Sell further OTM with DTE>90 whenever /CL spike UP
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?
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.
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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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.
Last edited by CafeGrande; June 14th, 2014 at 06:13 PM.
Reason: ETA: Changed 'coffee' to 'corn'
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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.
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 12:46 AM.