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Selling Options on Futures?
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Selling Options on Futures?

  #2351 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
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PeterOhlson View Post
Wow, I had no idea there was a 70+ page thread dedicated to options..

I'm not gonna lie, it was when I first went over to options and got consistently short gamma that I started reaping some serious profits. I never really made it in daytrading, and honestly the ES is one of the most efficient markets out there so I didn't expect to either. All academia consistently finds ES to be efficient especially on a minute basis, same for other daytrading instruments, although there is some weak (very weak) evidence of trending behavior at times. But it's well documented in academic literature that being short risk premium has massive profit potentials and often at S&P beating returns, re. the CBOE put-writing index, studies on vol arbitrage etc. etc. One of my fav instruments is the VXX (which is going through yet another reverse:split, in fact if one was to account for all reverse splits through history, it would start at 6000 or so in 2004 (model)), although I personally go straight to VIX futures or ES future options (one of my fav trades is from Atticus on elitetrader, basically a vol "box" ATM/OTM swap, making "skew" premium, see: Forums - trading option pitchforks

But ever since the dawn of vola ETFs/ETNs, the short premium is becoming very crowded as people are becoming more and more aware of this. I think eventually vol markets will come closer and closer to efficiency. Although lot of the skew premia etc. has to do with having to price moves outside of 2nd std. deviation, and anything at that level relies more on human psychology than rational calculus. And as fear is stronger than greed, let's hope it remains so in the future to continue to enable outsized returns.

@PeterOhlson -

Thanks for sharing that ET link by Atticus. I am having trouble understanding the method proposed in that thread. How did you figure out how to implement what he described? Is there any source (forum thread, book, etc) that you recommend I look at for more background on his particular approach?

Or, if anyone can explain what he is doing in plain English (not optionese language), that would help too. I'm just a little slow...

THANKS

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

Last edited by kevinkdog; November 14th, 2013 at 07:48 AM.
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  #2352 (permalink)
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Hi

is the OX trade calc working now? Margins for 2 spreads are 2x 1 spread for the trades i have been trying eg LH, CL, ES etc.

ta.

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  #2353 (permalink)
Market Wizard
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rosho01 View Post
Hi

is the OX trade calc working now? Margins for 2 spreads are 2x 1 spread for the trades i have been trying eg LH, CL, ES etc.

ta.

No, definitely not right. Look at my example below.

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  #2354 (permalink)
Market Wizard
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Because OX charges more for margin than SPAN I have begun moving money from them to other accounts that are at SPAN minimum.

It is far better for ROI to have SPAN minimum margin than to save a few dollars on commissions.

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  #2355 (permalink)
Trading for Fun
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ron99 View Post
Because OX charges more for margin than SPAN I have begun moving money from them to other accounts that are at SPAN minimum.

It is far better for ROI to have SPAN minimum margin than to save a few dollars on commissions.

I am checking into that now. I have loved OX but as you pointed out, better ROI can be had with a broker that charges SPAN minimum.

My only hang up right now is the trading platforms offered by some of the others. What is your experience so far with that? Have you used Zaner360 or Ninjatrader? Others?

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  #2356 (permalink)
Market Wizard
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Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
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Raven View Post
I am checking into that now. I have loved OX but as you pointed out, better ROI can be had with a broker that charges SPAN minimum.

My only hang up right now is the trading platforms offered by some of the others. What is your experience so far with that? Have you used Zaner360 or Ninjatrader? Others?

The one advantage OX has on other firms is that it computes your margin requirement (but incorrectly on spreads) before it lets your trade go through. But sadly their very good quality customer service has declined since Schwab bought them. They also refuse to do IRAs that trade options on futures. I love their direct deposit/withdrawal feature.

Other firms have poor systems that use something like a number of contracts you can have. Which for far OTM option sellers can be a pain to get them to put the limit at the correct amount.

There may be a firm that correctly calculates margin on options as your limit on what you can do in your account but I don't know of any.

Zaner360 and OEC are the same platform and clearing house, Gain. All SPAN minimum. Gain owns FOREX.com.

When OEC was owned by OX it was very hard to get them to increase my contract limit. After OEC was sold to Gain they basically said do whatever you want.

The platform is good. The smartphone app is great.

OEC is switching to a margin based limit but it is not fully implemented. So it still blocks my trades at times. A call fixes that but is a pain and you can miss bids because of waiting for them to get around the limit. They also added a strange limit that it blocks a trade if there isn't a bid and an ask for that strike. You then have to call in to get the trade done. Carley Garner says that Zaner360 doesn't do that. Maybe she can answer other questions about that here.

I just opened an account at DeCarley trading. I used Crossland with the Cunningham Trading Systems (CTS) platform instead of Zaner360 because I already have an OEC account. I have been blocked there because of limits. But Carley was able to get the trade done. CTS is different than other platforms but OK to use. CTS doesn't use decimal points.

Gain and Crossland have this strange habit of moving the decimal point to different spots than where you normally see it.

I have never used NinjaTrader.

I used Trade Station years ago but left because their real-time data feed was not correct. They may have fixed it now. Maybe Kevin can let us know about that.

I tried to get directly into RJO but their commissions were way too high. Some here have gotten in their at lower commissions but the guy I talked to refused to go below $10.

Of course I am never going to IB because of their super high margins.

So what I have found is that each place has advantages and every place has disadvantages. You have to weigh those out. No perfect place to trade.


Last edited by ron99; November 14th, 2013 at 11:14 AM.
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  #2357 (permalink)
Market Wizard
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ron99 View Post

I used Trade Station years ago but left because their real-time data feed was not correct. They may have fixed it now. Maybe Kevin can let us know about that.

I have never traded options with Tradestation, so I can't comment on options data issues. For non-option real time data, though, I find their data to be pretty good. Many times I will have TS charts up next to CTS T4 platform, and the price changes are almost always simultaneous.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #2358 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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So far this year for completed trades. Doesn't count open positions.

842 trades selling 9,531 options. 809 trades net profitable. 96% profitable that made $223,540 net.

I'm slipping. Only 96% this year.

Damn GC $200 drop in 2 days. Lost $68k in GC options in 2 days.

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  #2359 (permalink)
Market Wizard
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Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
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Webinar: Carley Garner on Currency Trading (Futures, Options) today at 4:30 pm est.

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  #2360 (permalink)
Market Wizard
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Favorite Futures: futures
 
Posts: 2,347 since Jul 2012
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ron99 View Post
So far this year for completed trades. Doesn't count open positions.

842 trades selling 9,531 options. 809 trades net profitable. 96% profitable that made $223,540 net.

I'm slipping. Only 96% this year.

Damn GC $200 drop in 2 days. Lost $68k in GC options in 2 days.


Thanks for sharing. If I can ask, what kind of overall annual percentage return is that?

In the interest of sharing: Right now, just for my option selling, I am looking at around +121% for the year, but the first half of the year was a very small account.

Next year, I'll be targeting +100% for the year, which more $$ on the line.

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