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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 July 17th, 2015, 09:07 AM   #4531 (permalink)
Market Wizard
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vitrader View Post
And what is that? The risk/reward ratio is horrible.

If you are not going to read the thread and understand what we are doing then don't come in here and tell us what we are doing is wrong.

At least start reading on page 411.

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Old July 17th, 2015, 09:14 AM   #4532 (permalink)
Trading Apprentice
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Hi Ron99,

In one of your posts you said that IB has high margin compared to your current broker. I would like to compare yours with mine. For example, can you give me your margin for:
* ES oct. 2015 1700 put
* CL oct. 2015 40 put

Thanks.

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Old July 17th, 2015, 09:24 AM   #4533 (permalink)
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rsm005 View Post
Ron,

What was the reasoning behind the spread? When do you decide to use those vs naked puts?

Thanks,
/rsm005/

More risk protection in the event of a Black Swan day. ROI is about the same as naked option. Slightly less protection for medium drop (150-250) in futures (because of lower IM and thus lower excess).

I'm using them because I am going on 10 day vacation and won't be in front of computer all day.

I'm not sure yet if I will use them all of the time. I might for retirement accounts and use IMx4. Ultra protection on those.

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Old July 17th, 2015, 09:27 AM   #4534 (permalink)
Market Wizard
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jawadde001 View Post
Hi Ron99,

In one of your posts you said that IB has high margin compared to your current broker. I would like to compare yours with mine. For example, can you give me your margin for:
* ES oct. 2015 1700 put
* CL oct. 2015 40 put

Thanks.

You didn't say what IB initial margin was.

* ES oct. 2015 1700 put = 679
* CL oct. 2015 40 put = 1192

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Old July 17th, 2015, 09:39 AM   #4535 (permalink)
Trading Apprentice
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ron99 View Post
You didn't say what IB initial margin was.

* ES oct. 2015 1700 put = 679
* CL oct. 2015 40 put = 1192

It's a little bit more for crude (1540). But the difference is negligible.
For ES there is indeed a difference (2550).

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Old July 17th, 2015, 09:49 AM   #4536 (permalink)
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jawadde001 View Post
It's a little bit more for crude (1540). But the difference is negligible.
For ES there is indeed a difference (2550).

+29% for CL is not negligible.

If you sold that put (using IMx3) and rode it to expiration the SPAN IM would give you a 3.1% ROI. IB would be 2.4%. Yearly the difference would be 44% vs 33% or $1,133 per $10,000.

Yes 276% for ES is huge.

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Old July 17th, 2015, 11:03 AM   #4537 (permalink)
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ES futures are down 2.00 right now. But ES puts are offered at same price as yesterday settlement or lower because weekend time erosion is already affecting prices.

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Old July 17th, 2015, 11:36 AM   #4538 (permalink)
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ron99 View Post
ES futures are down 2.00 right now. But ES puts are offered at same price as yesterday settlement or lower because weekend time erosion is already affecting prices.

Interesting. This would imply that it is better to sell on Thursdays than on Fridays.

Did you make this observation regularly ? Or might there be some special effect today ? I could imagine that volatility came down after the situation in Greece gets clearer. Among other things, the German parliament has signed the deal now.

Best regards, Myrrdin

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Old July 17th, 2015, 11:57 AM   #4539 (permalink)
Market Wizard
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myrrdin View Post
Interesting. This would imply that it is better to sell on Thursdays than on Fridays.

Did you make this observation regularly ? Or might there be some special effect today ? I could imagine that volatility came down after the situation in Greece gets clearer. Among other things, the German parliament has signed the deal now.

Best regards, Myrrdin

I see this quite often. Looks like IV is same now as yesterday's lower settlement (Oct ESp1700).

Somebody with hourly data should compare Thu ES settlements for futures and selected options with Friday am prices. Use Wed-Thu prices for baseline.

When I was using eSignal data, I could get bid and ask changes on their time and sales tables. I don't have that now. That would be helpful to research this theory.

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Old July 17th, 2015, 11:58 AM   #4540 (permalink)
Market Wizard
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ron99 View Post
I don't think the Nov options will be trading on Friday. I think they start on Monday. The July options are still trading on Friday.

Yep no Nov today (Friday). July still trading.

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