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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,892 / 5,734
Last Reply:Yesterday (01:01 AM) Attachments:642

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Selling Options on Futures?

Old August 4th, 2015, 04:25 PM   #4661 (permalink)
Market Wizard
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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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Old August 4th, 2015, 04:42 PM   #4662 (permalink)
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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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Old August 4th, 2015, 04:54 PM   #4663 (permalink)
Market Wizard
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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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Old August 4th, 2015, 05:32 PM   #4664 (permalink)
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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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Old August 4th, 2015, 06:01 PM   #4665 (permalink)
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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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Old August 4th, 2015, 06:58 PM   #4666 (permalink)
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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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Old August 4th, 2015, 07:12 PM   #4667 (permalink)
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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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Old August 5th, 2015, 08:43 AM   #4668 (permalink)
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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.

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Selling Options on Futures?-option-data-sheet.pdf  
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Old August 5th, 2015, 07:49 PM   #4669 (permalink)
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I'm done trading Oct ES. These are IMx3 naked options. Exit at 50% drop.

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Old August 5th, 2015, 11:30 PM   #4670 (permalink)
Trading Apprentice
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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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