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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,479 / 5,734
Last Reply:4 Hours Ago (01:01 AM) Attachments:642

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Selling Options on Futures?

Old July 30th, 2015, 08:57 AM   #4601 (permalink)
World'sWorstTrader
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Opstar View Post
Personally, I prefer naked options but for the odd times I place spreads, I let the spread market do their job .

If you are looking at a vertical or a ratio credit spread, it is best to enter the order as a whole. You probably will get
better fills than trying to leg in.

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Old July 31st, 2015, 10:54 AM   #4602 (permalink)
Market Wizard
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I sold ESv5p1650 on 7/14/15 for 3.30. Delta 0.0334. IM was 651.

I bought them back today at 1.65. Days held 17. Monthly ROI is 7.0%.

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Old July 31st, 2015, 11:23 AM   #4603 (permalink)
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ron99 View Post
I sold ESv5p1650 on 7/14/15 for 3.30. Delta 0.0334. IM was 651.

I bought them back today at 1.65. Days held 17. Monthly ROI is 7.0%.

Ron,

Interesting. The ESv5p1750 which I sold is still hanging out there and hasn't reached the exit point yet. The fact that you could get in less than 20 days is great. Def. looks like it's more profitable to go to take multiple smaller gains in less time than a bigger gain an a longer stretch.

/rsm005/

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Old July 31st, 2015, 11:39 AM   #4604 (permalink)
Market Wizard
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rsm005 View Post
Ron,

Interesting. The ESv5p1750 which I sold is still hanging out there and hasn't reached the exit point yet. The fact that you could get in less than 20 days is great. Def. looks like it's more profitable to go to take multiple smaller gains in less time than a bigger gain an a longer stretch.

/rsm005/

The higher strikes seem to drop to 50% at a slower rate than lower strikes.

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Old July 31st, 2015, 11:58 AM   #4605 (permalink)
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ron99 View Post
The higher strikes seem to drop to 50% at a slower rate than lower strikes.

Looks like the lower margin gives you the ability to add more contracts and even out the gain...but the percentage is higher because the position isn't open for as long. So my changes are set for the next trade.

/rsm005/

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Old July 31st, 2015, 01:34 PM   #4606 (permalink)
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ron99 View Post
I sold ESv5p1650 on 7/14/15 for 3.30. Delta 0.0334. IM was 651.

I bought them back today at 1.65. Days held 17. Monthly ROI is 7.0%.

On the same day I sold 1700-1500 spreads for 3.05. Delta 0.0324. IM was 523.

I got out today at 1.50. Days held 17. Monthly ROI is 7.4%. (ROI would have been 5.6% for IMx4)

Same days held but higher ROI in spite of lower premium because of lower IM.

Not sure if this will happen every time. I got out of 1650 puts at 8:45 am ET. But did not exit spreads till almost noon ET when market went further my way. Might take longer to get out of spreads. Not sure.

I did leg in and out because Gain does not do ES option spreads as one trade.

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Old July 31st, 2015, 03:43 PM   #4607 (permalink)
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ron99 View Post
On the same day I sold 1700-1500 spreads for 3.05. Delta 0.0324. IM was 523.

I got out today at 1.50. Days held 17. Monthly ROI is 7.4%. (ROI would have been 5.6% for IMx4)

Same days held but higher ROI in spite of lower premium because of lower IM.

Not sure if this will happen every time. I got out of 1650 puts at 8:45 am ET. But did not exit spreads till almost noon ET when market went further my way. Might take longer to get out of spreads. Not sure.

I did leg in and out because Gain does not do ES option spreads as one trade.


My study from 01/2013 - 07/2015 shows that ROI for spreads are more higher than naked puts with appr. the same IM.
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Old July 31st, 2015, 04:20 PM   #4608 (permalink)
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ron99 View Post
I sold ESv5p1650 on 7/14/15 for 3.30. Delta 0.0334. IM was 651.

I bought them back today at 1.65. Days held 17. Monthly ROI is 7.0%.

Nice! So whats next on your radar? You looking at the ESx5p1650? Can sell for 4.00 with Delta of 0.0334

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Old July 31st, 2015, 04:55 PM   #4609 (permalink)
Market Wizard
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MJ888 View Post
Nice! So whats next on your radar? You looking at the ESx5p1650? Can sell for 4.00 with Delta of 0.0334

That's exactly what I did today.

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Old July 31st, 2015, 05:04 PM   #4610 (permalink)
Market Wizard
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uuu1965 View Post
My study from 01/2013 - 07/2015 shows that ROI for spreads are more higher than naked puts with appr. the same IM.
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But a higher delta.

Thanks for the study.

Why do the spreads have a higher delta?

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