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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,065 / 5,727
Last Reply:Yesterday (12:40 PM) Attachments:642

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Selling Options on Futures?

Old May 14th, 2015, 05:33 PM   #4181 (permalink)
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One last question for you Ron. Has your exit strategy changed with this new method or is it still the same?

Thanks,
/rsm005/

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Old May 14th, 2015, 06:08 PM   #4182 (permalink)
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rsm005 View Post
One last question for you Ron. Has your exit strategy changed with this new method or is it still the same?

Thanks,
/rsm005/

Same

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Old May 14th, 2015, 06:50 PM   #4183 (permalink)
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Along the lines of the earlier analysis I've completed a model for prices during 2008. Interestingly, the Sept 2008 drop was only 73 points but due to the IV doubling made this the 2nd largest price increase for the year.

As a side note, I don't think anyone who wasn't a hermit in the woods didn't know about the financial crisis by October and I doubt anyone would have had the steel tacks to short puts here on 9/22/08 but it was fun to include. As an academic side note, the vol increase of 190% in 29 days is not the largest vol increase for commodities. There have been several 300% increases in other markets.

Ron, if you want to provide your QST spot prices I'd be glad to substitute.

January 2008

12/25/2007
Strike 1040
Spot 1506.5
Deal date 12/25/07
Expiry date 03/27/08
DTE 92
Vol at .03 delta 42%
Risk Free Rate 2.8%
Put 3.83

1/21/2008
Strike 1040
Spot 1309.25
Deal date 1/21/08
Expiry date 3/27/08
DTE 66
Vol at .13 delta 54%
Risk Free Rate 2.8%
Put 21.15

July 2008

6/5/2008
Strike 930
Spot 1405.25
Deal date 6/5/08
Expiry date 9/27/08
DTE 112
Vol at .03 delta 42%
Risk Free Rate 2.26%
Put 3.73

7/15/2008
Strike 930
Spot 1211.5
Deal date 7/15/2008
Expiry date 9/27/08
DTE 72
Vol at .11 delta 56%
Risk Free Rate 2.26%
Put 18.67

September 2008

8/28/2008
Strike 890
Spot 1299.75
Deal date 8/28/08
Expiry date 12/4/08
DTE 96
Vol at .03 delta 42%
Risk Free Rate 2.1%
Put 3.4

9/16/2008
Strike 890
Spot 1216.25
Deal date 9/16/08
Expiry date 12/4/08
DTE 77
Vol at .14 delta 78%
Risk Free Rate 2.1 %
Put 38.08

October 2008

9/22/08
Strike 710
Spot 1213.75
Deal date 9/22/08
Expiry date 12/27/08
DTE 95
Vol at .03 delta 62%
Risk Free Rate 1.99%
Put 5.16

10/23/2008
Strike 710
Spot 915.25
Deal date 10/23/08
Expiry date 12/27/08
DTE 64
Vol at .22 delta 120%
Risk Free Rate 1.57%
Put 77.41


Last edited by eudamonia; May 14th, 2015 at 07:30 PM. Reason: Updated spot prices
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Old May 14th, 2015, 07:01 PM   #4184 (permalink)
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eudamonia View Post
Ron, if you want to provide your QST spot prices I'd be glad to substitute.

January 2008

12/25/2007
Strike 940
Spot 1363.25 1506.50
Deal date 12/25/07
Expiry date 03/27/08
DTE 92
Vol at .03 delta 42%
Risk Free Rate 2.8%
Put 3.4

1/21/2008
Strike 940
Spot 1144.75 1309.25
Deal date 1/21/08
Expiry date 3/27/08
DTE 66
Vol at .16 delta 54%
Risk Free Rate 2.8%
Put 24.6

July 2008

6/5/2008
Strike 850
Spot 1269.5 1405.25
Deal date 6/5/08
Expiry date 9/27/08
DTE 112
Vol at .03 delta 42%
Risk Free Rate 2.26%
Put 3.8

7/15/2008
Strike 850
Spot 1094.25 1211.50
Deal date 7/15/2008
Expiry date 9/27/08
DTE 72
Vol at .12 delta 56%
Risk Free Rate 2.26 %
Put 18.6

September 2008

8/28/2008
Strike 800
Spot 1170.25 1299.75
Deal date 8/28/08
Expiry date 12/4/08
DTE 96
Vol at .03 delta 42%
Risk Free Rate 2.1%
Put 3.02

