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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,918 / 5,728
Last Reply:14 Hours Ago (05:26 PM) Attachments:642

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Selling Options on Futures?

Old November 21st, 2013, 07:05 PM   #2431 (permalink)
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kevinkdog View Post
Thanks Peter - it is still a complicated topic (for me, at least), but your explanation has made the idea about 10 times easier to understand.

Is trading this particular technique a big part of how you trade overall? For me, options has been a relatively small percentage of what I am doing overall in trading, but I am giving it more prominence...

THANKS

To answer the question, it's the only way I trade as of now, and I'm finally making more money trading than at my daytime job so I'm considering quitting altogether, but we'll see... But right now, for simplicity, I am trading straight VIX futures, which are calculated as a composite IV of the SPX options. My final goal is to switch the VIX futures for trading IV directly on the SPX which allow for being much more selective on where on the IV surface to trade. But that also makes active delta-hedging etc. neccessary whereast with VIX futures this is not neccessary. So it would require more attention from me but the profit potential is much higher. My ultimate goal would be getting into market making on SPX and VIX options but right now I'm just playing with the idea. I have some automated Excel sheet connected to TWS (The sheet is actually found on IBs homepage under the API-section, but I've modified it quite a bit) that actively sits on bids and asks of various options and manages to keep me delta neutral. But my VBA skills are very limited, Excel is kind of slow and I've had numerous weird occurances like 50 orders being sent at once etc. so I'm not really confident handing my trading over to some bot just yet. But still it's very interesting to work with. What would be way cool is being positive theta on VIX options whilst being negative delta to the downside, essentially making both VIX contango and the theta on the VIX options themselves. Then if VIX spikes you gradually shell of deltas to the upside to reduce risk. And when it declines you put on more deltas (cut losers let winners run). Anyways I'm rambling now, but yeah it's intersting to work wth options, for sure. Volatility markets are definitely my favorite type of markets. But they can be a bit complicated to understand so there are some higher barriers to entry.


Last edited by PeterOhlson; November 21st, 2013 at 07:19 PM.
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Old November 21st, 2013, 07:22 PM   #2432 (permalink)
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Margins are dropping. CL going down for the 2nd time this month. Down 8.1% on Monday. Metals going down. RB & HO too.
http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv13-540.pdf

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Old November 22nd, 2013, 10:05 AM   #2433 (permalink)
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Span Margin



mu2pilot View Post
That looks like all of them. Does anyone know if they offer SPAN margin on commodities?

As far as I know span margin is used by TOS on all futures options that are available at TOS.

Like Ron said at the link given, a table lists those that have options tradeable with TOS. And the softs are not
included. Look for the check mark in the table listing.

HH.

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Old November 22nd, 2013, 02:37 PM   #2434 (permalink)
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CT margin dropping 28% on Tuesday.

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Old November 25th, 2013, 01:23 AM   #2435 (permalink)
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Thanksgiving?

Futures Edge on FIO

Are you a NinjaTrader user?

 
Hi all,

First time poster after lurking here for a couple of weeks. And I first want to say what an amazing thread! Thank you to everyone for sharing some incredible insights. And YES, I have read through *almost* all it!

I actually had a question about Thanksgiving hours for the NYMEX and COMEX. The CME posts their holiday schedule, but it's confusing to decipher. Can anyone shed some light on this, and will there continue to be electronic trading on Thanksgiving day? When I read the schedule, it appears to vary by the product, which adds to the confusion. If it helps, the products I'm interested in are CL, NG, and GC.

Thanks in advance!

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Old November 25th, 2013, 05:25 AM   #2436 (permalink)
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reduced margins = less premium

Anyone else scratching in the dirt for decent premium to sell at the moment?

All the drops in margin Ron's been notifying us about are welcome but translating to thin premiums all round.

Following Moore's 'Volitility' section, I see more and more red numbers showing in both Implied vol. and Historic vol ie below -1 standard deviation, apart from Eurodollar nothing showing above + 1 STD for some time now.

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Old November 25th, 2013, 08:19 AM   #2437 (permalink)
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Harvard16 View Post
Anyone else scratching in the dirt for decent premium to sell at the moment?

All the drops in margin Ron's been notifying us about are welcome but translating to thin premiums all round.

Following Moore's 'Volitility' section, I see more and more red numbers showing in both Implied vol. and Historic vol ie below -1 standard deviation, apart from Eurodollar nothing showing above + 1 STD for some time now.

I was able to sell some last week, all above 2% monthly ROI, median return 4% monthly ROI, a couple at at 18% monthly ROI.


Cattle, gold, Crude, Natty, Cocoa, Aud Dollar.

About 150 total contracts.

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Last edited by kevinkdog; November 25th, 2013 at 08:27 AM.
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Old November 25th, 2013, 09:01 AM   #2438 (permalink)
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KD, looks like we are fishing in the same pond, I'm in a lot of what you are, I bet the 18% pm return was on Cocoa, CC just gives fantastic returns on margin.

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Old November 25th, 2013, 09:04 AM   #2439 (permalink)
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Harvard16 View Post
KD, looks like we are fishing in the same pond, I'm in a lot of what you are, I bet the 18% pm return was on Cocoa, CC just gives fantastic returns on margin.


Cocoa was actually 5% for some, 5.2% for others (different brokers).

The real good ones were very short term Live Cattle...

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Old November 25th, 2013, 10:26 AM   #2440 (permalink)
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christopher99 View Post
Hi all,

First time poster after lurking here for a couple of weeks. And I first want to say what an amazing thread! Thank you to everyone for sharing some incredible insights. And YES, I have read through *almost* all it!

I actually had a question about Thanksgiving hours for the NYMEX and COMEX. The CME posts their holiday schedule, but it's confusing to decipher. Can anyone shed some light on this, and will there continue to be electronic trading on Thanksgiving day? When I read the schedule, it appears to vary by the product, which adds to the confusion. If it helps, the products I'm interested in are CL, NG, and GC.

Thanks in advance!

Welcome and congrats on reading whole thread!

NYMEX & COMEX close normal time on Wed. Reopens normal time Wed night. Closes early on Thu at 1:15ET. Reopens normal time Thu night. Closes early Fri at 1:45et.

Volume will be extremely light on Thu. Volume Friday will be low.

Last year CL futures vol for the week before Thanksgiving was ave 657k per day. Vol on Wed before Thanksgiving was 392k. Vol for Thu & Fri combined was 157k.

CME does not settle products on Thu. Thu and Fri data combined and settlement at 1:45et on Fri.

http://www.cmegroup.com/tools-information/holiday-calendar/files/2013-thanksgiving.pdf

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