Selling Options on Futures? - Options on Futures | futures io social day trading
futures io futures trading


Selling Options on Futures?
Updated: Views / Replies:671,977 / 6,238
Created: by ron99 Attachments:729

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 729  
 
Thread Tools Search this Thread
 

Selling Options on Futures?

  #4371 (permalink)
Elite Member
vancouver BC/Canada
 
Futures Experience: Beginner
Platform: Zaner360, OX
Broker/Data: DeCaley
Favorite Futures: options
 
Posts: 234 since Jan 2015
Thanks: 13 given, 186 received

Ron,

Do you ever go out 130 days on ES for the 50% strategy?

Thanks,
/rsm005/

Reply With Quote
The following user says Thank You to rsm005 for this post:
 
  #4372 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
Forum Reputation: Legendary


rsm005 View Post
Ron,

Do you ever go out 130 days on ES for the 50% strategy?

Thanks,
/rsm005/

I haven't because of low volume traded on those options.

The last column on the right shows the monthly ROI if the contract is held until the month above it on the list.

So the Oct 1600 if held and bought back at the prices listed for the Sep 1600 would give you 4.8% ROI. So you sell at 3.95 and buy back 28 days later at 2.10 and use 625 as the IM.

The Sep would give you 4.5% if held until prices for Aug 1600. About the same.

The Aug ROI is only 3.1%. Alot less than the further DTE options.

The ROI column is if you held to expiration. 7.50 RT cost is used.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 5 users say Thank You to ron99 for this post:
 
  #4373 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 95 since Jan 2013
Thanks: 318 given, 69 received

Risk test


I did some research using SPAN spreadsheet (thanks Dudetooth and Ron).
I just entered different strikes (from 1590 to 1935) with different deltas (from 3 to 30) for time period of last year big drop (2014.09.19 + 30 days) and put all options under test (IMx3, % and DD%).
The biggest surprise: neither option with delta 3 nor option with delta 30 didn't exceed IMx3 threshold!?

How it would be?

I attach Risk test Excel file

Attached Files
Register to download File Type: xlsx Risk test.xlsx (69.4 KB, 34 views)
Reply With Quote
The following 4 users say Thank You to uuu1965 for this post:
 
  #4374 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
Forum Reputation: Legendary


uuu1965 View Post
I did some research using SPAN spreadsheet (thanks Dudetooth and Ron).
I just entered different strikes (from 1590 to 1935) with different deltas (from 3 to 30) for time period of last year big drop (2014.09.19 + 30 days) and put all options under test (IMx3, % and DD%).
The biggest surprise: neither option with delta 3 nor option with delta 30 didn't exceed IMx3 threshold!?

How it would be?

I attach Risk test Excel file

It looks like the IM increased less percentage wise on the higher delta options than the lower delta options.

But to make a profit on the high delta options, which went ITM, you had to have a rise in futures.

Reply With Quote
 
  #4375 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 95 since Jan 2013
Thanks: 318 given, 69 received


ron99 View Post
It looks like the IM increased less percentage wise on the higher delta options than the lower delta options.

But to make a profit on the high delta options, which went ITM, you had to have a rise in futures.

And longer Days Held and lower ROI...

Reply With Quote
 
  #4376 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
Forum Reputation: Legendary


uuu1965 View Post
And longer Days Held and lower ROI...

I added a column U (the RT cost is in cell V1. I used 6.00.) showing the Monthly ROI if you exit at 50% on that day. The selected cell in that column is the first day the option settled at or below 50%.

For all of the options with a delta under 19.00 the ROI was in a narrow range of 3.0-3.3. The days held was lowest for the lowest delta option.

So then it makes sense to trade the lower delta options because your ROI is about the same and your days held is less which should increase yearly profit.

Attached Files
Register to download File Type: xlsx Risk test.xlsx (77.4 KB, 46 views)
Reply With Quote
The following 8 users say Thank You to ron99 for this post:
 
  #4377 (permalink)
Elite Member
Dallas, TX
 
Futures Experience: Advanced
Platform: T4, Zaner360, TOS
Broker/Data: DeCarley Trading
Favorite Futures: Options
 
Posts: 104 since Sep 2013
Thanks: 133 given, 50 received


ron99 View Post
I added a column U (the RT cost is in cell V1. I used 6.00.) showing the Monthly ROI if you exit at 50% on that day. The selected cell in that column is the first day the option settled at or below 50%.

