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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,770 / 5,727
Last Reply:5 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old December 27th, 2013, 04:26 PM   #2711 (permalink)
Market Wizard
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TRADE ALERT

Mar RB 2.15 puts settled at 0.0002. They are bid at 0.0010 570 times. SPAN IM is 50. Delta is 0.0032. Futures are at 2.82.


Last edited by ron99; December 28th, 2013 at 12:11 AM. Reason: Had wrong IM amount and wrong price. Sheesh
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Old December 27th, 2013, 04:34 PM   #2712 (permalink)
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ron99 View Post
TRADE ALERT

Mar RB 2.15 puts settled at 0.0002. They are bid at 0.010 570 times. SPAN IM is 64. Delta is 0.0032. Futures are at 2.82.

Thanks. Just sold a bunch. I had just sold some Feb 3.9% ROI yesterday, so this is a much better deal!

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

Last edited by kevinkdog; December 27th, 2013 at 05:11 PM.
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Old December 27th, 2013, 10:14 PM   #2713 (permalink)
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Ron:

I didn't read your post until just now,

Were those rb mar bid .010 or .0010? $424.00 or $42.00

Can't believe they were bid that high. Muffin58

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Old December 28th, 2013, 12:12 AM   #2714 (permalink)
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muffin58 View Post
Ron:

I didn't read your post until just now,

Were those rb mar bid .010 or .0010? $424.00 or $42.00

Can't believe they were bid that high. Muffin58

It's 0.0010 not 0.010. I forgot a zero.

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Old December 28th, 2013, 06:30 AM   #2715 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
Just finished reading this thread.

Some really great info here, thanks to all involved.

Thought I would share this seasonal site as I haven't seen it posted yet: Analysis software for seasonal spread trading | SeasonAlgo.com - SA

Decided to go with them over MRCI as I liked their platform more. As always it provides only a piece of the puzzle.

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Old December 28th, 2013, 10:45 AM   #2716 (permalink)
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dubstrading View Post
Just finished reading this thread.

Some really great info here, thanks to all involved.

Thought I would share this seasonal site as I haven't seen it posted yet: Analysis software for seasonal spread trading | SeasonAlgo.com - SA

Decided to go with them over MRCI as I liked their platform more. As always it provides only a piece of the puzzle.

Welcome and congrats on reading the whole thread.

That seasonal site looks fantastic. I looked at the screenshots. I need to try the demo. Price ($33 per month) is only $17 more per year than MRCI and it looks far, far better.

Thank you for bringing it to our attention.

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Old December 28th, 2013, 11:28 AM   #2717 (permalink)
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Current Positions

For those looking for trade candidates, here are a couple of things:

1. Looking through various instruments, I found 342 current options that have ROIs greater than 3%, delta <.05 (with net premium > $10). A lot of them are Nat Gas and Crude Oil, but there are good ROIs in many instruments. Note that you should do some analysis before trading of these.


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2. Here are the positions I am currently in. Most are profitable right now, but a few of them have been a wild ride (NGG4 6 Calls, for example). As you can tell, I rely on diversification quite a bit.


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Old December 28th, 2013, 01:33 PM   #2718 (permalink)
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Kevinkdog-

How did you compile your list of options? Did you do it manually? Programmatically? Did you use SPAN margin specific to each instrument? Or did you use a general margin requirement for each underlying? Did you use 3x margin to compute your ROI?

I am planning on writing a program (probably in VBA) to pull real time data from a data source, current SPAN margin info and build a ROI matrix of current futures options similar to what you have done and was curious how you did it.

Thanks,

mu2pilot

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Old December 28th, 2013, 01:49 PM   #2719 (permalink)
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Hi,

I read the first 10 pages of this thread, and good to see a writing future options thread.
I have been shortening fut. Options for a few years too, and it also started with the lib. book.
The Karen videos where very interesting, thanks for that.
But I seem to miss one thing.
If I understand correctly she starts defending the position when the option gets to 30% (change of getting in the money)
I use IB so I’ll use option delta iso ‘change to get in the money’ (I read somewhere that (for a put) -0.3 delta is the same as 30%, etc)
So if you sell a put with delta -0.05 and start doing something when it reaches -0.3 the premium has far more than doubled and with that the maint. margin.
And if she only uses 50% of her capital (which I agree on and do the same), she would get a margin call way before the put get to -0.3
And sure not all shorted options would go to 30% but since she mainly trades index future options and only 2 month I guess at least 50% would.
Anybody?


@Ron, sorry if you mentioned it somewhere before (post me a link or page number) but I would be interested wehre you start acting on options that go the wrong way. Do you buy them back (at what mental trigger?) or do you short/buy the underlaying future.
As Karen, do you close the bad guy and sell calls & puts at the same month to ‘not give back any money’
Also looking forward to hear how other short option sellers deal with managing the position.

Personally I prefer to buy back the option and level depends on how much time is left though. In very bad situations (eg. last year silver down when I woke up, or corn calls during the warm summer) I shorted the (silver) future to compensate or bought (the corn) fut.

oh, not sure if this site has been metioned but i like it, it shows all options in a list with openinterest
change last 2 letters for other future (so now es, change to cl for crude or gc for gold, etc)
InsideStocks - Future Options Prices for es

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Old December 28th, 2013, 01:59 PM   #2720 (permalink)
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Crito-


crito View Post
Hi,

I read the first 10 pages of this thread, and good to see a writing future options thread.
I have been shortening fut. Options for a few years too, and it also started with the lib. book.
The Karen videos where very interesting, thanks for that.
But I seem to miss one thing.
If I understand correctly she starts defending the position when the option gets to 30% (change of getting in the money)
I use IB so I’ll use option delta iso ‘change to get in the money’ (I read somewhere that (for a put) -0.3 delta is the same as 30%, etc)
So if you sell a put with delta -0.05 and start doing something when it reaches -0.3 the premium has far more than doubled and with that the maint. margin.
And if she only uses 50% of her capital (which I agree on and do the same), she would get a margin call way before the put get to -0.3
And sure not all shorted options would go to 30% but since she mainly trades index future options and only 2 month I guess at least 50% would.
Anybody?

I haven't seen any explanation as to how Karen can wait until the delta hits 30 to defend a position. I agree with you that using 50% of her capital wouldn't cover unrealized losses. I would like to know the answer to your question too.


crito View Post
@Ron, sorry if you mentioned it somewhere before (post me a link or page number) but I would be interested wehre you start acting on options that go the wrong way. Do you buy them back (at what mental trigger?) or do you short/buy the underlaying future.
As Karen, do you close the bad guy and sell calls & puts at the same month to ‘not give back any money’
Also looking forward to hear how other short option sellers deal with managing the position.

Personally I prefer to buy back the option and level depends on how much time is left though. In very bad situations (eg. last year silver down when I woke up, or corn calls during the warm summer) I shorted the (silver) future to compensate or bought (the corn) fut.

I encourage you to take the time to read this entire thread. There are numerous golden nuggets for your discovery. Ron typically "does something" when a position goes 2x the premium received against him. Sometimes (most times?) he rolls, sometimes he closes the position, sometimes, if he is close to expiration and he feels confident in the trade, he stays put.

mu2pilot

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