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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,746 / 5,728
Last Reply:24 Minutes Ago (05:26 PM) Attachments:642

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Selling Options on Futures?

Old June 5th, 2015, 01:51 PM   #4291 (permalink)
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MGBRoadster View Post
I found some intersting points about diversification in this article
John Kay - Asset allocation should be the outcome (not the driver of) investment decisions

"Diversification is essential to prudent investment but the herding behaviour of modern investors means that in the short term almost every asset is correlated with every other, even if the underlying characteristics of the assets are completely different. Quantitative easing has boosted all asset prices and exacerbated this problem."

Just a thought,

Chris

True, look at the index curves for the past 5 years. SPX, RUT and NDX are somewhat similar. The number 30 came from a trend following perspective because they hope that out of 30 diverse markets that a certain % will be trending at any given time

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Old June 6th, 2015, 01:55 PM   #4292 (permalink)
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,,
Chubbly View Post
I think the biggest advantage is being able to use SPAN margins which allows for more position that can be placed.
I think it has more Open Intrest as well

Thanks, gotcha more leverage and better tax treatment. I have never traded future options. But the open interest and liquidity in SPY options dwarfs ES options

According to TOS

SPY 209.77

July Monthly 210 put = 109,217 open interest

ES 2091.50

July Monthly 2085 put = 4,004 open interest


Last edited by blb014; June 6th, 2015 at 02:01 PM.
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Old June 6th, 2015, 02:53 PM   #4293 (permalink)
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blb014 View Post
,,

Thanks, gotcha more leverage and better tax treatment. I have never traded future options. But the open interest and liquidity in SPY options dwarfs ES options

According to TOS

SPY 209.77

July Monthly 210 put = 109,217 open interest

ES 2091.50

July Monthly 2085 put = 4,004 open interest

I think I am correct about the fact that one dollar of SPY equals one dollar. One point of ES equals fifty dollars.

So one ES is equal to 50 SPY. So you should multiply the ES OI by 50 to get a number to compare to SPY.

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Old June 6th, 2015, 03:12 PM   #4294 (permalink)
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ron99 View Post
I think I am correct about the fact that one dollar of SPY equals one dollar. One point of ES equals fifty dollars.

So one ES is equal to 50 SPY. So you should multiply the ES OI by 50 to get a number to compare to SPY.

Well 1 option contract is 100 shares of SPY so around 20,900k.

ES options which are 1 for 1 so 2092 x 50= 104,600k as I understand it from a different post. Maybe more like 5:1.

SPY 209.77

July Monthly 210 put = 109,217 open interest * (210*100)= 2,293,557,000

ES 2091.50

July Monthly 2085 put = 4,004 open interest * (2085 *50) = 417,417,000




You had mentioned "With ES puts there is enough vol that I feel comfortable having 1000+ of the same strike" You comfortable controlling a large percentage of the contracts?


Last edited by blb014; June 6th, 2015 at 03:27 PM.
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Old June 6th, 2015, 03:50 PM   #4295 (permalink)
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Futures Edge on FIO
Tastytrade did a brief market measure yesterday comparing the SPX, SPY & /ES. Unfortunately they do not go into detail about the tax advantages for the /ES & SPX.

1 SPX = 1000 shares of SPY = 2 ES contracts
500 shares of SPY = 1 ES contract

https://www.tastytrade.com/tt/shows/market-measures/episodes/sp-comparables-spx-spy-and-es-06-05-2015?locale=en-US#

Attached is the pdf of the slides.

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Selling Options on Futures?-mm060515comparing_spy_spx_es_mstr2.pdf  
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Old June 6th, 2015, 05:41 PM   #4296 (permalink)
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blb014 View Post
You had mentioned "With ES puts there is enough vol that I feel comfortable having 1000+ of the same strike" You comfortable controlling a large percentage of the contracts?

Yes because the market makers are at every strike for size.

I have never had a problem getting in or out of 1000+ options.

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Old June 7th, 2015, 03:36 AM   #4297 (permalink)
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ron99 View Post
FYI for everybody, when the price of ES options is above 5.00 they trade in 0.25 premium increments. Below 5.00 they trade in 0.05 increments.

Ron,

This has to be one of the more interesting nuggets. I've got to research this more....especially how it relates to theta.

Thanks,
/rsm005/

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Old June 8th, 2015, 06:17 PM   #4298 (permalink)
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The joys of watching ES sink day by day....sigh.

/rsm005/

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Old June 8th, 2015, 06:40 PM   #4299 (permalink)
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rsm005 View Post
The joys of watching ES sink day by day....sigh.

/rsm005/

Yes it is boring.

I suspect traders are worried about Fed mtg next week.

ES usually rises the week before ESm expires (6/19/15). Then drops the week after that. But with Fed mtg on Wed of that week who knows what will happen. I'm just going to ride it out and not try anything fancy. Going to be volatile next week.

I'm doing research right now looking at decay rates vs DTE vs risk. I will post when I am done.

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Old June 8th, 2015, 07:20 PM   #4300 (permalink)
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ron99 View Post
Yes it is boring.

I suspect traders are worried about Fed mtg next week.

ES usually rises the week before ESm expires (6/19/15). Then drops the week after that. But with Fed mtg on Wed of that week who knows what will happen. I'm just going to ride it out and not try anything fancy. Going to be volatile next week.

I'm doing research right now looking at decay rates vs DTE vs risk. I will post when I am done.


I agree with you, I'm not really into doing anything fancy either. Usually when there are multiple down days a bounce back to the other side isn't far behind, after all it's only 30 points down from where I opened. It just sucks to take a position and then have 3 days of straight losses afterwards.

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