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Selling Options on Futures?
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Selling Options on Futures?

  #2701 (permalink)
Elite Member
Milton Keynes UK
 
Futures Experience: Intermediate
Platform: Investor/RT, Sierra Chart
Favorite Futures: Futures Options, CL
 
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Thanks: 74 given, 115 received


SMCJB View Post
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.

SMCJB,

There would be a few rolls needed of the short contract. Mar14 to May14 to Jul14 to Sep14 to Nov14 or close out. The intention is to roll for even money if possible or around 20c at worst. 4 rolls at 20c equals 80c off your return. I will try to roll every 2 months to keep commissions down.

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  #2702 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,648 since Jul 2011
Thanks: 768 given, 4,572 received
Forum Reputation: Legendary


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.

Here is a copy of part of a spreadsheet that I use.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The chart shows the daily settlement price for all years since 2006. On the right is the date and settlement prices that I imported from QST. The seasonal chart is from MRCI.

Below is for each contract for 56 & 90 days periods but doesn't use a specific start date.

https://futures.io/elite-circle/20164-master-homework-statistics-thread-30.html#post321371

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  #2703 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,932 since Dec 2013
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EIA Natural Gas Storage Report Expectations 27-Dec-13 for week ending 20-Dec-13

The largest survey I see (34 respondents) shows
Average -176.4
Median -176
Range -160 to -194
Std Dev 7.9

This week last year -74
5yr Average -125

Actual report will be available at Weekly Natural Gas Storage Report - EIA at 1030 EPT

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  #2704 (permalink)
Trading Apprentice
west palm beach + Florida
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: ES
 
Posts: 31 since Mar 2013
Thanks: 10 given, 38 received

Update


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.

Closing this spread now for about 9 cent credit (5.20 for 600 calls and 35.00 for 425 calls) bringing total profit to 2000 (1100 + 900) on margin of about 7000 (1000 initial + 6000 spare) in a week - 28.5% ROI.

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  #2705 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,932 since Dec 2013
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SMCJB View Post
EIA Natural Gas Storage Report Expectations 27-Dec-13 for week ending 20-Dec-13

The largest survey I see (34 respondents) shows
Average -176.4
Median -176
Range -160 to -194
Std Dev 7.9

This week last year -74
5yr Average -125

Actual report will be available at Weekly Natural Gas Storage Report - EIA at 1030 EPT

EIA Reported -177 right on expectations.
Stocks are now 591 BCF below last year (-16%) and 313 BCF below the previous 5 year average (-9%)

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  #2706 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,932 since Dec 2013
Thanks: 1,627 given, 2,938 received
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seemasp View Post
Closing this spread now for about 9 cent credit (5.20 for 600 calls and 35.00 for 425 calls) bringing total profit to 2000 (1100 + 900) on margin of about 7000 (1000 initial + 6000 spare) in a week - 28.5% ROI.

Nice trade. Congratz

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  #2707 (permalink)
Elite Member
Portland OR
 
Futures Experience: Intermediate
Platform: None
Favorite Futures: Stocks
 
Posts: 56 since Dec 2012
Thanks: 87 given, 29 received


seemasp View Post
Closing this spread now for about 9 cent credit (5.20 for 600 calls and 35.00 for 425 calls) bringing total profit to 2000 (1100 + 900) on margin of about 7000 (1000 initial + 6000 spare) in a week - 28.5% ROI.

Well done and thanks for sharing. I was not able to put it on that day, even though it looked pretty good. I wanted to look at it more since had already booked a big loss in NG and was still holding some calls which made me anxious.

How were you able to locate this trade? Do you have a some system or its just that the NG volatilities went thru' the roof and that attracted your attention?

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  #2708 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: IBs ladder / Market Delta charts
Broker/Data: IB / IQfeed
Favorite Futures: Bund
 
Posts: 438 since Sep 2012
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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.

hey barrington,

i use Commodity Research Bureau - (CRB) - Commodity Perspective (CP) - they do major futures markets inc commods / indices / ccy futures for $350 pa for eod futures prices in ascii format. i actually have a slightly diff format for a specific type of software (which isnt v gd) & will be upgrading to the ascii format so i can start importing into access/oracle/excel & run my own reports.

not sure if its what you are looking for, their cust service is pretty gd so perhaps give them a call.

hny everyone.

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  #2709 (permalink)
Trading Apprentice
west palm beach + Florida
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: ES
 
Posts: 31 since Mar 2013
Thanks: 10 given, 38 received


Barrington View Post
Well done and thanks for sharing. I was not able to put it on that day, even though it looked pretty good. I wanted to look at it more since had already booked a big loss in NG and was still holding some calls which made me anxious.

How were you able to locate this trade? Do you have a some system or its just that the NG volatilities went thru' the roof and that attracted your attention?

It was more of very high volatility in March NG and some price action reading (Al Brooks style) that attracted my attention. Price action wise - spike phase just ended last week and channel is beginning. Probability of another spike right now is low. Also only way to lose money on that spread at that time of inception was another price spike higher - a low probability. Volatility of calls sold was almost one standard deviation above historical and usually volatility is mean reverting. That two and also the fact that the spread would act as kind of hedge against my existing naked call position (if price goes up slowly in channel) gave me confidence to take the trade.

I have already explained my action plan on it on previous posts. Many markets give this kind of opp 1 or 2 times a year but most time it is due to a move that has gone against option sellers and hence very few have desire/ability to take additional risk.

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  #2710 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,932 since Dec 2013
Thanks: 1,627 given, 2,938 received
Forum Reputation: Legendary



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.

Morningstar's Commodity Query (Morningstar bought LIM a few years back and this is the successor to XMIM) could perform a query like this very quickly. Unfortunately it's not a cheap product for a retail trader.

Query would look something like this

SHOW
1: Close of NG
2: 40 day high of NG
3: 40 day low of NG
WHEN
Date is 20 business day in December
OR
Date is 14 business day in February

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