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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 18th, 2014, 04:32 PM   #3651 (permalink)
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CL

Is now a good time to sell CL put? CLZ470p(expiration December), DTE 60, bid 0.03, ask 0.05, delta=0.01. IM=88.33 at OX.

Thanks for advice.


Last edited by daydayup8; September 18th, 2014 at 04:52 PM.
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Old September 20th, 2014, 02:46 PM   #3652 (permalink)
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Margins on Strangles

Is the margin on a short strangle the sum of the margin of the calls and puts or the max margin of the either the calls or puts (as it would be for a strangle in equities)?

I get conflicting information on TOS. Since the price can go one way or another, I would expect it to be the max of the calls or puts. In fact this is what I see for my active trade on CL. But when looking at new trades I see they add the margins. I phoned them and who ever I talked to said this was enforced by SPAN margining. Just like to double check.

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Old September 20th, 2014, 03:46 PM   #3653 (permalink)
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rmejia View Post
It is the max of one side since price can only end up in the money on one side at expiration.

What it the new trade that you see adding it?

I was looking at the CLX4 82/104 spread (not saying its a good spread but any spread seems to show the same thing).
The 82 margin is 470, the 104 margin is 452. The short straddle has a margin of 772 (not quite the sum but definately not he max)

I'm looking at the BP Effect assuming that is the initial margin.

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Old September 20th, 2014, 03:55 PM   #3654 (permalink)
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dbh21 View Post
Is the margin on a short strangle the sum of the margin of the calls and puts or the max margin of the either the calls or puts (as it would be for a strangle in equities)?

I get conflicting information on TOS. Since the price can go one way or another, I would expect it to be the max of the calls or puts. In fact this is what I see for my active trade on CL. But when looking at new trades I see they add the margins. I phoned them and who ever I talked to said this was enforced by SPAN margining. Just like to double check.

It is what SPAN calculates it to be. It is not the max of one side.

The CLX4 82p is 400 IM
The CLX4 104c is 229 IM

The short strangle is 391 IM.

These are SPAN minimums. TOS may be charging higher than minimum.

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Old September 20th, 2014, 04:12 PM   #3655 (permalink)
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ron99 View Post
It is what SPAN calculates it to be. It is not the max of one side.

The CLX4 82p is 400 IM
The CLX4 104c is 229 IM

The short strangle is 391 IM.

These are SPAN minimums. TOS may be charging higher than minimum.

That helps. My understanding of SPAN is it tests 16 different combinations of price and vol movement to come up with the value. In that case while it is not the max of one side, it is not the sum either.

But I am still confused by TOS. They appear to do the SPAN calculations for the strangle:
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So this says the Min risk is 660, and the Buying Power effect 780. Given these are no where near 229 and 400, it looks like they are adding them. I'm going to have to ask them to clarify. Just want to make sure I am not asking dumb questions.

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Old September 21st, 2014, 10:09 AM   #3656 (permalink)
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Margin

Hi Ron or other masters:

"Reducing the cash excess the last 14 days from 2X to 1X at 14 days (if the option is still far OTM) and then 0X at 7 days reduces the excess factor from 2X IM to 1.4."

When you say reduce the margin at 14 days, do you mean to reduce the original IM to 1x or do you mean just keep 1x for the current IM? if you reduce the original IM to 1x at 14 days, you may still keep 2x of current margin since the IM may drop when close to expiration.

Not sure whether I get myself cleared or not. One example:

Premium 30, IM 150, DTE 60, keep 150*3=450 total for this position, so when DTE is 14 days, you want to reduce to 150*2=300? when DTE is 14 days, the new IM might be only 80, if you reduce to 300, it is higher than (80*3=)240. so, when reduce margin, you reduce it to 150*2=300 or 80*2=160? please advise. Thank you.

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Old September 21st, 2014, 11:06 AM   #3657 (permalink)
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daydayup8 View Post
Hi Ron or other masters:

"Reducing the cash excess the last 14 days from 2X to 1X at 14 days (if the option is still far OTM) and then 0X at 7 days reduces the excess factor from 2X IM to 1.4."

When you say reduce the margin at 14 days, do you mean to reduce the original IM to 1x or do you mean just keep 1x for the current IM? if you reduce the original IM to 1x at 14 days, you may still keep 2x of current margin since the IM may drop when close to expiration.

Not sure whether I get myself cleared or not. One example:

Premium 30, IM 150, DTE 60, keep 150*3=450 total for this position, so when DTE is 14 days, you want to reduce to 150*2=300? when DTE is 14 days, the new IM might be only 80, if you reduce to 300, it is higher than (80*3=)240. so, when reduce margin, you reduce it to 150*2=300 or 80*2=160? please advise. Thank you.

In your example, I believe he is saying at 14 days reduce it to 2x original IM or $300 and then at 7 days reduce it to 1x or $150. Assuming the option is still far OTM. Ron, please correct me if I'm wrong.

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Old September 21st, 2014, 01:25 PM   #3658 (permalink)
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mu2pilot View Post
In your example, I believe he is saying at 14 days reduce it to 2x original IM or $300 and then at 7 days reduce it to 1x or $150. Assuming the option is still far OTM. Ron, please correct me if I'm wrong.

The original 300 or 150 does feel safer and gives more room for adverse move, thank you for your inputs.

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Old September 22nd, 2014, 12:42 PM   #3659 (permalink)
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mu2pilot View Post
In your example, I believe he is saying at 14 days reduce it to 2x original IM or $300 and then at 7 days reduce it to 1x or $150. Assuming the option is still far OTM. Ron, please correct me if I'm wrong.

This is correct. Of course only do this if you are still FAR OTM.

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Old September 22nd, 2014, 08:39 PM   #3660 (permalink)
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I am a newbie to options and hope someone can help me with a question. I have read a few books and am still unsure how much money I can loose if the trade goes against me. Let's say I buy a call for 75 cents and the trade goes against me by a $1.50, but there is still one week to expiry when I scratch the trade. Will I loose the entire 75 cents or just the time value. Hope this makes sense.

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