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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,362 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old June 13th, 2014, 01:01 PM   #3401 (permalink)
Trading Apprentice
New York/USA
 
Futures Experience: Beginner
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Sell further OTM with DTE>90 whenever /CL spike UP

Hi All,

By looking at the current spike in /CL with high delta, it provides rich premium of 0.14 for /CL 140C Oct14.
Would it better we sell it based on this spike?
We may close the position earlier once the panic move away?

Any comment?

Thanks.

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Old June 13th, 2014, 01:41 PM   #3402 (permalink)
Elite Member
Richland WA/USA
 
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datahogg View Post
IV did spike, and for better or worse I sold some CLU4/LOU4 89 puts this morning with the OVX at 19.34 .
Delta = 0.0189
That is a nice chart, but isn't Option Vue an expensive package??

It is expensive, but the way I trade options would be very difficult without some kind of graphical analysis, etc.
It also allows me to go "back in time" and analyze/rehearse various trading setups.
For the option selling strategy described on this forum you really don't need optionvue.

There are other packages out there for equity options (e.g. Options Trading and Analysis Software) that are somewhat cheaper but I could not find anything else for future options.

This move in CL really wrecked my position this time, more than I would expect. I suspect that volatility change had something to do with it

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Old June 13th, 2014, 03:07 PM   #3403 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
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??



effective View Post
It is expensive, but the way I trade options would be very difficult without some kind of graphical analysis, etc.
It also allows me to go "back in time" and analyze/rehearse various trading setups.
For the option selling strategy described on this forum you really don't need optionvue.

There are other packages out there for equity options (e.g. Options Trading and Analysis Software) that are somewhat cheaper but I could not find anything else for future options.

This move in CL really wrecked my position this time, more than I would expect. I suspect that volatility change had something to do with it

Was your position with calls or puts?

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Old June 13th, 2014, 03:31 PM   #3404 (permalink)
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datahogg View Post
Was your position with calls or puts?

Both, strangle like

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Old June 13th, 2014, 03:38 PM   #3405 (permalink)
Trading for Fun
St Paul, MN, USA
 
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Futures Edge on FIO

Are you a NinjaTrader user?

 
The call IV is causing pain for sure. This graph only goes to 5 delta at each end, but look at the steepness on the right hand side (5 delta calls) compared to a couple of days ago. Roughly 16% to 20%, a 25% increase.

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Old June 14th, 2014, 06:47 PM   #3406 (permalink)
Trading for Fun
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Initial margin comparison RJO vs. IB

For the week just ended, I compared the results from DudeTooth's PC-SPAN based Excel application to the initial margin calculations for real positions at RJO and Interactive Brokers (image below).

No surprise on the RJO requirements vs. PC-SPAN. When I have checked in the past, they're usually very close.

Interactive Brokers make you scratch (or bang) your head:

My largest position right now is in Coffee, which is also the most volatile commodity. I don't have a lot of offsets to the main position which is short puts, and had I done the offset/spread calculations in PC-SPAN, the two figures would be pretty close to even. That's a stark contrast to Cocoa and Sugar which are both pretty small positions, the underlying contracts are not very volatile, and yet IB is WAY above PC-SPAN.

My second and third largest positions are in wheat and corn, and if the short calls were factored in, I think IB would be pretty close to PC-SPAN.

My fourth largest position is in Nat Gas. Nothing fancy, just short OTM puts, roughly equally distributed from now until next March. IB is WAY above PC-SPAN.

Finally, Crude Oil. I don't know how much the margin has changed recently, but the gap between IB and PC-SPAN (and RJO where I have the real positions) is laughably large.

There are good things about doing business with IB (especially stocks and stock options) but with certain futures options, they're all but saying, "we don't want your business." I'd have no problem if they typically ran x percent above SPAN (as long as x was reasonable), but they're all over the map.

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Selling Options on Futures?-initial-margin-compare.png  

Last edited by CafeGrande; June 14th, 2014 at 07:13 PM. Reason: ETA: Changed 'coffee' to 'corn'
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Old June 14th, 2014, 09:33 PM   #3407 (permalink)
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@CafeGrande I have found that among st our customers who sell options, we had to be very specific when matching them with a software. Not all software are compatible with the SPAN margin, and some use the outright futures contract. Second, real time integration with SPAN (from what I heard) is super expansive so many out there resort to building an algorithm that tries to imitate the SPAN margins, but of course there could be subtle differences. Lastly, there are FCMs that are not options friendly, and quite frankly raise it deliberately to reduce their risk and explore of potential deficits.

I would consider the R-Trader (good execution, uses outright futures margins, but could be adjustable as lower margin) We made an educational video about it here: https://www.youtube.com/watch?v=tFekjk2oIT4&list=PLOGjoJXp0cmpe8YtlkAckzES_GYPRcG2-&index=13

Also, I would consider QST for options as well. You will find that it comes pretty close to the SPAN.

I hope this helps.

Matt

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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Old June 17th, 2014, 01:07 AM   #3408 (permalink)
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Kazan russia
 
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mixpol View Post
just wanna see jul exp WTI between 101.5/103.5 let's look at my humble prediction

f...k that stuped iraq war still crude gonna be there but when, who knows?

looking for this to trade SELL -1 1/2 BACKRATIO /CLQ4 1/1000 AUG 14 /LOQ4 106/111 CALL @-.67 LMT
very expensive call for aug crude (volatility smile) that means croud is buying calls, plus COT is very bullish
possible scenario= stay for while here to theta work on croud's calls, traders start exit from calls and enter in puts, another spike to shoot puts and profit MM calls, out from puts, and down to 102 area


Last edited by mixpol; June 17th, 2014 at 01:46 AM.
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Old June 17th, 2014, 09:29 AM   #3409 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
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OVX


mixpol View Post
f...k that stuped iraq war still crude gonna be there but when, who knows?

looking for this to trade SELL -1 1/2 BACKRATIO /CLQ4 1/1000 AUG 14 /LOQ4 106/111 CALL @-.67 LMT
very expensive call for aug crude (volatility smile) that means croud is buying calls, plus COT is very bullish
possible scenario= stay for while here to theta work on croud's calls, traders start exit from calls and enter in puts, another spike to shoot puts and profit MM calls, out from puts, and down to 102 area

Noticing that OVX hit another peak yesterday, for better or worse I sold some Sept 85 puts.

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Old June 17th, 2014, 10:10 AM   #3410 (permalink)
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mixpol View Post
f...k that stuped iraq war still crude gonna be there but when, who knows?

Interesting thing.. 3rd day in a row the front (N) is down but the mid/back is up

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