9/16/2008
Strike 800
Spot 1097.75 1216.25
Deal date 9/16/08
Expiry date 12/4/08
DTE 77
Vol at .14 delta 78%
Risk Free Rate 2.1 %
Put 33.6

October 2008

9/22/08
Strike 650
Spot 1121.5 1213.75
Deal date 9/22/08
Expiry date 12/27/08
DTE 95
Vol at .03 delta 62%
Risk Free Rate 1.99%
Put 4.42

10/23/2008
Strike 650
Spot 824.5 915.25
Deal date 10/23/08
Expiry date 12/27/08
DTE 64
Vol at .23 delta 120%
Risk Free Rate 1.57%
Put 73.92

.

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Old May 14th, 2015, 07:31 PM   #4185 (permalink)
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Futures Edge on FIO
@ron99 I updated with your spot prices.

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Old May 14th, 2015, 08:43 PM   #4186 (permalink)
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ron99 View Post
That chatter about a correction has been going on for years. You have to ignore chatter and study fundamentals that would predict a recession. I missed that in 2008 but I am ready to predict one when it comes.

Karen was the one that gave me the idea for my strategy. I just took her idea and changed it to suit me. For the better IMO.

Look at my table https://futures.io/options-cfd-trading/12309-selling-options-futures-412.html#post490353

The biggest drop since the recession was the gov shutdown and credit downgrade in 2011. That was totally foreseen. They were talking about a shutdown for days before it happened.

The next biggest drop in 30 days was 157.75. That is easily able to be rode out with excess.

Karen says in one of the videos that she doesn't pay attention to outside fundamentals. At first I wondered about that but I have come around to believing that and I now just put puts on without any regard for outside influences. When I think to myself what will ES do in the next 20 days I have no clue. Nobody does really.

But if something like a gov shutdown or war or other thing was about to happen that is when I would get out.

I believe that Karen hasn't had a losing month since 2011. I haven't lost money on a short ES put since 2011. 34,629 options total. 75 losing contracts (lost 3,459 net). 99.8% winners. Made a net profit of $1,633,353.20 on all ES puts in 5 years.



Are these Karen's trades? Do you have a link for this?

Thanks

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Old May 15th, 2015, 12:16 AM   #4187 (permalink)
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blb014 View Post
[/B]

Are these Karen's trades? Do you have a link for this?

Thanks

They're my trades.

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Old May 15th, 2015, 09:57 AM   #4188 (permalink)
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Cracking thread @ron99 and others. Currently reading through the lot trying to learn more about options as part of my general learning. Still quite ignorant, but would like some help on something.

I'm still unsure how to read these properly, please see my two examples below for the OESX (EuroStoxx50) Sept 15 Calls:


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From my understanding, If I wanted to Sell a Call with a strike price at 4,100.00, I would place a Sell Limit at the Ask at 13.50.

The current price is 3575 for Sept15 Futs.
4100 - 3575 = 525
525 / 13.5 =38.88

This seems a little low to me. Where am I going wrong? What's the correct way to calculate the premium based on the above info?

Cheers,

Awls

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Old May 15th, 2015, 01:45 PM   #4189 (permalink)
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CobblersAwls View Post
Cracking thread @ron99 and others. Currently reading through the lot trying to learn more about options as part of my general learning. Still quite ignorant, but would like some help on something.

I'm still unsure how to read these properly, please see my two examples below for the OESX (EuroStoxx50) Sept 15 Calls:


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From my understanding, If I wanted to Sell a Call with a strike price at 4,100.00, I would place a Sell Limit at the Ask at 13.50.

The current price is 3575 for Sept15 Futs.
4100 - 3575 = 525
525 / 13.5 =38.88

This seems a little low to me. Where am I going wrong? What's the correct way to calculate the premium based on the above info?

Cheers,

Awls

The underlying Future is the EuroStoxx 50 (FESX). So you take the big point value which is 10 per point and multiply it by the price of 13.50. This gives you a value of 135.

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Old May 15th, 2015, 02:06 PM   #4190 (permalink)
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eudamonia View Post
The underlying Future is the EuroStoxx 50 (FESX). So you take the big point value which is 10 per point and multiply it by the price of 13.50. This gives you a value of 135.

Haha, as simple as that I see! Thanks very much. I think I have muddled up some concepts here.

Cheers,

Awls

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