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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,025 / 5,728
Last Reply:22 Hours Ago (05:26 PM) Attachments:642

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Selling Options on Futures?

Old August 6th, 2015, 12:27 PM   #4681 (permalink)
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ron99 View Post
How did you pick your strikes for the spread?

Randomly, mostly ~ delta 6

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Old August 6th, 2015, 09:36 PM   #4682 (permalink)
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Here is my study comparing 50% exit to 40% exit. Study was 1/2/13 to 8/3/15. IMx3. Delta 3.00. Started with $100,000 balance.

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Attached is spreadsheet with each trade.

I'm not seeing a lot of difference. $8,971 difference in balance over 31 months.

Attached Files
Register to download File Type: xlsx Long Term 3 Delta 40% Exit.xlsx (105.6 KB, 46 views)
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Old August 6th, 2015, 10:39 PM   #4683 (permalink)
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Hi Ron,

Thanks for posting the spreadsheet details!

Comparing to the table on post 4674 (delta vs spreads) I did notice that you are able to exit in 21 vs 27.4 days for 40% vs 50% respectively (23% less time to book a winner). This allows you to execute 47 vs 34 trades and increases Monthly ROI from 5.5% vs 4.9%. Interestingly the avg DTE for Entry is the same (105) and the avg IM is the same too.

I am not understanding the 8,791 difference. Again, comparing this spreadsheet with the data in post 4674, it looks like the difference should be 337,405 - 314,156 = 23,249 which is a 7.4% difference. Compounding this difference over time, I would think this would be a significant growth driver for the overall P/L.

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Old August 6th, 2015, 10:40 PM   #4684 (permalink)
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Ron,

Have you tried testing out your strategy for the "best 6 months" (November-April) with data going back a little further? I think we can avoid a lot of headache by staying on the sideline/doing something else in the volatile months of May-October. Look forward to your response. Thanks for great work as always.

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Old August 7th, 2015, 02:01 AM   #4685 (permalink)
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rocky64 View Post
Hi Ron,

Thanks for posting the spreadsheet details!

Comparing to the table on post 4674 (delta vs spreads) I did notice that you are able to exit in 21 vs 27.4 days for 40% vs 50% respectively (23% less time to book a winner). This allows you to execute 47 vs 34 trades and increases Monthly ROI from 5.5% vs 4.9%. Interestingly the avg DTE for Entry is the same (105) and the avg IM is the same too.

I am not understanding the 8,791 difference. Again, comparing this spreadsheet with the data in post 4674, it looks like the difference should be 337,405 - 314,156 = 23,249 which is a 7.4% difference. Compounding this difference over time, I would think this would be a significant growth driver for the overall P/L.

The total profit and ROI in post 4674 missed the final trade. After 9 hours of working on that study I wasn't thinking clearly and forgot to put the final trade on summary line. The other numbers were correct. Here is corrected table.

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One word about the monthly ROI number. It is just an average of each trades' monthly ROI. But as far as showing how the different strategies compare it is useless.

As you can see in the above table, the spreads (loss) had the highest average monthly ROI 5.6% but total profit was by far the worst. I really should stop showing it.

For example, the next trade after the loss was only held 4 days and made 46.6% monthly ROI. But using that 46.6% ROI in an average does not show true performance of your account for a long term.

The true ROI is the one to the right of Ending Balance.

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Old August 7th, 2015, 02:06 AM   #4686 (permalink)
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hain241 View Post
Ron,

Have you tried testing out your strategy for the "best 6 months" (November-April) with data going back a little further? I think we can avoid a lot of headache by staying on the sideline/doing something else in the volatile months of May-October. Look forward to your response. Thanks for great work as always.

I can't go back further than Jan 2013 because the CME removed the arrays from their website. I can't get IM before then.

I don't see a reason to skip half the year. No guarantee that those months will be the volatile ones in future.

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Old August 7th, 2015, 12:25 PM   #4687 (permalink)
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Here's a better explanation of why average monthly ROI for individual trades is not worth looking at to compare strategies.

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Right after the loss the next 3 monthly ROIs were 46.6%, 25% and 10.3%. The average of those three is 27.3%.

But the account balance only increased by 17.5%.

136,580-116,228=20,352.

20,352/116,228=17.5%

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Old August 7th, 2015, 04:03 PM   #4688 (permalink)
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ron99 View Post
The total profit and ROI in post 4674 missed the final trade. After 9 hours of working on that study I wasn't thinking clearly and forgot to put the final trade on summary line. The other numbers were correct. Here is corrected table.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


One word about the monthly ROI number. It is just an average of each trades' monthly ROI. But as far as showing how the different strategies compare it is useless.

As you can see in the above table, the spreads (loss) had the highest average monthly ROI 5.6% but total profit was by far the worst. I really should stop showing it.

For example, the next trade after the loss was only held 4 days and made 46.6% monthly ROI. But using that 46.6% ROI in an average does not show true performance of your account for a long term.

The true ROI is the one to the right of Ending Balance.

So based on this it looks like the best ROI with the highest $ return is a .4 Delta with a 50% exit.?.

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Old August 7th, 2015, 04:19 PM   #4689 (permalink)
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ron99 View Post
The total profit and ROI in post 4674 missed the final trade. After 9 hours of working on that study I wasn't thinking clearly and forgot to put the final trade on summary line. The other numbers were correct. Here is corrected table.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


One word about the monthly ROI number. It is just an average of each trades' monthly ROI. But as far as showing how the different strategies compare it is useless.

As you can see in the above table, the spreads (loss) had the highest average monthly ROI 5.6% but total profit was by far the worst. I really should stop showing it.

For example, the next trade after the loss was only held 4 days and made 46.6% monthly ROI. But using that 46.6% ROI in an average does not show true performance of your account for a long term.

The true ROI is the one to the right of Ending Balance.

That's a very high quality post @ron99 based on the study would u consider selling higher delta options?

Also @ron99 u probably mentioned his already but where do u get the data?

Sent from my A0001 using Tapatalk

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Old August 7th, 2015, 05:31 PM   #4690 (permalink)
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rsm005 View Post
So based on this it looks like the best ROI with the highest $ return is a .4 Delta with a 50% exit.?.

Yes but the higher delta option will have a higher drawdown in a major crash.

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So make more profit but take on more risk to do it. Pick your comfort level.


Last edited by ron99; August 8th, 2015 at 05:20 PM.
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