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Selling Options on Futures?
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Selling Options on Futures?

  #3301 (permalink)
Trading for Fun
Brisbane, Queensland, Australia
 
Futures Experience: Intermediate
Platform: OX, Z360, Excel
Broker/Data: DeCarley
Favorite Futures: Futures and Future Options
 
Posts: 121 since Aug 2013
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Deeper

85 and 75 Puts

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  #3302 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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BlueRoo View Post
85 and 75 Puts

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The options price dropped at that point because futures shot up $6 at the same time.

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  #3303 (permalink)
Trading for Fun
Brisbane, Queensland, Australia
 
Futures Experience: Intermediate
Platform: OX, Z360, Excel
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Favorite Futures: Futures and Future Options
 
Posts: 121 since Aug 2013
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Thanks Ron99, Yes, I was aware. It is the comparison of the strikes that I am looking at not really how much money is being made. I am interested in looking at real world comparisons and differentials. What I am asking myself is given what happened (or regardless of what happened) which strike would I sell. I would be interested in the same given the adverse position. For example. Same contract but now look at the calls at say 115 and 120. You have obviously been doing this type of stuff much longer than I. Sorry if my novice traits are coming out.

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  #3304 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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BlueRoo View Post
Thanks Ron99, Yes, I was aware. It is the comparison of the strikes that I am looking at not really how much money is being made. I am interested in looking at real world comparisons and differentials. What I am asking myself is given what happened (or regardless of what happened) which strike would I sell. I would be interested in the same given the adverse position. For example. Same contract but now look at the calls at say 115 and 120. You have obviously been doing this type of stuff much longer than I. Sorry if my novice traits are coming out.

Someone else had mentioned about the graphs being influenced by the underlying. I just wanted to show what the underlying did when the option price moved down.

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  #3305 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
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SMCJB View Post
Not the intent of my post - but I think it should be pointed out that if every month you sell an option that has only a 5% chance of expiring in the money then there is a 54% chance at year end you have had 12 consecutive winning months and even a 29% chance of 24 consecutive winning months. Question is what happens when the streak ends.

i am a quarter of the way through 'fooled by randomness' and this rings a bell (of alarm type). good comment, your posts are extremely refreshing on this thread.

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  #3306 (permalink)
Trading Apprentice
Kazan russia
 
Futures Experience: Intermediate
Platform: QST
Broker/Data: Vision
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Posts: 31 since Dec 2013
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datahogg View Post
Looks like your spread is doing OK so far. Do you have these real or in simulation. Would you think of buying back
one of the CLQ4/LOQ4 94 PUTS and selling one a little closer to the money to offset delta risk??

good idea ( i did it already), real acc http://gyazo.com/b8fa0bc166b5ce035c3f35a5ff3a31af

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  #3307 (permalink)
Market Wizard
Houston, TX
 
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effective View Post
One hidden problem with naked option selling is a big amount of negative vega. If the implied volatility goes up, the effect, I imagine, would be quite painful. Looking at CL I see that the implied volatility is at the very low historical levels, which increases the likelihood of its going up.

I am curious if people on this tread have ever experienced this problem?

Go back in this thread to mid Feb and read the conversations about March Natural Gas Vol and Skew.

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  #3308 (permalink)
Trading for Fun
Brisbane, Queensland, Australia
 
Futures Experience: Intermediate
Platform: OX, Z360, Excel
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Soybean or Soymeal?

Exploring alternatives...learning the differences...regardless volatility it is all about the margin requirement. There is a big difference between Bean and Meal...I had not noticed this before.
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  #3309 (permalink)
Membership Temporarily Revoked
Chicago IL
 
Futures Experience: Advanced
Platform: Ninja Trader
 
Posts: 3 since Aug 2010
Thanks: 0 given, 2 received

Hi SMCJB,

High Vega can be dangerous of course. I have been trading options for many years, and it is important to try to find options to sell where implied volatility is higher than historical. Quite often a move in volatility will have larger impact on your position than substantial move in underline.

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  #3310 (permalink)
Trading for Fun
Brisbane, Queensland, Australia
 
Futures Experience: Intermediate
Platform: OX, Z360, Excel
Broker/Data: DeCarley
Favorite Futures: Futures and Future Options
 
Posts: 121 since Aug 2013
Thanks: 75 given, 96 received

Quandl COT


This might be of interest to some.
Quandl have added Committment of Traders data for futures. (Historical).
They seem to be continuing to improve their service.

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