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Selling Options on Futures?
 Updated: May 25th, 2018 (11:41 AM) Views / Replies: 818,602 / 6,783 Created: July 19th, 2011 (05:16 PM) by ron99 Attachments: 757

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# Selling Options on Futures?

Elite Member
Cleveland Ohio/United States

Favorite Futures: futures

Posts: 2,489 since Jul 2012

OK, Correct Now

I think I corrected my table. For those of you who do not know, the OEX calculator does spread margins incorrectly. There is a work around, and here is an example:

CLZ373P/135P @turch recommendation, a VERY good one!):

Per OEX calculator: Margin for 1 spread = \$978 (wrong)
Per OEX calculator: Margin for 2 spreads = \$1098 (wrong)

But, if you take the difference = \$1098 - \$978 = 120 you get the correct margin for 1 spread.

So, based on that, I get:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

So, at @turch 's recommendation gives the best ROI (after costs, assuming you want to keep delta below .04), and is the furthest out of money. The trick will be getting fills, as the 73P is currently 0.00/0.04 and the 135C is 0.01/0.02. You probably won't get .02 for each leg.

Thanks to @MGBRoadster for questioning my (wrong) calculation.

edit: the other caveat here is that the prices may be current, but the margins are as of last night. Given today's drop, that will change the margin requirements.

 If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread

Last edited by kevinkdog; October 9th, 2013 at 09:45 AM.

Futures Experience: Beginner
Platform: OX
Favorite Futures: Futures options

Posts: 15 since Apr 2013

kevinkdog
 I think I corrected my table. For those of you who do not know, the OEX calculator does spread margins incorrectly. There is a work around, and here is an example: CLZ373P/135P @turch recommendation, a VERY good one!): Per OEX calculator: Margin for 1 spread = \$978 (wrong) Per OEX calculator: Margin for 2 spreads = \$1098 (wrong) But, if you take the difference = \$1098 - \$978 = 120 you get the correct margin for 1 spread. So, based on that, I get: Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s). So, at @turch 's recommendation gives the best ROI (after costs, assuming you want to keep delta below .04), and is the furthest out of money. The trick will be getting fills, as the 73P is currently 0.00/0.04 and the 135C is 0.01/0.02. You probably won't get .02 for each leg. Thanks to @MGBRoadster for questioning my (wrong) calculation. edit: the other caveat here is that the prices may be current, but the margins are as of last night. Given today's drop, that will change the margin requirements.

I was just suggesting that Blueroo should take a look further OTM next time, based on the example I gave.

 The following user says Thank You to turch for this post:

Lancashire UK

Futures Experience: Intermediate
Favorite Futures: ES Z CL EURJPY

Posts: 52 since Jan 2013

kevinkdog
 the other caveat here is that the prices may be current, but the margins are as of last night. Given today's drop, that will change the margin requirements.

I think Ron has said that if you use the settlement price with last night's margin then that should produce a more accurate ROI. The settlement prices for those three spreads would be:
85P/120C 0.17
90P/115C 0.40
73P/135C 0.04

Elite Member
Cleveland Ohio/United States

Favorite Futures: futures

Posts: 2,489 since Jul 2012

 I think Ron has said that if you use the settlement price with last night's margin then that should produce a more accurate ROI. The settlement prices for those three spreads would be: 85P/120C 0.17 90P/115C 0.40 73P/135C 0.04

Using those settlement values, I get this:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

 If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread

Market Wizard
Cleveland, OH

Platform: QST
Favorite Futures: Options on Futures

Posts: 2,879 since Jul 2011
Forum Reputation: Legendary

eudamonia
 I'm trying to find the SPAN calculator on the CME website. Is this the correct link? Ordering PC-SPAN®

Here is the SPAN page.
http://www.cmegroup.com/clearing/risk-management/

Yes it looks to be the \$10 program. I paid \$500 8 years ago for it.

Good luck using it. It looks like a program from the 80s that hasn't been updated.

 October 9th, 2013, 06:06 PM #2186 (permalink) Market Wizard Cleveland, OH   Futures Experience: Advanced Platform: QST Broker/Data: QST, DeCarley Trading, Gain Favorite Futures: Options on Futures   Posts: 2,879 since Jul 2011 Thanks: 851 given, 5,133 received Forum Reputation: Legendary CC margins up slightly. CT margins down about 40%.

 October 9th, 2013, 07:14 PM #2187 (permalink) Market Wizard Cleveland, OH   Futures Experience: Advanced Platform: QST Broker/Data: QST, DeCarley Trading, Gain Favorite Futures: Options on Futures   Posts: 2,879 since Jul 2011 Thanks: 851 given, 5,133 received Forum Reputation: Legendary Looks like OX attempted to fix the Trade Calc. The P&L chart now has a line but the P&L prices are wrong. I'm looking at a CL chart and instead of \$20 it has \$0.20. Spreads are still wrong.

Market Wizard
Cleveland, OH

Platform: QST
Favorite Futures: Options on Futures

Posts: 2,879 since Jul 2011
Forum Reputation: Legendary

kevinkdog
 Using those settlement values, I get this: Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

You might sell Dec 75 puts and 130 calls for .02 each. Tomorrow's margin for that spread at OX is 140.40 (SPAN 117). That's a 5.6% monthly ROI at OX. 6.8% at SPAN minimum margin. \$3.50 commission rate.

Futures Experience: Beginner
Platform: OX
Favorite Futures: Futures options

Posts: 15 since Apr 2013

ron99
 You might sell Dec 75 puts and 130 calls for .02 each. Tomorrow's margin for that spread at OX is 140.40 (SPAN 117). That's a 5.6% monthly ROI at OX. 6.8% at SPAN minimum margin. \$3.50 commission rate.

Hey Ron,
Have you been selling ES like Karen? If so do you think it was possible to turn \$700K into \$41 mill. in around 2 years.
I still am wondering how she did it.

Market Wizard
Cleveland, OH

Platform: QST
Favorite Futures: Options on Futures

Posts: 2,879 since Jul 2011
Forum Reputation: Legendary

turch
 Hey Ron, Have you been selling ES like Karen? If so do you think it was possible to turn \$700K into \$41 mill. in around 2 years. I still am wondering how she did it.

I was selling ES until a month ago. Quit selling ES puts because of impending gov shutdown and debt ceiling stuff. Good thing I did. They haven't moved for a month.

I don't have the numbers in front of me but it was more than 2 years and she did have deposits in that time frame.

So we don't know her ROR%. If she didn't have any deposits to go from 700k to 41 million profit in 3 years is about 300% per year. Doubtful for just selling options.

But they did say her balance was 80 million. So 80 mil minus 41 mil minus 700k is 38.3 mil in deposits.

I doubt she got the 38.3 mil in deposits all at once but for now let's say she did. So she took 38.3 mil plus 700k which totals 39 mil and made 41 mil profit in 3 years.

So that is 27% per year. Now that is doable selling options.

We need to know when and how much the deposits were made into the account to get the true ROR.

Last edited by ron99; October 9th, 2013 at 09:00 PM.
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