Selling Options on Futures? - Options on Futures | futures.io
futures io futures trading


Selling Options on Futures?
Started: by ron99 Views / Replies:620,605 / 5,898
Last Reply: Attachments:664

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 664  
 
Thread Tools Search this Thread
 

Selling Options on Futures?

  #2011 (permalink)
Rristocrat
zurich
 
Futures Experience: Advanced
Platform: Sierra ahRrrr CQG ...
Favorite Futures: Bund, ES, ...
 
puma's Avatar
 
Posts: 963 since Aug 2010
Thanks: 7,262 given, 1,485 received

Hi ron99,

firstly thank you for your ongoing posts here.

My question is, how do you calculate your ROI% ?

Reply With Quote
The following user says Thank You to puma for this post:
 
  #2012 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,467 since Jul 2011
Thanks: 687 given, 4,193 received
Forum Reputation: Legendary

ROI%

What we have done here is take the margin required to sell the option and added 2X that number for cash excess. Or simply 3X margin. That will give you 33% for margin and 67% for cash excess. For example if margin is $500 then you would have 500 margin and 1000 cash excess per contract.

(Premium - fees) / (Margin * 3) = Total ROI%

To get a monthly number to compare contracts with different DTE you do this.

(Premium - fees) / (Margin * 3) / DTE * 30 = Monthly ROI%

One other way that I calculate ROI%, but I haven't shown in this thread, is to use the average margin for the option by taking beginning margin and exit margin and averaging the two. This shows a more precise ROI% if you are using the freed up margin and premium to add additional options while you still have on this position.

(Beginning Premium - Ending Premium - fees) / ((Beginning Margin + Ending Margin) / 2 * 3) = Total ROI%

(Beginning Premium - Ending Premium - fees) / ((Beginning Margin + Ending Margin) / 2 * 3) / DTE * 30 = Monthly ROI%

Reply With Quote
The following 5 users say Thank You to ron99 for this post:
 
  #2013 (permalink)
10 out of 10
Sacramento, CA
 
Futures Experience: None
Platform: None
Broker/Data: OX and DeCarley
Favorite Futures: Futures options
 
eudamonia's Avatar
 
Posts: 310 since Jul 2010
Thanks: 299 given, 424 received




On that note 150 calls have a pretty nice premium. The seasonals support selling, and supply side is heavy. The only X factor is the geopolitical situation. Thoughts?

Reply With Quote
 
  #2014 (permalink)
Rristocrat
zurich
 
Futures Experience: Advanced
Platform: Sierra ahRrrr CQG ...
Favorite Futures: Bund, ES, ...
 
puma's Avatar
 
Posts: 963 since Aug 2010
Thanks: 7,262 given, 1,485 received

TY for your detailed info on ROI%.

I will play around with your formula a bit.

Reply With Quote
 
  #2015 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,238 since Jul 2012
Thanks: 1,048 given, 4,078 received

futures io on Facebook

eudamonia View Post
On that note 150 calls have a pretty nice premium. The seasonals support selling, and supply side is heavy. The only X factor is the geopolitical situation. Thoughts?

That is a HUGE "X" factor in my opinion. If US launches cruise missile, who knows what is next? Gas attack on Israel? Iran getting involved? It could be really, really ugly.


As an alternative, what about selling Nov Puts? You can sell 86 P, delta of .01, and get around 5% ROI. It is against seasonals, though...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #2016 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,467 since Jul 2011
Thanks: 687 given, 4,193 received
Forum Reputation: Legendary


eudamonia View Post
On that note 150 calls have a pretty nice premium. The seasonals support selling, and supply side is heavy. The only X factor is the geopolitical situation. Thoughts?

The only tricky thing is picking the top. But if they release SPR oil then it crashes immediately and you missed out.

This is the toughest decision to make when selling options.

I have a delta of 0.025 based on the last trade of 0.15 (Nov 150) but the ask is now 0.11. But those prices are far higher than what it should be. I'm getting 0.06.

One thing to think about for something like this is doing a covered call for protection. 150-170. But good luck getting a seller at a reasonable price for Nov 170.

A Dec 150-170 has more volume. Maybe right now you could get 150c at 0.13 and 170s at 0.07. SPAN margin is 144 and yesterday's settlement was $50. OX is 20% more than SPAN for CL. For OX the monthly ROI% is 2.9.

FYI The Nov contract for a lot of commodities have much lower VOL & OI than Dec. Dec always has the highest VOL & OI for futures and options.

Reply With Quote
The following 2 users say Thank You to ron99 for this post:
 
  #2017 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,467 since Jul 2011
Thanks: 687 given, 4,193 received
Forum Reputation: Legendary


kevinkdog View Post
That is a HUGE "X" factor in my opinion. If US launches cruise missile, who knows what is next? Gas attack on Israel? Iran getting involved? It could be really, really ugly.


As an alternative, what about selling Nov Puts? You can sell 86 P, delta of .01, and get around 5% ROI. It is against seasonals, though...

But if you sell puts and they release SPR oil you are screwed.

Jan 1991 before 1st Iraq war they released SPR oil and price dropped 43% in 2 days. 32 to 19.

CL right now may just be too volatile to trade if you want a lower risk account.

Reply With Quote
 
  #2018 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,238 since Jul 2012
Thanks: 1,048 given, 4,078 received


ron99 View Post
CL right now may just be too volatile to trade if you want a lower risk account.

Great point.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #2019 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,467 since Jul 2011
Thanks: 687 given, 4,193 received
Forum Reputation: Legendary

SPR release June 2011 caused CL to drop $10.

Reply With Quote
 
  #2020 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,467 since Jul 2011
Thanks: 687 given, 4,193 received
Forum Reputation: Legendary


Just like clock work yesterday, if CL futures go up then CL put OI increases more than CL call OI. If futures go down then call OI increases more than put OI.

This proves my theory that a lot of the option buying is protection for future purchases.

Reply With Quote
The following 2 users say Thank You to ron99 for this post:

Reply



futures io > > > > Selling Options on Futures?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Market Analysis w/Dave Forss @ IQFeed

Apr 25
 

Introducing iSystems with Stage 5 Trading

Apr 27

*NEW* FIO Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

May

Prototyping Python Strategies (part 2) w/Ran Aroussi

Elite only

Ask Me Anything w/Raymond Deux @ NinjaTrader

May 3

An Afternoon with FIO member Softsoap

Elite only
 

Machine Learning & Data Mining Bias w/Kris Longmore @ Robot Wealth

Elite only

Brannigan Barrett (TBA)

Elite only

FIO member Gomi (TBA)

Elite only

FuturesTrader71 (TBA)

Elite only

EasyLanguage Programming w/Chris @ ABC Trading Group

Elite only

Portfolio Diversification w/Brendon Delate

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Crude Oil (CL) futures inverse pairing options Big Mike Commodities Futures Trading 8 December 12th, 2013 11:00 AM
Recommend futures, options Broker? sam1197 Brokers and Data Feeds 17 March 27th, 2013 12:42 AM
Trading Futures with options as protection Gooffy2010 Commodities Futures Trading 6 October 2nd, 2012 04:55 PM
Selling Njniatrader sam1197 NinjaTrader 22 June 28th, 2012 12:40 PM
Zen-Fire Futures options tici88 Brokers and Data Feeds 1 July 30th, 2011 09:16 AM


All times are GMT -4. The time now is 07:28 PM.

no new posts
Page generated 2017-04-23 in 0.13 seconds with 20 queries on phoenix via your IP 54.81.192.214