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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,446 / 5,734
Last Reply:2 Hours Ago (01:01 AM) Attachments:642

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Selling Options on Futures?

Old January 26th, 2014, 02:22 PM   #2981 (permalink)
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Here is the same spreadsheet using SPAN IM which is the margin that Ron uses to compute ROI. I didn't add the highlights, but the situation is the same. Short strangles in the ES aren't a viable strategy at this time.

EDIT: I also added the NG ROI Matrix for comparison. This is also based on Friday's SPAN IM.

Attached Thumbnails
Selling Options on Futures?-es-roi-matrix-span-im.pdf   Selling Options on Futures?-ng-roi-matrix-span-im.pdf  

Last edited by mu2pilot; January 26th, 2014 at 02:38 PM.
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Old January 26th, 2014, 11:07 PM   #2982 (permalink)
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NG +12c on the Globex Sunday Night Reopen.

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Old January 26th, 2014, 11:24 PM   #2983 (permalink)
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MU2PILOT - In your pdf for Natural Gas, I noticed 30 DTE (today), Previous Value (settlement price on Friday) and that the file was uploaded about noon central today. What's the source of the BID, ASK and PRICE? Thanks.

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Old January 27th, 2014, 12:03 AM   #2984 (permalink)
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Those columns are connected to ThinkorSwim and display real-time quotes when markets are open. The ROI is based on the real-time price.


Sent from my iPad using Tapatalk HD

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Old January 27th, 2014, 12:27 AM   #2985 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
Thanks. They must use the same or a similar data source as OptionsXpress. I rarely trade through OX, but I glanced at their NG futures options chain after I sent my last post and they had most of the same numbers. Some of them are nonsense, i.e. a bid and ask and a 'price' outside of the range, or an extremely wide bid and ask and a 'price' at the bid. All of those fields should be zero post-session.

That was one of my complaints about OX - their chains were usually OK during the session, but post-session and over the weekend, many strikes were populated with bad data, and when they bothered to calculate IV and the Greeks (they have many empty IV and greek fields), the results would be way off, too.

Anyway, I like how you've automated that table. Sorry about the OX bitch session.

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Old January 27th, 2014, 03:12 AM   #2986 (permalink)
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SMCJB View Post
NG +12c on the Globex Sunday Night Reopen.

Yeah, Monday morning in Europe and Feb NG is up another 4.5%.

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Old January 27th, 2014, 09:39 AM   #2987 (permalink)
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rani View Post
Yeah, Monday morning in Europe and Feb NG is up another 4.5%.

And now it is down. 36 cent spread between high and low already. Crazy.

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Old January 27th, 2014, 11:54 AM   #2988 (permalink)
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Quoting 
An added lift in the natural gas market comes on chatter that some power companies were getting squeezed, and that may be providing a new segment of buyers into the fray.

http://www.cmegroup.com/education/market-commentary/energy/2014/01/pre-open-nat-...rgy+Market+Commentary%29

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Old January 27th, 2014, 12:29 PM   #2989 (permalink)
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I like Hightower because they actually make some trade recommendations, with stops, and tell you when they got out and made/lost money. They had a real doozy one week ago, though; a recommendation to short Mar 4.40 NG calls and buy Jun calls at X (somewhat higher strike). I haven't followed it, but Jun futures and IV haven't run up that much and the short March call position would have been creamed.

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Old January 27th, 2014, 01:22 PM   #2990 (permalink)
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CNBC/Reuters:- Hedge funds burned by natural gas in 2013

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