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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,022 / 5,727
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Selling Options on Futures?

Old October 2nd, 2013, 08:39 PM   #2151 (permalink)
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BlueRoo View Post
KEVIN AND JOSH,

So the scale is limiting oscillator. I don't understand why they would do it this way. As Josh says it is important to determine proportional nature of price movement (Or at least this is how I think).

FOR EXAMPLE.

The lean hog chat Kevin posted shows a double bottom towards the end of the year. I have now test several variations of chart the same 5 year seasonal pattern for the Lean Hog October contract and while my chart looks similar there are key differences.

On an oscillator style chart high and lows in the underlying may not be the same level (equal).

For the way I am currently calculating seasonality on a percentile approach (in comparison to the chart Kevin posted) I get a lower low and higher low rather then equal double bottom.

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PLEASE NOTE THIS WORK IS STILL UNDER DEVELOPMENT. All comments and constructive criticism welcome.

If you are trying to get magnitudes of the price movements, then I agree the 0-100 chart is not for you. If you just want to know general trends, like that Hogs typically hit their seasonal low in November, then the 0-100 scale works fine. I know that selling puts in November might be a good idea, but that is only one piece of the puzzle. I have to do more work than just look at that seasonal chart. Sounds like your work probably does some good things - things that can;t be seen on 0-100 chart.

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Old October 3rd, 2013, 10:53 PM   #2152 (permalink)
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Lean Hog December Contract LHZ Seasonal Chart

So with a little more work I think I am now there. This chart is the correct futures contract for the chart posted by Kevin. What is interesting about this chart to me is that it shows price ending the year much closer to the high than the oscillator based chart (5 Year Seasonal Line).

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Old October 4th, 2013, 12:50 AM   #2153 (permalink)
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The LHZ contract expires the 12th-16th of Dec. It doesn't go until the end of the year.

Four of the last 5 years it has been flat or down in Dec. Not up.

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Old October 4th, 2013, 12:59 AM   #2154 (permalink)
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Future Contacts Expiry and Seasonal Charts


ron99 View Post
The LHZ contract expires the 12th-16th of Dec. It doesn't go until the end of the year.

Four of the last 5 years it has been flat or down in Dec. Not up.


I have wondered about this Ron. Currently the code runs and builds the seasonal data up to expiry and then fills the remaining part of the year with the same contract month for the following year.

So if you chart seasonality for say an October month contract this chart would be NOV to OCT?

Again for a July month contract the seasonal chart would be AUG to JULY?

Can you please confirm. (It makes sense.) I can then rework my code. Thanks Michael

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Old October 4th, 2013, 09:57 AM   #2155 (permalink)
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BlueRoo View Post
I have wondered about this Ron. Currently the code runs and builds the seasonal data up to expiry and then fills the remaining part of the year with the same contract month for the following year.

So if you chart seasonality for say an October month contract this chart would be NOV to OCT?

Again for a July month contract the seasonal chart would be AUG to JULY?

Can you please confirm. (It makes sense.) I can then rework my code. Thanks Michael

I just chart the last 9 months because I never trade something more than 9 months out. So for LH Oct I chart Feb-Oct. There is so little Vol & OI 12 months out. In Nov 2012 the Oct 2013 contract only had 1598 OI. On Feb 1st OI was 12,972.

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Old October 4th, 2013, 10:21 AM   #2156 (permalink)
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Did Nat Gas margins go up in the last week or perhaps did OX bump up their requirement? I'm holding 18% more margin for my positions than last Friday (when we were trading at approximately the same level). With only 3 weeks until expiry I would have thought I'd see some margin reductions on the NGX13 contract by now.

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Old October 4th, 2013, 10:42 AM   #2157 (permalink)
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eudamonia View Post
Did Nat Gas margins go up in the last week or perhaps did OX bump up their requirement? I'm holding 18% more margin for my positions than last Friday (when we were trading at approximately the same level). With only 3 weeks until expiry I would have thought I'd see some margin reductions on the NGX13 contract by now.

CME NG margins last changed 9/4 when they dropped. OX is at SPAN minimum for NG.

If I remember right, I think that for some reason NG option margin does not drop until <10 DTE depending on delta level.

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Old October 7th, 2013, 07:21 AM   #2158 (permalink)
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Fx options

Hey there everyone. I can't believe how many pages have amassed since I've been gone. Do any of you trade fx options particularly eurusd. If so any advice on how to trade.

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Old October 7th, 2013, 11:12 AM   #2159 (permalink)
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Trade Alert

Based on OEX margin requirements as of this weekend (which will go up after today's close), there are CCZ33100C
(December Cocoa) options with a pretty good rate of return.

They expire 11/1/2013.

Sell at 2 >>> monthly ROI = 11.1%
Sell at 3 >>> monthly ROI = 18.6%
Sell at 4 >>> monthly ROI = 26.1%

Right now the bid/ask is 2/4.

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Old October 7th, 2013, 11:19 AM   #2160 (permalink)
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kevinkdog View Post
Based on OEX margin requirements as of this weekend (which will go up after today's close), there are CCZ33100C
(December Cocoa) options with a pretty good rate of return.

They expire 11/1/2013.

Sell at 2 >>> monthly ROI = 11.1%
Sell at 3 >>> monthly ROI = 18.6%
Sell at 4 >>> monthly ROI = 26.1%

Right now the bid/ask is 2/4.


I should point out that the seasonals also favor a down move until Nov 1. BUT, the trend since July 1 this year has been up.


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