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You're on top of these things so it's good to know I haven't missed a big event other than the coming winter and the storage scenario game, which, of course, is THE event.
With respect to March 2015, I was a little surprised that ATM IV was up to 38-39% and the skew was so steep (favoring calls) already, but I suppose there are still a lot of fresh and perhaps painful memories from just 7 months ago.
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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I'll ask around tomorrow, see if I hear anything interesting.
Do you have any way to check back prior to last year? Just wondering if maybe last year was the anomoly rather than this year.
The more I look at this chart though, the more I think it tells an amazing story.
i) The magnitude of the withdrawals last year (Dec-Mar)
ii) How low storage got below the 5 year range
iii) How quickly we have refilled it this year.
(actual graphic rather than link as I just realized this graphic changes every week and in a years time will be meaningless to anybody reading this thread!)
Here's a cheap and dirty comparison from CRB/Barchart for the March 2009 - 2015 contracts.
Last year was exceptionally flat and, at a glance, it looks like the move this year is ~two months early;
starting in early Aug rather than early Oct (or later)
I've been an equities option trader for several years. While this market sucks for option traders, I still find myself drawn to ever more conservative positions, and ones that I don't have to monitor full time. I immediately see the appeal of this type of trading and only wish I found you guys sooner.
I like the idea of diversifying over a handful of different uncorrelated futures. I currently have ES and CL. My understanding is NG is correlated to CL (and NG calls scare the crap out of me). I need to learn more about grains before I trade, but I am thinking of adding a grain, /ZB, /CD (assuming good ROI). Do you think something like this adds nice diversification or are there other futures I should also pay attention to?
Also, I'm seeing really good returns on /HE. Like the HEV4 87 Put shows an 21% ROI. I'm not going to trade it, but what am I missing? is there a big chance of a crash here?
That's true. For the viewing audience, here is an expanded version. Still pretty flat, though, with an IV of roughly 28-30% from July 1 to the end of September.
I sold to open three ES put positions when it was around 1996 at early September (bad timing, but since timing it not that important for DOTM option selling, I sold them anyway). Market first ranged, now trended down for about 30 points, I have some loss in premium and margin increased since last week. I keep checking in OX with my three ES positions and I have a question regarding SPAN margin.
SPAN is not updated consistently through the day per my understanding, only updated at the end of the day and we can see the SPAN margin next day morning. So, my question is how can we know the 'exact' time to exit a position if market go against us? we can only guess, right? for example, ES is down again today, I can use the 'trade and probability calculator' from OX to check my premium, IM, delta etc, but I can't calculate the exact point to exit my position since I can only get the new IM tomorrow morning, the premium is changing through the day, but the IM is not. Of course, I learn to exit when the new premium+new IM-old premium>=3*old IM (thanks to Ron), but in this equation, there is one factor I don't know now, the new IM, which I have to wait till tomorrow morning. So, my question is: what if it is a market crash? should we still wait until tomorrow to decide to exit after seeing the new updated IM? or is guessing the risk involved here?
Thanks for your inputs or your thoughts, or let me know if I miss something.
Most folks don't try to calculate their exit margin on an intraday basis ... they wait for the close. If the closing price/margin is to the point that they need to exit they do so the next trading day, or put in orders that night.
SPAN is updated by CME around 10:30am, 12pm, 4pm and the settlement SPAN usually comes out around 7pm. Most brokerages, like OX, will use the most recent SPAN when they give you your margin requirements on the webpage, though it could be a little delayed. You should be able to see what your margin looks like tonight to help you make your decision.
Thank you very much, your inputs are really appreciated. I have finished reading this thread, but it seemed that I still missed some important information and you certainly helped with that.
