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Selling Options on Futures?
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Selling Options on Futures?

  #4661 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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Here is what happened last Sep-Oct to a .0300 delta ES option when futures dropped 158.

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IM went from 670 to 1443. Price went from 3.15 to 13.00. Or $157.50 to $650.00.

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  #4662 (permalink)
Elite Member
Huntington WV
 
Futures Experience: Advanced
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ron99 View Post
Here is what happened last Sep-Oct to a .0300 delta ES option when futures dropped 158.

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IM went from 670 to 1443. Price went from 3.15 to 13.00. Or $157.50 to $650.00.

Using proper risk controls, that's honestly not that bad at all huh.

Seriously, wow, that's reasonable for such a huge move.

Can't thank you enough @ron99!

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  #4663 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
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TheTradeSlinger View Post
Using proper risk controls, that's honestly not that bad at all huh.

Seriously, wow, that's reasonable for such a huge move.

Can't thank you enough @ron99!

Beginning IM was $670. IMx3 is $2010.

Premium loss on 10/15 was 492.50. IM on 10/15 was 1443. Total is 1,935.50. Which is under the IMx3 of $2010. But it is getting very close.

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  #4664 (permalink)
Elite Member
Huntington WV
 
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ron99 View Post
Beginning IM was $670. IMx3 is $2010.

Premium loss on 10/15 was 492.50. IM on 10/15 was 1443. Total is 1,935.50. Which is under the IMx3 of $2010. But it is getting very close.

That is close, but that's why the risk controls are in place.

@ron99 thanks again.

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  #4665 (permalink)
Trading Apprentice
Boston, MA
 
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Hi Ron,

No doubt that trading costs (slippage, commission) will eventually become a limiting factor but it is interesting that, in your rudimentary first pass study, it shows that ROI increases as management percentage of winners decreases:

75% ROI < 60% ROI < 50% ROI < 40% ROI

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  #4666 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
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rocky64 View Post
Hi Ron,

No doubt that trading costs (slippage, commission) will eventually become a limiting factor but it is interesting that, in your rudimentary first pass study, it shows that ROI increases as management percentage of winners decreases:

75% ROI < 60% ROI < 50% ROI < 40% ROI

I think you misstated your post.

"ROI increases as management percentage of winners decreases"

This should be stated, ROI increases as exit point increases. Or ROI increases as the percent drop from entry point decreases.

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  #4667 (permalink)
Trading Apprentice
Boston, MA
 
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Yes, I think we are saying the same thing. For example:

manage at 25% = 25% percent drop from entry point

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  #4668 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 260 since Oct 2012
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Data Sheet

The attached PDF is a sheet I use to record buy/sell option data. Some of this info is then transferred to a
spread sheet. Someone may find it useful, or if anyone has a better method let me know.

Attached Thumbnails
Selling Options on Futures?-option-data-sheet.pdf  
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  #4669 (permalink)
Market Wizard
Cleveland, OH
 
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I'm done trading Oct ES. These are IMx3 naked options. Exit at 50% drop.

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  #4670 (permalink)
Trading Apprentice
Goshen Indiana USA
 
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I traded 5 contracts each month for Sept and Oct. Oct was held 22 days with a 4.75% monthly ROI. Today I closed out a Nov 10 contract trade -- ESX5 1600 Put, held 9 days. Kept 3.5 times IM for 3.3% return and a 11% monthly ROI.

Thanks again to @ron99 for the great amount of info he has shared and so many others who have contributed too!

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