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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,857 / 5,727
Last Reply:11 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old January 2nd, 2014, 10:58 AM   #2771 (permalink)
Market Wizard
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nomad4x View Post
I saw that, Both the ICE and CME links are dead. When/if I find the proper link i"ll post it.

It looks like the old link is now this link http://www.cmegroup.com/tools-information/communications/sub-center.html Oddly enough if you click on the link on page 2 it gives you a error page. in the bulletin on the CME sight it has the old link and redirects to the new link. Odd Stuff...

Sorry about the links not working. I changed the CME link.

The ICE link was weird. When I clicked on it I got the error page. But when I went to the site and at the bottom of every page it has a link to subscribe that is the same link in post #2. I reposted the link in post #2 and now it works. I didn't see any difference between the two.

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Old January 2nd, 2014, 11:16 AM   #2772 (permalink)
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fyi,

just sold put 80, CLh
premium 0,09 * 1000 = $90
exp. 14/2 (42 days)
IM (ib) = $1902; MM = $1522
delta = 0,0215; Vega = 0,0207

$90/$1902 = 4,7% (trade)
$4,7% /42day * 31days = 3.49%/month
with 2x excess -> 1,75% /month
with 3x excess -> 1,164% /month


Last edited by crito; January 2nd, 2014 at 11:20 AM. Reason: typo
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Old January 2nd, 2014, 11:31 AM   #2773 (permalink)
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SMCJB View Post
Nice rally on Tuesday but not looking so great today so far.
I dabbled with some 1830/50 weekly fences (Jan 3rd), sold half with a decent profit going into close Tuesday.
May add some 1820/40s again here

Some of us are new to options. What form is the "weekly fence" mentioned above??

Thanks HH.

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Old January 2nd, 2014, 11:41 AM   #2774 (permalink)
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datahogg View Post
Some of us are new to options. What form is the "weekly fence" mentioned above??
Thanks HH.

Traditionally options on Futures were only available monthly and for some contracts quarterly.

More recently they have launched 'weekly' options on some contracts. For example ES (SA&P500 E-Mini) now has options that expire every Friday. Very easy way to put on a very short dated trade. In this case I put on some options on Tuesday 31st that expire this Friday 3rd.

To be honest one of the reasons I put this trade on (other than ron's point regarding the first trading day of the year) was that I'd never traded any weeklies, and I wanted to make myself slightly more familiar.

Regarding 'The Fence', a fence is bullish (bearish) trade where you buy (sell) a call above the market and sell (buy) a put below the market. Also called collars (and costless collars). In this case 1830 refers to the put I sold and 1850 the call I bought


Last edited by SMCJB; January 2nd, 2014 at 11:45 AM. Reason: added fence
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Old January 2nd, 2014, 11:44 AM   #2775 (permalink)
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Futures Edge on FIO

crito View Post
fyi,

just sold put 80, CLh
premium 0,09 * 1000 = $90
exp. 14/2 (42 days)
IM (ib) = $1902; MM = $1522
delta = 0,0215; Vega = 0,0207

$90/$1902 = 4,7% (trade)
$4,7% /42day * 31days = 3.49%/month
with 2x excess -> 1,75% /month
with 3x excess -> 1,164% /month

IB IM=1902
SPAN IM=189.

IB IM is more than 10 times SPAN IM.

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Old January 2nd, 2014, 12:12 PM   #2776 (permalink)
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ron99 View Post
IB IM=1902
SPAN IM=189.

IB IM is more than 10 times SPAN IM.

thanks,
Would be nice to know if anybody on OX can check the IM, guess slightly above span.

Ok, if you add transaction costs (i forgot, sorry)...

IB:
$90 - $3,50 = $86,50
$86,50 / $1902 = 4,55% (trade)
$4,55% /42day * 31days = 3.36%/month
with 2x excess -> 1,68% /month
with 3x excess -> 1,12% /month


OX @span and ($13,50):
$90 - $13,50 = $76,50
$76,50 / 189 = 40,5% (trade)
40,5% / 42days * 31 days = 29,87%/month
with 2x excess -> 14,94% /month
with 3x excess -> 9,96% /month

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Old January 2nd, 2014, 12:26 PM   #2777 (permalink)
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ron99 View Post
Sorry about the links not working. I changed the CME link.

The ICE link was weird. When I clicked on it I got the error page. But when I went to the site and at the bottom of every page it has a link to subscribe that is the same link in post #2. I reposted the link in post #2 and now it works. I didn't see any difference between the two.

Thanks and no need to apologize, as for the Ice, leave it to me to break something that isn't broken

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Old January 2nd, 2014, 12:27 PM   #2778 (permalink)
Market Wizard
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OX is 10% above SPAN on CL right now. 208.

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Old January 2nd, 2014, 12:37 PM   #2779 (permalink)
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ron99 View Post
OX is 10% above SPAN on CL right now. 208.

thanks Ron,
did they fix that "first short wrong margin, after that ok" thing yet? or do you still have a higher margin for the first short?


So for the record,

IB: @1908 ($3,50)
$90 - $3,50 = $86,50
$86,50 / $1902 = 4,55% (trade)
$4,55% /42day * 31days = 3.36%/month
with 2x excess -> 1,68% /month
with 3x excess -> 1,12% /month


OX @208 and ($13,50):
$90 - $13,50 = $76,50
$76,50 / 208 = 36,8% (trade)
36,8% / 42days * 31 days = 27,14%/month
with 2x excess -> 13,57% /month
with 3x excess -> 9,05% /month

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Old January 2nd, 2014, 01:00 PM   #2780 (permalink)
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crito View Post
thanks Ron,
did they fix that "first short wrong margin, after that ok" thing yet? or do you still have a higher margin for the first short?


So for the record,

IB: @1908 ($3,50)
$90 - $3,50 = $86,50
$86,50 / $1902 = 4,55% (trade)
$4,55% /42day * 31days = 3.36%/month
with 2x excess -> 1,68% /month
with 3x excess -> 1,12% /month


OX @208 and ($13,50):
$90 - $13,50 = $76,50
$76,50 / 208 = 36,8% (trade)
36,8% / 42days * 31 days = 27,14%/month
with 2x excess -> 13,57% /month
with 3x excess -> 9,05% /month

At OX it used to be wrong only for Strangles/Spreads not straight shorts. The Strangles/Spreads seems to be working for some commodities, now. But not sure if its fixed for all.

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