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Selling Options on Futures?


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Selling Options on Futures?

  #4411 (permalink)
 artemiso 
New York, NY
 
Experience: Beginner
Platform: Vanguard 401k
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Big Mike View Post
Maybe @artemiso can help with that.

Mike

Unfortunately I'm, willing, but unable to provide this.

Pooling is a good start but just bear in mind not to violate your license agreements.

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  #4412 (permalink)
 volemont 
Zurich, Switzerland
 
Trading: Futures
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mu2pilot View Post
Add my name to the list for pre-2013 span files. I called the CME just a couple days ago and inquired as to their availability and was told that they are looking to sell those files through their historical data department. I expect the cost to be fairly high.

I got the same answer back in May when I asked for those files, see post 495313. I will follow-up on Monday and I'm also interested in pooling if it is okay with the licence.

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  #4413 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
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I worked on ES spreads and the 9/19/14 to 10/15/14 drop. I'm using IMx3.



In this situation they are worse than naked puts. They go on margin call quicker (Buying Power negative) and they have larger drawdowns.

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  #4414 (permalink)
 rsm005 
vancouver BC/Canada
 
Experience: Beginner
Platform: Zaner360, OX
Broker: DeCaley
Trading: options
Posts: 264 since Jan 2015
Thanks Given: 13
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It looks like Greece is going to cause a lot of pain next week. I'm expecting another down week for ES so my hopes of having my current position reach its exit sooner rather than later may be a bit premature.


/rsm005/

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  #4415 (permalink)
 daydayup8 
tennessee/USA
 
Experience: Intermediate
Platform: Quotetracker, TOS
Broker: OX TOS
Trading: ES
Posts: 83 since Aug 2014
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Ron, will you add your position at down day like today or will you wait longer?

ron99 View Post
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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  #4416 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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daydayup8 View Post
Ron, will you add your position at down day like today or will you wait longer?

This is the thousands of dollars question. Timing entering positions.

Frankly, I don't know. Greece vote is July 5th. We have employment numbers on July 2nd. A few other reports this week, manufacturing, construction, car sales, factory orders.

Will another good employment report be bearish news for ES because rate hike more certain?

I'm leaning to stay with my 20% of possible positions on through next week but I am in more of a conservative trading mode now. If I wasn't then I might be adding but not fill my account 100%. Maybe 50-75%?

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  #4417 (permalink)
 rsm005 
vancouver BC/Canada
 
Experience: Beginner
Platform: Zaner360, OX
Broker: DeCaley
Trading: options
Posts: 264 since Jan 2015
Thanks Given: 13
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I'm in pretty deep on my last set of puts but I have almost a month of decay built into my position. I'm not sure what's going to happen but will take profits, even smaller ones, as they happen rather than wait for a 50% decay. I frankly don't care much about Greece, I think it's a red herring, my bigger worry is China entering "bear territory".

/rsm005/

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  #4418 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785

After my prior post, ES starting dropping more, so I decided to not add any more.

I'm probably not adding any this week so I have room to add next week when there probably will be a bottom. But I am not good on timing. I doubt if any knows right now when the bottom will happen.

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  #4419 (permalink)
CafeGrande
St Paul, MN, USA
 
Posts: 200 since Jan 2014
Thanks Given: 131
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Ron and others: I came across this file recently

https://www.cmegroup.com/clearing/risk-management/files/SP_2008_to_present.pdf

and if you don't have luck getting the precise historical SPAN data, it might be useful in reconstructing trade performance prior to 2013. With some caveats:

1. The data is for SPX, so divide by 5
2. Add something to account for the historical spread between IM and maint margin
3. If you have have enough history to know what an x delta, with x DTE short put requires in margin as a percent of the underlying ES contract, I think you could come up with some ratios that would work for various delta and DTE combinations.
4. You have option and underlying prices.

The net result would be an approximation, of course, but if the methodology was consistent for the entire time period, I *think* you could get enough information to know if strategy XYZ was a winner or way too risky.

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  #4420 (permalink)
 blb014 
Dallas, Texas
 
Experience: Intermediate
Platform: TOS
Trading: AAPL, /ES, IWM, SPY Options
Posts: 330 since Oct 2012
Thanks Given: 554
Thanks Received: 187


June /ES option trades below. I trade small lots especially on a highly leveraged instrument. Less than .20 delta on the options sold. Selling into weakness, closing the position if the option value decreases in short period of time or >50% decay in premium.
I sold more than usual Monday just because IMO this greece situation is nothing new, has been going on for almost 5 years.

[IMG][/IMG]

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