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Selling Options on Futures?
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Selling Options on Futures?

  #2251 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,668 since Jul 2011
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cnncurt View Post
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.

Welcome.

When I put a position on I have 2 times the Initial Margin required for cash excess. If the increase in margin plus the loss on the increased margin uses up this cash excess then it is time to exit.

For example, if I sell an option for $100 and the margin required is $500, I will have $1000 excess.

If the margin increases to $900 and the premium is higher than $200 then the cash excess is gone and it is time to exit.


Last edited by ron99; October 20th, 2013 at 07:47 PM.
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  #2252 (permalink)
Trading Apprentice
Charleston, SC
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Commodities
 
Posts: 9 since Sep 2013
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Using Delta to determine strikes

New to this thread, and saw Ron's comment about a page back that he wouldn't trade on a Delta of .04. Doesn't that mean that the strike price currently has a 4% chance of being ITM at expiration? ATM delta of 50% is a 50-50 shot, so I was thinking that 4 Deltas is way out there (maybe even 2 SDs?)....anyway, curious what you guys think about vertical put credit spreads 4-5 strikes apart, with the short side at .04 Delta? In the /NG example, currently the $3.15 strike (4 deltas) will provide a credit of $640 after comm. with the long side at $2.90....with 68 DTE. And the margin in TOS is $1273....2/1 risk ratio. Comments on the sensibility of a trade like this?

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  #2253 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
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davidh7863 View Post
New to this thread, and saw Ron's comment about a page back that he wouldn't trade on a Delta of .04. Doesn't that mean that the strike price currently has a 4% chance of being ITM at expiration? ATM delta of 50% is a 50-50 shot, so I was thinking that 4 Deltas is way out there (maybe even 2 SDs?)....anyway, curious what you guys think about vertical put credit spreads 4-5 strikes apart, with the short side at .04 Delta? In the /NG example, currently the $3.15 strike (4 deltas) will provide a credit of $640 after comm. with the long side at $2.90....with 68 DTE. And the margin in TOS is $1273....2/1 risk ratio. Comments on the sensibility of a trade like this?

Welcome.

Based on my risk tolerance I wouldn't sell a 3.15 put. Even if it was covered. Some others may want to do it. But I am not comfortable with that risk.

Where are you getting $640?

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  #2254 (permalink)
Trading Apprentice
Charleston, SC
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Commodities
 
Posts: 9 since Sep 2013
Thanks: 2 given, 3 received

Sorry, should have mentioned that was for 10 contracts....but the numbers come out of the analyze tab on TOS. What level of Delta do you typically target, if .04 is too high? At $2.80 for the short side, and $2.50 for the long side, Delta is .01, but the income on 10 contracts is only $40. Doesn't seem worth it to me.

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  #2255 (permalink)
Market Wizard
Cleveland, OH
 
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Platform: QST
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Dudetooth View Post
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.

Thank you. Thank you. Thank you. Got it to work. Thanks for the clear instructions.

Is there anyway to use wildcard characters for the date of the array file? Or do I have to change the SpanScript.txt file every day before I run it?

Now I am going to be greedy. I take the summary file and do the following steps to it.
delete column A
On column B I use Convert Text to Columns Wizard.
Save the resulting Excel file as a 97-2003 Workbook file.

Is there a key stroke saver that I could invoke to perform this task with one click?


Last edited by ron99; October 21st, 2013 at 07:25 PM.
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  #2256 (permalink)
Market Wizard
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davidh7863 View Post
Sorry, should have mentioned that was for 10 contracts....but the numbers come out of the analyze tab on TOS. What level of Delta do you typically target, if .04 is too high? At $2.80 for the short side, and $2.50 for the long side, Delta is .01, but the income on 10 contracts is only $40. Doesn't seem worth it to me.

For NG .03 delta for the sell contract.

$16 for two contracts is high for commissions and fees.

SPAN margin for that spread for 10 Jan contracts is 1510. That 1273 margin looks low.

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  #2257 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
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First Naked Put

I am not new to options, but am new to the futures options. So today I sold my first naked put option.

As follows:

Sold 1 /NQ (TOS) 2840 Put @ 0.75 Delta=0.0321. Margin=$546.00 .

Only 1 contract since I am new to this, seems like a safe position.


HH.

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  #2258 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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datahogg View Post
I am not new to options, but am new to the futures options. So today I sold my first naked put option.

As follows:

Sold 1 /NQ (TOS) 2840 Put @ 0.75 Delta=0.0321. Margin=$546.00 .

Only 1 contract since I am new to this, seems like a safe position.


HH.

December expiration?

I am seeing different info, so I must be wrong somewhere...

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  #2259 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Dec 2840 traded once today @ 3.75.

I wonder if TOS's margin number includes margin plus option premium?

Otherwise they are charging more margin than SPAN.

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  #2260 (permalink)
Trading for Fun
Houston, Texas
 
Futures Experience: Advanced
Platform: Interactive Brokers, OptionsXpress
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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?

If you have an active account at Interactive Brokers (IB) they will give you full access to a sim account with real times quotes. It's the best sim platform that I have seen, it even includes real bid-ask quotes.

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