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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,610 / 5,734
Last Reply:8 Hours Ago (01:01 AM) Attachments:642

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Selling Options on Futures?

Old September 21st, 2013, 01:53 PM   #2111 (permalink)
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kevinkdog View Post
That sounds more reasonable, I could see crude moving that much in extreme situations. Do you agree?

Easily. I hope FCMs use the DTE in the calculation.

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Old September 21st, 2013, 02:00 PM   #2112 (permalink)
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For 10 DTE it is 7 up and down. Basically about 5% chance of touching.

So if someone has a lot of 75 puts I don't see how this much of a movement would force him out. Obviously OX has more in their calculation.

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Old September 21st, 2013, 05:43 PM   #2113 (permalink)
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kevinkdog View Post
Read the second post. It is a summary of most of info contained in this thread. Most of the discussion is on selling deep out of the money options.

@kevinkdog

I also want to say thank you to you for your answer regarding my question in your thread. Will also take my time to do what you recommended.

Have a nice weekend / Stan Dan

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Old September 24th, 2013, 11:53 PM   #2114 (permalink)
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Comparison of Seasonal Chart for USO and CL

Continue to do some work in the area of seasonality. To most it is probably note important. But I wanted to look and check if USO and CL seasonal pattern is similar after checking USO to XSP. All comments are welcome. My next move is to look at seasonality of different contract months in CL. A little more coding and I will be able to do this on the fly. My plan is to continue to look at different commodities and understand their respective price patterns. And all this goes back to the posts with Kevin regarding diversification.

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Old September 25th, 2013, 10:03 AM   #2115 (permalink)
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Futures Edge on FIO
OX lowered its multiplier to SPAN margins on CL from 30% extra to 20%.

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Old September 25th, 2013, 10:28 AM   #2116 (permalink)
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ron99 View Post
OX lowered its multiplier to SPAN margins on CL from 30% extra to 20%.

Is this something they post anywhere or do you just notice it because you have the SPAN program?
I am curious what it is for the commodities I trade.

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Old September 25th, 2013, 10:52 AM   #2117 (permalink)
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Raven View Post
Is this something they post anywhere or do you just notice it because you have the SPAN program?
I am curious what it is for the commodities I trade.

They don't post it. I have a Watch List setup with the front month contract for each commodity I am watching. I have one column for margin.

On a spreadsheet I keep track of OX margin and SPAN margin (changes that I get from notices from the exchanges). I don't use my SPAN program to do this.

Every morning I compare this Watch List with my spreadsheet to see if anything changed.

Note: My system uses 2 digits for the symbol code. So CO is C, SS is S, WW is W. The symbols you don't recognize are dairy contracts.

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OX is usually a couple of days late updating margin that shows on the Quote Detail and Watch List pages for margin changes from the exchanges. They do seem to be current when they change their own multiplier. Trade Calc is always current.


Last edited by ron99; September 25th, 2013 at 11:03 AM.
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Old September 25th, 2013, 11:00 AM   #2118 (permalink)
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Thanks, Ron! That is very helpful, especially if I ever consider opening an account with someone like DeCarley who uses straight SPAN margins.

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Old September 25th, 2013, 01:16 PM   #2119 (permalink)
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BlueRoo View Post
Continue to do some work in the area of seasonality.

Thanks for the chart @BlueRoo . What does the scale (left side) represent? I'm curious as to why the S&P line is compressed (relative to the high and low of the chart area)--maybe I just can't see the rest of the chart to the right, but its scale appears to be off, compared to the others.

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Old September 25th, 2013, 10:51 PM   #2120 (permalink)
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Scale on Seasonal Chart



josh View Post
Thanks for the chart @BlueRoo . What does the scale (left side) represent? I'm curious as to why the S&P line is compressed (relative to the high and low of the chart area)--maybe I just can't see the rest of the chart to the right, but its scale appears to be off, compared to the others.

Thanks for the question Josh. I have normalized the prices of each asset. I do this by assigning a percentile calculation for each price in the period over the whole period in the study (here it is one year). This way the movements of each asset is directly comparable. In this chart the 3 year average for each asset is then just an average of the percentile. I then apply a 9 day smoothing average which is why the gap at the start of the chart.

So, the left axis is a percentile value where 1 is 100%. Price at this level is the average percentile for the period of the study.

The "compressed" as you say S&P line tells you that price range for the S&P was narrower in comparison to the price movements in the other assets in the study.

Hoping to continue to develop this further so all questions, comments and observations are welcome.

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