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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,770 / 5,727
Last Reply:5 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old September 10th, 2014, 07:30 AM   #3621 (permalink)
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Steubenville Ohio
 
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dbh21 View Post
Has anyone gone about backtesting strangles in CL? If so, how?

If you want to see how CL option prices and margin behaved during recent price swings you can get some free data from CME. They have 2013-2014 option data available as SPAN files. You'll need some tools to sift through the data, though ... check out the PC-SPAN thread if you are interested.

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Old September 10th, 2014, 11:27 AM   #3622 (permalink)
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Dudetooth View Post
If you want to see how CL option prices and margin behaved during recent price swings you can get some free data from CME. They have 2013-2014 option data available as SPAN files. You'll need some tools to sift through the data, though ... check out the PC-SPAN thread if you are interested.

I just started digging into to this last night via that thread and your tool. Looks excellent. Thanks

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Old September 10th, 2014, 11:42 AM   #3623 (permalink)
Market Wizard
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Trade Alert.

Sell Oct Milk (DA) 20.50 puts for 0.03 ($60). IM is $229. 56 DTE. About 4.0% Monthly ROI depending on your commissions and fees.

Bid 133 times.

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Old September 10th, 2014, 11:55 AM   #3624 (permalink)
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dbh21 View Post
Thanks for the response. I do understand how you are managing the actual margin, but I was just checking what I was seeing was accurate.

On another note, I wanted to backtest selling short strangles, specifically to see how bad it will get when the market makes a big move. I was thinking of having unbalanced puts and calls (more puts than calls), or hedging with OVX (but the OI is low), or even hedging the call side... just to see the performance during crisis situations. But, the backtest tools in TOS don't work with futures. I have built my own backtest tool, but the data for CL is extremely expensive compared to the equity data I already have.

Has anyone gone about backtesting strangles in CL? If so, how?

As above has said, experience is better than backtest but why not do both. You can find free data from since April 1983 till now. I chose a specific OTM strike away from futures price at the specific premium and a set stop loss based on premium level and extracted the range for different IV levels to extrapolate a rough formula for backtesting then comparing it against actual price movements. It's simpler than it sounds but quite a fair bit of work/number crunching to do especially if you do different "out of money-ness" and different stops all the way back to 1983 but a good study I think to get a rough feel then compare it in the live market going forward.

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Old September 10th, 2014, 01:21 PM   #3625 (permalink)
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Futures Edge on FIO

ron99 View Post
Trade Alert.

Sell Oct Milk (DA) 20.50 puts for 0.03 ($60). IM is $229. 56 DTE. About 4.0% Monthly ROI depending on your commissions and fees.

Bid 133 times.

Sorry guys, did not expect the Oct Milk futures to crash like that. Those options are still good.

I expect Oct futures might be down tomorrow am some then level off. We aren't going to 20.50.

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Old September 10th, 2014, 10:30 PM   #3626 (permalink)
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k20a View Post
As above has said, experience is better than backtest but why not do both. You can find free data from since April 1983 till now. I chose a specific OTM strike away from futures price at the specific premium and a set stop loss based on premium level and extracted the range for different IV levels to extrapolate a rough formula for backtesting then comparing it against actual price movements. It's simpler than it sounds but quite a fair bit of work/number crunching to do especially if you do different "out of money-ness" and different stops all the way back to 1983 but a good study I think to get a rough feel then compare it in the live market going forward.

Where is there free options on futures data going back that far? The SPAN data goes back 1.5 years. That's the best I have found so far.

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Old September 15th, 2014, 09:24 AM   #3627 (permalink)
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Forward curves

Hi all,
I start study HE futures prices for long term trend. Are there any connection between front month futures price and price behaviour? I didn't catch any...
For example, HE forward curve show decline. Does it mean that HE price will be do the same?

In attachment HE Forward curves (prices from Barchart).

Attached Files
Register to download File Type: xlsx LEan Hog forward curves.xlsx (16.2 KB, 9 views)
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Old September 15th, 2014, 12:14 PM   #3628 (permalink)
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Question for the board

Morning everybody,

Need some help here.

My plan is to get back into selling options on futures; I did it very successfully last year (from a lot of help from people on here) and at that time i was on TOS---which due to very personal reasons I dont plan on going back to. I have a portfolio that I sell puts and covered calls as well as mutual funds on.

Which provider do you guys think is the best to move my money to? Right now im at fidelity-----

Also need to have portfolio margin

thanks

Vijay

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Old September 15th, 2014, 04:50 PM   #3629 (permalink)
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vmaiya73 View Post
Morning everybody,

Need some help here.

My plan is to get back into selling options on futures; I did it very successfully last year (from a lot of help from people on here) and at that time i was on TOS---which due to very personal reasons I dont plan on going back to. I have a portfolio that I sell puts and covered calls as well as mutual funds on.

Which provider do you guys think is the best to move my money to? Right now im at fidelity-----

Also need to have portfolio margin

thanks

Vijay

Portfolio Margin doesn't apply to options on futures. You are looking for "SPAN Minimum" margin. IB, TOS, OX and most of the other big guys don't offer SPAN minimum nor are they particularly friendly to sellers of DOTM options.

I have had good success with Carley Garner at DeCarley Trading Group. Carley is an Introducing Broker and can open an account with several different FCMs. I have 2 accounts with Carley, one with Open E Cry which is owned by Gain Capital and Crossland Futures, which was just bought out by Wedbush.

My account at OEC has been easier to manage just because their risk control mechanisms work differently than Crossland/Wedbush. I have had issues getting trades done in my Crossland account because of their risk control setup. I wasn't using very much of my cash balance in margin (less than 33%), but Crossland required DeCarley to manually put my trades in for awhile. Carley worked out a resolution with them and its smooth sailing, at the moment.

I can unequivocally recommend Carley Garner at DeCarley Trading. GREAT customer service.

I have no affiliations or connection with her firm. I'm just a satisfied customer.


Last edited by mu2pilot; September 15th, 2014 at 04:56 PM.
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Old September 17th, 2014, 11:21 AM   #3630 (permalink)
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ron99 View Post
Sorry guys, did not expect the Oct Milk futures to crash like that. Those options are still good.

I expect Oct futures might be down tomorrow am some then level off. We aren't going to 20.50.

I sold these at $0.03 on 9/10. I'm buying them back today at $0.01 for a 7-day 2.8% ROI. That's 145% annual ROI. Good stuff. Thanks Ron!!

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