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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,597 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old December 23rd, 2013, 04:11 PM   #2691 (permalink)
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seemasp View Post
I think we will go very close to or above 5.00 to flush out all shorts - 5.00 may be max threshold of pain for most of the shorts and market often goes to those points and then return...Personally I hope it never goes there but there is great deal of momentum right now...

You are ignoring fundamentals. Markets do not solely trade on technicals.

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Old December 23rd, 2013, 11:11 PM   #2692 (permalink)
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Interesting numbers in the NG DCOT futures only report.

Swaps reduced their longs by 13k.
Commercials added 5k to their net short positions.
Other reportables added 52k to their net short positions.

Non reportables added 3k to their net long position.

But the big number is the specs/hedge funds (managed money) added 66k to their net long position. They went from 54k net long to 120k net long. Highest amount of net longs for specs in the history of the DCOT report. Previous high was 100k.

This rally has entirely been a hedge fund/spec rally.

Specs were 91k net short on 11/12/13. They are net long 120k on 12/17/13. That's a 211k reversal in 5 weeks. Huge.

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Old December 23rd, 2013, 11:22 PM   #2693 (permalink)
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Here is a chart of the net positions of four groups on the DCOT reports.

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As you can see there is little correlation between any of these group's net position and NG price. Commercials and Swaps have been getting shorter during this last rally. They aren't driving price higher.

Here is the chart of the net positions of the specs/hedge funds (Managed Money) group.

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Pretty strong correlation. I have no clue when, but when the specs do head for the exits it will be as fast as it went up.

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Old December 24th, 2013, 12:11 AM   #2694 (permalink)
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Great Post Ron.
Thanks

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Old December 24th, 2013, 10:55 AM   #2695 (permalink)
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seemasp View Post
Here is a ratio trade opportunity that the high volatility in March NG options has given.

Buy 1 March 425 call for about 0.46 and sell 5 March 6 calls for about 0.114 for net credit of about $1100.

Margin requirement would be about 1000 (and I would leave at least about 5 to 7k spare for this).

No hedging or any action till March future reaches about 5.70 or so - at that time buy the spread back for about break even or at significant credit (if at least 3-4 week time has passed). If NG never goes there then credit is yours to keep.

Just something that I put on this morning...

Right now this spread can be closed for about 2 cent debit leaving net profit of about 900 in 2 days. Or you can hold on for a while and take chance that it would go in credit and close there. I am holding and will post when I close.

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Old December 24th, 2013, 01:31 PM   #2696 (permalink)
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seemasp View Post
Right now this spread can be closed for about 2 cent debit leaving net profit of about 900 in 2 days. Or you can hold on for a while and take chance that it would go in credit and close there. I am holding and will post when I close.

Congrats on that trade!

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Old December 26th, 2013, 03:48 PM   #2697 (permalink)
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CL Futures Calendar Spread

Hi Ron or anyone else

Not sure if you trade or keep track of CL futures spreads but this is something I like the look of...

Buy CL FUT DEC 14 and Sell CL FUT MAR 14

There is currently a $7 spread between the two which will work itself off over the next 8-10 months.
Always a risk that the spread widens further of course especially as CL tends to rise as spring approaches then fall to Dec.

$9 was the widest in Sept when CL was 110 and the spread narrowed to 2.50 as CL dropped to 92 (see chart)

Fairly margin efficient at IB at around $2300 at the moment for a 300% return on margin.

Although not an options trade it would be possible to build a strangle outside of current prices as you would already own a long and a short futures contract.

Happy New Year
Brit

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Selling Options on Futures?-cl-fut-mar-dec.jpg  
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Old December 26th, 2013, 04:04 PM   #2698 (permalink)
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britkid99 View Post
Buy CL FUT DEC 14 and Sell CL FUT MAR 14
There is currently a $7 spread between the two which will work itself off over the next 8-10 months.

Hey Brit I think you might have something off here

The $7 spread is H4-Z4 but Mar14 expires in about 50days on 20-Feb not in 8 months.

If you meant Mar15, then Z14-H15 spread is less than $2.50, but Z4 but does expire in just under 11 months.

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Old December 26th, 2013, 05:36 PM   #2699 (permalink)
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Futures data research

I have been looking at futures research providers to see if they had a easy way to query the data to get results in a particular format. MRCI came closest to what I have in mind but still doesn’t help much. I downloaded futures prices in Excel from Quandl (a free resource) and tried to work on the data to get what I have in mind but didn’t get far. I am trying to get closing price for a particular day (same day and month) for the previous 5/10 years and then the closing price for another particular day in the future (same day and month),. Also, the interim High and Low between those two dates. The result to be presented in a tabular form, for example:

Entry Date - 12/26/13, 12/26/ 12, 12/26/11, 12/24/10
Entry Price
Interim High
Interim Low
Exit Date - 02/14/13, 02/14/12, 02/14/11, 02/14/10
Exist Price

Sorry, am not able to get it post it right in the table form. The above would be the column headings.

The dates would be adjusted to reflect the actual days in case the particular day/s were non-trading days. For example in 2010, 26th was a Sunday, so the date will be 24th.

Does anyone know of any research outfit where I might be able to get something similar? Any advice on how I might be able to work it out in Excel will help, too.


Last edited by Barrington; December 26th, 2013 at 05:43 PM.
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Old December 26th, 2013, 06:38 PM   #2700 (permalink)
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Barrington View Post
I have been looking at futures research providers to see if they had a easy way to query the data to get results in a particular format. MRCI came closest to what I have in mind but still doesnít help much. I downloaded futures prices in Excel from Quandl (a free resource) and tried to work on the data to get what I have in mind but didnít get far. I am trying to get closing price for a particular day (same day and month) for the previous 5/10 years and then the closing price for another particular day in the future (same day and month),. Also, the interim High and Low between those two dates. The result to be presented in a tabular form, for example:

Entry Date - 12/26/13, 12/26/ 12, 12/26/11, 12/24/10
Entry Price
Interim High
Interim Low
Exit Date - 02/14/13, 02/14/12, 02/14/11, 02/14/10
Exist Price

Sorry, am not able to get it post it right in the table form. The above would be the column headings.

The dates would be adjusted to reflect the actual days in case the particular day/s were non-trading days. For example in 2010, 26th was a Sunday, so the date will be 24th.

Does anyone know of any research outfit where I might be able to get something similar? Any advice on how I might be able to work it out in Excel will help, too.

I would think that data providers like eSignal, QST would have that. But they cost some serious dollars. Depends on how much and how often you want data. Maybe end of day results instead of real time would be good enough for you.

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