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Selling Options on Futures?
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Selling Options on Futures?

  #451 (permalink)
Market Wizard
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I don't know if I showed this link previously, but here are free seasonal charts.

Seasonal Charts


Last edited by ron99; January 7th, 2013 at 01:23 PM.
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  #452 (permalink)
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ron99 View Post
That premium may not sound like much but when you can make 25% per year in an IRA or trust account doing this trade all year, I'll be laughing to the bank. I don't know anywhere else you can make that kind of money. Year after year.

I have some money with a mutual fund. He wonders why I am not tickled pink at his 10% gain last year.

Ron99, I am in no way belittling the small amount of premium gained on your position. In fact I admire how disciplined and patient you are with your options selling. I am sure most people will be thrilled if they can make a few extra hundred bucks a month, I know I am.

And yes this is totally about ROI. At my last day job, my coworkers were all shocked when I decided NOT to contribute into the 401K plan. Just like you said Ron99, 8%-12% annual returns simply is not all that impressive. But most people like the "set it and forget it" ways of 401Ks and Mutual Funds.

MJ888

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  #453 (permalink)
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There is something I do not understand about how margin is calculated. As previously mentioned, I have an April CL strangle at 70P and 105C. I have had this position on for almost a month now. I have made 70% of the premium on the puts and I am at about break-even on the calls. A week ago, I showed a loss of about $500 on the calls when CL rallied cause of the Cliff agreement. My margin went up during that rally but now that things have settled down, the premium on the calls have also decreased. But for some reason, my margin is still at very high levels. I thought that as time goes by and more and more of the premium is decayed away, the margin should move lower since my potential profit has increased but that is obviously not the way it works at IB! In fact, I have noticed that IM and MM increases as we get closer and closer to expiration.

MJ888

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  #454 (permalink)
Market Wizard
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MJ888 View Post
There is something I do not understand about how margin is calculated. As previously mentioned, I have an April CL strangle at 70P and 105C. I have had this position on for almost a month now. I have made 70% of the premium on the puts and I am at about break-even on the calls. A week ago, I showed a loss of about $500 on the calls when CL rallied cause of the Cliff agreement. My margin went up during that rally but now that things have settled down, the premium on the calls have also decreased. But for some reason, my margin is still at very high levels. I thought that as time goes by and more and more of the premium is decayed away, the margin should move lower since my potential profit has increased but that is obviously not the way it works at IB! In fact, I have noticed that IM and MM increases as we get closer and closer to expiration.

MJ888

On Jan 3rd SPAN was 2014 for that strangle. On Jan 7th it is 1944.

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  #455 (permalink)
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ron99 View Post
On Jan 3rd SPAN was 2014 for that strangle. On Jan 7th it is 1944.

Thanks for the margin update. I just got my new account set up at OX and am using the Trade Calculator. Pretty awesome!

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  #456 (permalink)
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MJ888 View Post
Thanks for the margin update. I just got my new account set up at OX and am using the Trade Calculator. Pretty awesome!

I got my OX account working too and I just checked the margin on Trade Calc. for the CL strangle you mentioned. Its showing $2,728.44 - Initial and $2,480.40 Maintenance. Are you getting the same numbers?

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  #457 (permalink)
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Yes, I got the same IM and MM numbers for that position at OX. At IB it would be IM $4,766 and MM would be $3,813

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  #458 (permalink)
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ron99:

Thanks for the seasonal chart link. I spend lots of time there and that is very valuable information.

Quick questions on RB options...

I've tried to sell a few in the past but have not had much luck with fills. Meaning my trade never was executed so I abandoned trying to trade that market. There seems to be a huge gap in the BID ASK even with options with high volume an OI and I did put a 'fair' BID in when trying to sell options. Can you pass along some of your well advised advice about how to approach selling RB options?

Thanks...again.

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  #459 (permalink)
Market Wizard
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Barrington View Post
I got my OX account working too and I just checked the margin on Trade Calc. for the CL strangle you mentioned. Its showing $2,728.44 - Initial and $2,480.40 Maintenance. Are you getting the same numbers?

OX does not compute the correct margin for spreads or strangles for the first one. It does correctly compute the margin for all spreads or strangles after the first one.

For example it says 2728 for the one strangle. It says 5060 for 2. Or 2332 for the 2nd one. It will be 2332 for all strangles after the 1st one.

The problem happened when they bought out another firm that was calculating margin and merged it with their system which wasn't. When they merged it this is what happened. They didn't know it was happening until 2009 when I showed them the numbers.

They will have to rewrite their entire system to fix it. It isn't happening soon.

The weird thing is it works on some commodities and not others. I have a SB strangle on. It works on that. It works on futures spreads.

The only way to check it is to do the Trad Calc with quantity 1. Then do it again with 2 and see if the margin is doubled or less than double.

OX does change the excess they want over SPAN. I keep track of it in a spreadsheet. I compute the margin for my options in SPAN. Then I apply the extra that OX wants to know how much I need. I also use that to check ROI.

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  #460 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
Posts: 2,417 since Jul 2011
Thanks: 663 given, 4,115 received
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opts View Post
ron99:

Thanks for the seasonal chart link. I spend lots of time there and that is very valuable information.

Quick questions on RB options...

I've tried to sell a few in the past but have not had much luck with fills. Meaning my trade never was executed so I abandoned trying to trade that market. There seems to be a huge gap in the BID ASK even with options with high volume an OI and I did put a 'fair' BID in when trying to sell options. Can you pass along some of your well advised advice about how to approach selling RB options?

Thanks...again.

A lot of the time I am just hitting fair bids. Granted they are few and far between. Sometimes I do place an ask and get filled. Leave your bid on at the close of the pit. Sometimes the asks will get hit then by the pit traders. You do need to be in the options like 2.10, 2.20, 2.30. Not much if any action between those options.

Some months have more OI than others. Check OI. Dec is usually the one with the highest OI.

But the reality is that you won't be able to do many RB options.

Right now there is a 0.0016 bid in the Mar RB 2.20 put. Same price as settlement. Quantity one. I took it. You just have to pick them off.

If I am lacking options to trade I then will go to ES because there are plenty there.

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