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Selling Options on Futures?
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Selling Options on Futures?

  #4391 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
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Corporate profits in the first quarter came in at $1.891 trillion, up a year-on-year 9.0 percent.
Profits are after tax without inventory valuation or capital consumption adjustments.

Econoday Economic Report: Corporate Profits*June*24,*2015

The S&P 500 is up 8.72% YoY. About the same as corporate profits.

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  #4392 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
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Here is a summary of how I have done with the ES 50% exit strategy with Aug contracts now exited.

All the averages are weighted averages.

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I had to hold the Aug longer because price erosion was slower.

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  #4393 (permalink)
Elite Member
vancouver BC/Canada
 
Futures Experience: Beginner
Platform: Zaner360, OX
Broker/Data: DeCaley
Favorite Futures: options
 
Posts: 231 since Jan 2015
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Ron,

Great results. I'm still pending on my Sept 15th trade it's degraded quite nicely but settled at $3.20 today with an opening price of $5.25. I've been in the trade for 23 days now so I'm hoping that it'll reach the exit point soon.

Are you looking to put on more puts right away or wait until the Greece fiasco comes to a head on the 30th? I'm tempted to wait it out and see if a larger market move happens once a "shit or get off the pot" decision is finally made with the IMF. What are your thoughts?

Thanks,
/rsm005/

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  #4394 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
Forum Reputation: Legendary


rsm005 View Post
Ron,

Great results. I'm still pending on my Sept 15th trade it's degraded quite nicely but settled at $3.20 today with an opening price of $5.25. I've been in the trade for 23 days now so I'm hoping that it'll reach the exit point soon.

Are you looking to put on more puts right away or wait until the Greece fiasco comes to a head on the 30th? I'm tempted to wait it out and see if a larger market move happens once a "shit or get off the pot" decision is finally made with the IMF. What are your thoughts?

Thanks,
/rsm005/

I have on about 20% of what I can have on for Sep. I'm waiting till after Greece thing is settled to add the rest. But I'm not in a hurry to make as much money as possible.

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  #4395 (permalink)
Trading Apprentice
westhills california US
 
Futures Experience: Beginner
Platform: TOS
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HI Ron
On your latest posts. above do you buy the contracts all at once? or do you add daily?

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  #4396 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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rajab View Post
HI Ron
On your latest posts. above do you buy the contracts all at once? or do you add daily?

Do you mean sell?

I try to add half of positions at a time so half the position have about 25% premium erosion and the others are just added. Gives me more cushion if the market immediately goes against me.

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  #4397 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
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For my retirement accounts I want to have lower risk. So what I have been doing is instead of using the IMx3 for IM and excess I am using IMx4.

For example, if the IM is $500 then for IMx3 I am using $500 x 3 = $1,500 per contract to cover the position. That is equal to 33% of account for IM and 67% for cash excess.

For IMx4, if the IM is $500 then I am using $500 x 4 = $2,000 per contract. That is equal to 25% of account for IM and 75% for cash excess.

Here is how that affects trading.

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Obviously with higher cash excess you will trade less positions and make less profit. But you will also have less risk.

Looking at the 9/19/14 study when ES dropped 158 points and at 3.00 delta, on the worst day instead of using 96.3% of IMx3, you would have only used 72.2% of IMx4. A much bigger safety cushion. Also a lower draw down too.

This gives you options to match your risk tolerance to your trading.

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  #4398 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
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Just for kicks I put in IMx2 instead of IMx3 in the long term study. You were forced out of positions by margin calls twice and even though you made more money prior to getting forced out, the profit at the end was less. About 170% vs 214% for a 3.00 delta.

NOTE This post is incorrect. The ROI for IMx2 is 264% vs 214 for IMx3.
See post on next page for full explanation.


Last edited by ron99; June 26th, 2015 at 11:14 AM.
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  #4399 (permalink)
Trading Apprentice
Zurich
 
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Terrific studies Ron! Just would be nice to have an idea on optimal spreads as well.

Regards and Thanks

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  #4400 (permalink)
Elite Member
Dallas, Texas
 
Futures Experience: Beginner
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Forex37 View Post
Terrific studies Ron! Just would be nice to have an idea on optimal spreads as well.

Regards and Thanks

Commissions will play a role with this, futures are considerably more expensive than regular equity and index options.

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