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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,720 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old January 3rd, 2014, 11:34 AM   #2791 (permalink)
Market Wizard
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SMCJB View Post
EIA Natural Gas Storage Report Expectations 3-Jan-14 for week ending 27-Dec-13

The largest survey I see (34 respondents) shows
Average -114
Median -114
Range -99 to -139
Std Dev 10.0

This week last year -126
5yr Average -121

Note that several of the smaller surveys I've seen have much higher expected draws but they all seem to suffer from very low respondent count.

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

EIA Release -97.
Feb trading 4255 going into the number, now printing 4215

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Old January 3rd, 2014, 11:37 AM   #2792 (permalink)
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Thanks for the report SMCJB.
I see you can download historical data there as well.
Has anybody build a regression model with those values? To predict NG future pricing? and if so. is that working?
i remember schwager mentions it in his book (fundamental analysis, Schwager on futures).
My gut says it can't be spot on but it may be usefull for selling options.


Last edited by crito; January 3rd, 2014 at 12:12 PM. Reason: typo
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Old January 3rd, 2014, 11:51 AM   #2793 (permalink)
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Here the data from that spreadsheet in a chart year by year.

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or you can download the excel with chart from here
https://www.dropbox.com/s/vmph32i2n8fvnxj/ngshistory-with-chart.xls

Attached Files
Register to download File Type: xls ngshistory-with-chart.xls (1.49 MB, 9 views)
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Old January 3rd, 2014, 12:06 PM   #2794 (permalink)
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I have been using this chart of mine to see how the current year's NG injection/withdrawal compares to the prior 6 years.

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Old January 3rd, 2014, 04:24 PM   #2795 (permalink)
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Question about THETA

Futures Edge on FIO

Are you a NinjaTrader user?

 
Why is it that an option that is more out of the money will decay faster than one that is nearer to being in the money.

One that has a delta of 0.04 will decay faster than one that has a delta of 0.15.

Just curious.

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Old January 3rd, 2014, 07:58 PM   #2796 (permalink)
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datahogg View Post
Why is it that an option that is more out of the money will decay faster than one that is nearer to being in the money.

One that has a delta of 0.04 will decay faster than one that has a delta of 0.15.

Just curious.

The simple answer is that for the further OTM option there is a lack of aggressive buyers to keep prices supported while there are still buyers for the closer to ITM option.

For example, there are still aggressive buyers for Mar CL 87 puts because there is a chance CL will get to that price but less buyers for <80 puts because the chances of getting there with <42 DTE is lower.

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Old January 4th, 2014, 09:58 AM   #2797 (permalink)
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I can’t shake the thought about the comment in the karen video that delta is about the same as the chance that an option gets in the money.
Perhaps it’s a rough indicator but somehow it doesn’t feel right.

In order to get a more statistical number would the following make sense?
Let’s take a CL put 80 as an example and assume the future was at 96 at the moment it is sold.
So difference between the future & strike = 96 – 80 = 16
Days till expiration is 42.

Now I take the continues oil contract and start with some date (lets take 1/1/2000)
And I test if, if I had sold a put 16 points below the fut price at 1/1/2000, if somewhere in the next 42 days it would get in the money. (so if oil goes down $16 in the next 42 days)
If not I add one to the ‘not-in-the-money’ counter and if it did, I add one to the ‘it-did-get-in-the-money-counter’.
Now I add one day so 2th of januari and do it again, all the way till today.
That would give me about 3500 samples (14 years * 250 trade days) and that way a % of getting in the money.

Would it be fair to take 1 jan 2000 and the next day (since a lot of data would be the same) or would it be better to skip more than 1 day?

Would this method be more realistic (than using delta)? Or make no sense at all
Comments welcome.


Last edited by crito; January 4th, 2014 at 01:08 PM. Reason: typo
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Old January 4th, 2014, 12:10 PM   #2798 (permalink)
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crito, here is CL biggest drop and gains in 56 & 90 days. But it doesn't count the frequency you are looking for.

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

Also remember that you don't need CL to drop 16 to knock you out of the position. A drop of 10 will surely use up your excess. The 90 settled at $1,100. The $80 settled at $140. The 90 SPAN IM is $1768. The 80 is $380. You would need $2,348 to cover the increased IM and premium of a $10 move in CL if volatility stayed the same.

I doubt you will have about $2,500 excess for the 80 put if the IM was only $380.

It will be a waste of time to go back to the early 2000s because when the oil price is in the 20s you won't get any 16 moves.

Looking at CL contract (last 9 months before expiration) for the years 2007-2013 a drop of 16+ happened 2004 out of 17488 or 11.5% in 56 days. And that includes the last 10 months in which have not have any.

A drop of 10+ happened 23.2%. 20+ happened 7.3%. 25+ happened 5.0%. 30+ happened 3.6%.

A drop of 30+ hasn't happened since the CLq2009 contract.

That is counting starting 56 days from the oldest price and looking at each 56 day period. An average of 208 per contract.

For example, if there was a 20 day period where a contract had dropped by more than 25 from the start to the end then that is counted as 20 times for that contract. Each start and stop of the 56 day measurement using that 20 day period had a 25+ drop.

Here is a $20 drop example.

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Last edited by ron99; January 4th, 2014 at 12:34 PM.
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Old January 4th, 2014, 01:06 PM   #2799 (permalink)
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Thanks Ron, very interesting.

I guess the “good part” of IB is you start with a higher margin (but I realize that is ‘inverse logic’, we can start a whole psychological thread about that one

Do I understand correctly that in the table, drops are counted double, eg. both clx & clz contract, if it happened while both where active?
Not sure if that would be fair, although the ‘good guys’ would also be counted double.

I suppose you get burned when moving from a low vola period to a high period (like clq 2008 and further in your table) but when those drops continue the vola would be so high, for the same premium you would sell further away making the chance (fut reaches strike) lower. And obviously the other way around moving out of a high vola period is very nice, (if you know)
So I guess creating a chance table would make sense but it would be a lot better if you add (next to $drop & days till exp.) a third parameter, the current volality.

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Old January 4th, 2014, 03:45 PM   #2800 (permalink)
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9-Jan EIA Release EARLY Estimates.
First estimates coming in, still subject to a lot of changes.
First survey I have seen had only 11 respondents and an average of -150.8, median -155
Range was -126 to -167

Last year same week -201
5 year average same week -131

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