can be hedged to almost eliminate the delta risk.

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