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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,720 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old November 17th, 2013, 01:58 PM   #2391 (permalink)
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Deltas From 2000

Does anyone have access to delta values for ES options from the year 2000? I am reading the book "options on Futures -New Trading Strategies" by Summa and Lubow. They advocate selling credit spreads, and I am trying to see what kinds of deltas they were using (they say they are selling "deep out of money").

Using Ron's 3x margin requirement, these guys get 3 to 11% monthly ROI. But I need delta values to put it in perspective (11% on a ,02 delta is great, but if the delta was .2, that ROI might not be good).

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Old November 19th, 2013, 09:38 AM   #2392 (permalink)
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OX lowered their markup on margin for several commodities.

CL dropped from 20% to 10%
HO dropped from 30% to 20%
RB dropped from 30% to 20%
NG dropped from 10% to 0%

KC is still 50%!!! OJ is 10% All other major commodities are at 0%.

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Old November 19th, 2013, 10:09 AM   #2393 (permalink)
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ron99 View Post
OX lowered their markup on margin for several commodities.

CL dropped from 20% to 10%
HO dropped from 30% to 20%
RB dropped from 30% to 20%
NG dropped from 10% to 0%

KC is still 50%!!! OJ is 10% All other major commodities are at 0%.


Maybe they actually listened to your requests?

Even with the changes, it still might be better to pay $1 or $2 more per contract for broker who allows SPAN minimum on everything... the extra contracts you can sell with SPAN minimum might make up the difference.

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Old November 19th, 2013, 10:18 AM   #2394 (permalink)
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kevinkdog View Post
Maybe they actually listened to your requests?

Even with the changes, it still might be better to pay $1 or $2 more per contract for broker who allows SPAN minimum on everything... the extra contracts you can sell with SPAN minimum might make up the difference.

I am still going to open up an account with DeCarley because OX will raise the margins again at the most inopportune time. They are dropping it because the volatility in CL is dropping right now. If CL moves sharply one way or another then they will raise it.

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Old November 19th, 2013, 10:52 AM   #2395 (permalink)
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Raven View Post
I am still going to open up an account with DeCarley because OX will raise the margins again at the most inopportune time. They are dropping it because the volatility in CL is dropping right now. If CL moves sharply one way or another then they will raise it.

Yep I agree with that.

I read that Schwab is going to integrate OX into Schwab by 2015. I have my doubts that that will be good for traders.

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Old November 19th, 2013, 12:10 PM   #2396 (permalink)
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Beginner's question

Hello Everyone,

I am new to options on futures, but have traded options on equities for a long time and would like to have something clarified, please.

YM is currently trading at 15972

the December 2013 16100 call option is trading at around $127
and the December 2013 16150 call option is trading at around $105

So if I sell the 16100 call option I get $127 and buying the 16150
call option to turn it into a credit spread, will cost me $105.
Thus my credit is $22 (not taking commission into consideration)

I believe that the YM is $5 per point, so the max spread is $250, but due to
credit received my max loss would be $228.

Is that correct?

Many thanks, Richard

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Old November 19th, 2013, 12:29 PM   #2397 (permalink)
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gismeu View Post
Hello Everyone,

I am new to options on futures, but have traded options on equities for a long time and would like to have something clarified, please.

YM is currently trading at 15972

the December 2013 16100 call option is trading at around $127
and the December 2013 16150 call option is trading at around $105

So if I sell the 16100 call option I get $127 and buying the 16150
call option to turn it into a credit spread, will cost me $105.
Thus my credit is $22 (not taking commission into consideration)

I believe that the YM is $5 per point, so the max spread is $250, but due to
credit received my max loss would be $228.

Is that correct?

Many thanks, Richard

Welcome and that is correct.

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Old November 19th, 2013, 02:04 PM   #2398 (permalink)
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ron99 View Post
Yes too late to sell Jan puts.

I sold Feb 2.70s @ .006.

Ron are you concerned we may have another year like 2013 where we drop .60 in the next couple months?

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Old November 19th, 2013, 02:28 PM   #2399 (permalink)
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eudamonia View Post
Ron are you concerned we may have another year like 2013 where we drop .60 in the next couple months?

No. We most likely won't have the significant above normal temps in the eastern US this winter.

Dec and Jan were well above normal.

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I sold more puts today. But later I noticed that NG drops the end of Nov-1st week of Dec most years. That will be a time I will add more puts.

I wish I was filled on my call order before it just dropped 5 cents.

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Old November 19th, 2013, 02:44 PM   #2400 (permalink)
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ron99 View Post
No. We most likely won't have the significant above normal temps in the eastern US this winter.

I sold more puts today. But later I noticed that NG drops the end of Nov-1st week of Dec most years. That will be a time I will add more puts.

I wish I was filled on my call order before it just dropped 5 cents.

If I may ask, what strikes and months? I'm not able to find good ROI without getting too close to the price for NGF expiring 12/26.

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