For all of the options with a delta under 19.00 the ROI was in a narrow range of 3.0-3.3. The days held was lowest for the lowest delta option.

So then it makes sense to trade the lower delta options because your ROI is about the same and your days held is less which should increase yearly profit.

I think a more important consideration is the fact that the drawdown % was 41% trading the high delta options vs 24% trading 3 Delta options. This is an example of the market coming back. We all know that in our future is a market that exceeds the 3xIM threshold and I'm not interested in risking > 40% of my account.

Nonetheless, thank you uuu1965 for doing this study.

Reply With Quote
The following 3 users say Thank You to mu2pilot for this post:
 
  #4378 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
Forum Reputation: Legendary


ron99 View Post
Based on ES seasonal trends, ES futures at 8:30-9:00 am ET the Friday of futures expiration (Mar, Jun, Sep, Dec), 6/19/15 this month, will be higher than the settlement price on Thursday (today). It has done that 22 of the last 25. Two of the losers were 1.00 & 1.50. The other loser (21.75) was Dec 2012 when US Congress was screwing around.

The last 8 have averaged +5.60.

So if you are selling puts you want to have them on about a week before the future expiration.

18 of last 25 times ES has dropped from Friday 8:30-9:00 am ET to Friday expiration. But it was up the last two.

ES was pretty much on seasonal pattern this week.

It was up from 2114.75 on Thu close to 2116.50 at 8:34 am ET on Friday.

It was down from 2116.50 at 8:34 am ET Friday to 2097.75 on Friday close.

The price at the close on Friday 6/12 was 2085.00 (ESu5). The price rose from there to 2116.50 at 8:30 am ET on Friday 6/19. That's +31.50 in 6 1/2 days.

Reply With Quote
The following 2 users say Thank You to ron99 for this post:
 
  #4379 (permalink)
Trading for Fun
Ottawa
 
Futures Experience: Advanced
Platform: Many
Favorite Futures: Options
 
Posts: 87 since May 2015
Thanks: 67 given, 87 received

Do you guys usually find that pricing yourself at the midpoint between the bid and ask gets taken or do you have to move it a few points and throw a bone to those blood suckers?

Reply With Quote
 
  #4380 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
Forum Reputation: Legendary



Chubbly View Post
Do you guys usually find that pricing yourself at the midpoint between the bid and ask gets taken or do you have to move it a few points and throw a bone to those blood suckers?

Most of the time I get filled at 0.05 higher than the bid.

Sometimes I have found that if you have an order on at 3:55-4:05pm ET, that a lot of times it gets traded near the mid point. But not always.

Reply With Quote
The following 3 users say Thank You to ron99 for this post:

Reply



futures io > > > > Selling Options on Futures?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

July Journal Challenge w/$1100 in prizes from TopstepTrader

July
 

An Afternoon with FIO member Softsoap

Elite only

Battlestations: Show us your trading desks and win $750 in prizes

August
 

Extended Ask Me Anything w/Brett Steenbarger

Elite only

Prototyping Python Strategies (part 3) w/Ran Aroussi

Elite only

Brannigan Barrett w/Axia Futures

Elite only

Introduction to Phillip Capital futures brokerage services

Aug TBD

How Monte Carlo Analysis Can Help Your Trading w/Kevin Davey

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Crude Oil (CL) futures inverse pairing options Big Mike Commodities Futures Trading 8 December 12th, 2013 11:00 AM
Recommend futures, options Broker? sam1197 Reviews of Brokers and Data Feeds 17 March 27th, 2013 12:42 AM
Trading Futures with options as protection Gooffy2010 Commodities Futures Trading 6 October 2nd, 2012 04:55 PM
Selling Njniatrader sam1197 NinjaTrader 22 June 28th, 2012 12:40 PM
Zen-Fire Futures options tici88 Reviews of Brokers and Data Feeds 1 July 30th, 2011 09:16 AM


All times are GMT -4. The time now is 10:41 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-07-26 in 0.09 seconds with 19 queries on phoenix via your IP 23.20.193.33