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Selling Options on Futures?
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Selling Options on Futures?

  #2241 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


ron99 View Post
I have sold some Jan NG 5.50 calls today. Very good ROI. Bearish seasonals. Neutral fundamentals.

I so want to sell the Jan NG 3.00 puts too because if you already have on the 5.50 calls then the margin doesn't increase at all to put on the puts.

But when I see that the last 2 years Jan NG futures were the same price as it is now and how they dropped 70 & 90 cents before expiration, I am going to have to pass on the 3.00 puts.

Looking at last year, the 3.00 put was at 0.009 on Oct 18th. It was still at 0.006 on Dec 13th. Not much profit over almost 2 months. And I suspect that margin increased in the time between those dates.


Last edited by ron99; October 19th, 2013 at 10:24 AM.
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  #2242 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 272 since Oct 2012
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Position Exit


ron99 View Post
The 200% does not work for the far OTM options we sell.

For example, if you sell an option for $50 and it doubles to $100, it is losing 100% but dollar wise it is only $50. Certainly manageable.

I vary on the risk. I like to be in several commodities but if there is something good like KC last summer, I will overload on that position.

Thanks for the response.

If you sell a futures option with a delta of 0.04 , and the position goes against you. The option delta will increase.
Is there a numerical value for the option delta that you use as a value to consider exiting the position.

Thanks in advance. HH.

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  #2243 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
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datahogg View Post
Thanks for the response.

If you sell a futures option with a delta of 0.04 , and the position goes against you. The option delta will increase.
Is there a numerical value for the option delta that you use as a value to consider exiting the position.

Thanks in advance. HH.

I almost never sell an option with a delta that high.

I haven't looked at delta to determine exit. I doubt that would be a good tool to use for that.

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  #2244 (permalink)
Elite Member
Lehi Utah USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: Futures
 
TeachMeOptions's Avatar
 
Posts: 3 since May 2012
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Futures Options

Ron99: Been trading options on stocks for a long time. Difficult finding someone who trades options on futures. I assume the leverage is considerably greater than stock options? Any platform you know of that sim trades them?

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  #2245 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
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TeachMeOptions View Post
Ron99: Been trading options on stocks for a long time. Difficult finding someone who trades options on futures. I assume the leverage is considerably greater than stock options? Any platform you know of that sim trades them?

Yes leverage is much greater. Tax treatment is better I believe.

I don't know of any place that sim trades options on futures. I know OX doesn't.

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  #2246 (permalink)
Elite Member
New York
 
Futures Experience: Beginner
Platform: Ninjatrader
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TeachMeOptions View Post
Ron99: Been trading options on stocks for a long time. Difficult finding someone who trades options on futures. I assume the leverage is considerably greater than stock options? Any platform you know of that sim trades them?

Thinkorswim (TOS, from TDAmeritrade) provides sim function that allows you trade everything such as stock, option and future. Though the list of future products with options is short, it does include most common ones.

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  #2247 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 216 since Sep 2012
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PC-SPAN Script


ron99 View Post
I am trying to do the Load command but having no luck. Can someone walk me thru it?

call it from the command line or batch file by issuing the following command: spanit fileName ???

Script???


I've been able to get this to work to create a performance bond risk summary of the portfolio ... not sure yet how to get anything like the Scan Risk Contributions in the Reports tab ... looks like that will need a different kind of script to run the spanReport utility.

Here's what I did:

- In the C:\Span4 folder (default location for installation of program) I placed a copy of the following:
-- Unzipped risk array files (cme.20131018.s.pa2 & nyb.20131018.s.pa2)
-- My portfolio file that I generated in PC-SPAN by right-clicking on my portfolio and selecting Copy Positions To File to generate a .pos file (RJO 131018.pos)

- Then I opened Notepad to create my script and typed in the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
SaveCalcSummary C:\Span4\Summary.csv

-- I saved it as a text file named SpanScript.txt in the C:\Span4 folder

- Then in Notepad, on a clean slate I typed in:
spanit C:\Span4\SpanScript.txt
-- Saved this as a batch file (File->Save As changing the Save as type to All Files) named SPAN-Batch.bat in the same folder where the spanit.exe file is (should be C:\Span4\Bin)

Just double-click my batch file (SPAN-Batch.bat), and it will load the risk arrays and portfolio, calculate and create a csv file named Summary in the C:\Span4 folder with my performance bond summary.

Hopes this helps.


****UPDATE****
Make the following changes to the instructions above to see the Position and PB Requirement Reports:

- In the SpanScript.txt type the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
Save C:\Span4\Risk.xml


- In the SPAN-Batch.bat file type the following lines:
C:\Span4\Bin\spanit.exe C:\Span4\SpanScript.txt
C:\Span4\RptModule\spanReport.hta C:\Span4\Risk.xml


This will create the reports in the C:\Span4\Reports folder.


Last edited by Dudetooth; October 19th, 2013 at 06:07 PM. Reason: Updated info
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  #2248 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
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Thank you Dudetooth! I will give it a try.

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  #2249 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 272 since Oct 2012
Thanks: 126 given, 79 received

TOS Futures


walker View Post
Thinkorswim (TOS, from TDAmeritrade) provides sim function that allows you trade everything such as stock, option and future. Though the list of future products with options is short, it does include most common ones.

/ES
/NQ
/ZB (30 yr bond)
/ZF (5 yr note)
/ZN (10 yr note)
/ZT (2 yr note)
/CL Crude
/ZC Corn
/ZS Soy Beans
/ZW wheat

I believe TOS offers these Futures options.
Please correct me if I am wrong.

HH.

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  #2250 (permalink)
Trading Apprentice
Phoenix, AZ/USA
 
Futures Experience: Advanced
Platform: TOS
Favorite Futures: ES
 
Posts: 8 since Oct 2013
Thanks: 2 given, 10 received



ron99 View Post
I almost never sell an option with a delta that high.

I haven't looked at delta to determine exit. I doubt that would be a good tool to use for that.

I'm new to this forum and I apologize if this has already been covered.

Ron99, do you have an exit point that you always use, such as the premium doubles from what you collected, etc.?

Thanks.

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