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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,059 / 5,728
Last Reply:Yesterday (05:26 PM) Attachments:642

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Selling Options on Futures?

Old June 26th, 2015, 09:33 PM   #4411 (permalink)
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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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Old June 27th, 2015, 02:36 AM   #4412 (permalink)
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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.


Last edited by volemont; June 27th, 2015 at 02:37 AM. Reason: typo
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Old June 27th, 2015, 06:29 PM   #4413 (permalink)
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I worked on ES spreads and the 9/19/14 to 10/15/14 drop. I'm using IMx3.

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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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Old June 28th, 2015, 05:27 PM   #4414 (permalink)
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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/


Last edited by rsm005; June 28th, 2015 at 06:05 PM.
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Old June 29th, 2015, 01:04 PM   #4415 (permalink)
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Futures Edge on FIO
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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Old June 29th, 2015, 01:24 PM   #4416 (permalink)
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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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Old June 29th, 2015, 06:02 PM   #4417 (permalink)
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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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Old June 29th, 2015, 07:00 PM   #4418 (permalink)
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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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Old June 29th, 2015, 10:37 PM   #4419 (permalink)
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ES historical margins

Ron and others: I came across this file recently

http://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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Old July 1st, 2015, 06:26 PM   #4420 (permalink)
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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.

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