10-delta in and of itself wouldn't bother me, it's that there is very little time to expiration and very low volatility (around 17% ATM, which is bouncing along a multi-year low). One little blip and you're losing money.
If I were to sell CL calls today, I'd go out a bit in time and away from the money. They're still very low IV, relative to historical data, so don't over-do it in quantity just to get a decent credit into your account.
I am late to this post, but I think the opportunities are pretty good right now, at least in the physical commodity markets I follow. I've attached a snapshot of ATM IV history from the beginning of the year through yesterday. Each figure is the average of the 30 day, 60 day and 90 day "constant maturity" IV for that day - a hypothetical contract interpolated from the real ones. In the FX market I think they call these "tenors."
Anyway, while crude is a dog and the craziness in nat gas was short-lived, there should be some current opportunities in coffee, sugar, corn, wheat, hogs and nat gas. And the growing season is just getting started so corn, beans and soymeal are highly likely to become more volatile in the near future and wheat will go along for the ride.
I think it's all Dudetooth's fault. Many are using his great Excel application, and like indicators and chart patterns, the advantage is quickly lost. (Just kidding, although there might be a grain of truth if more people are trying to sell the same options.)
I'm not saying the opportunities are great, but they're better than they were at the end of last year or the beginning of this year in the commodities I follow. I try to stay flexible with strategy, i.e. if a number of commodities have already had a pretty sharp climb (they have) and volatility is decent (it is, in several commodities), then I might become more of a volatility seller on both sides of the market, rather than taking a one-direction view.
I'm still seeing the same thing. Many times the SPAN prices and ROIs are not achievable or are for markets where you can't trade any decent size like HG. There appear to be a few opportunities and I am continuing to pursue them.
I gave up on HG a long time ago - really low volume.
The reason I say I am having fill trouble is that 6 months ago when I'd place an order in the morning, at a limit price of yesterday's settlement, I had a reasonable chance of getting filled. Now, those fills don't seem to be happening.
It is not like people are jumping in front of me at a better price, either. Many times, I am stuck as the best ask, and there are just 0 trades that day...
Although, yesterday, I was filled on a Cotton call above the previous day's settlement, when Cotton had fallen over $1. Someone really wanted to buy, apparently!
I am slowly migrating from a lot of diversification (5% max margin per instrument, maybe sell 8-10 instruments) to higher percentages, less instruments. Maybe that will help...
If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
The following user says Thank You to kevinkdog for this post:
Just have to be a bit patient to get the fills at prices you like. I too have often times placed my order but on many days nothing happens. But I refuse to lower my ask and I certainly know better than to move to a strike closer to the money just to get filled. Getting filled at these far out strikes at the price you want requires a certain amount of market timing but the profits are still there to be had. Patience patience patience........
My May cotton 110 calls expired yesterday! Wooo Hooo!
Back on March 26th, I was able to sell a bunch of July cotton 120 calls at 0.29 which are worth 0.11 now, so a nice profit so far.
Also back on February 24th, I was able to sell a bunch of July Sugar 24 calls at 0.06 which are now trading at 0.03 so those are doing okay too.
The following user says Thank You to MJ888 for this post: