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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:570,021 / 5,734
Last Reply:Yesterday (01:01 AM) Attachments:642

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Selling Options on Futures?

Old August 20th, 2015, 09:55 AM   #4751 (permalink)
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vancouver BC/Canada
 
Futures Experience: Beginner
Platform: Zaner360, OX
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Favorite Futures: options
 
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rsm005 View Post
All,

Opened.

Contract: OESX5 P1700
Quantity: 100
Premium: $4.15
Days to Expiration at Open: 95
Initial Margin: $800
Days Open: 0

Contract: OEWX5 P1650
Quantity: 45
Premium: $2.90
Days to Expiration at Open: 95
Initial Margin: $608
Days Open: 0

I will exit this trade in the first week of Sept. no matter what. I don't want to have any positions on during the fed meetings because of the pending interest rate hike.

Thanks,
/rsm005/

The market has done exactly what I hoped it wouldn't after these positions were opened. It's been a rough start and today doesn't seem like it'll be much easier.

Contract: OESX5 P1700
Quantity: 100
Premium: $4.15
Days to Expiration at Open: 95
Initial Margin: $800
Days Open: 0
Current Margin: $892

Contract: OEWX5 P1650
Quantity: 45
Premium: $2.90
Days to Expiration at Open: 95
Initial Margin: $608
Days Open: 0
Current Margin: $684

Even with the 2 big down days right after the positions were opened the margin increase wasn't too bad. I keep wondering if it would have been a better idea to wait until the Fed minutes were released before opening this position but then this old quote from Yogi Berra popped into my mind.

"It's tough to make predictions, especially about the future."

Hope the updates help.

/rsm005/

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Old August 20th, 2015, 12:39 PM   #4752 (permalink)
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Washington DC
 
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Broker/Data: Decarley
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I'm in a similar boat. Sold some ESX5 P1650 at average of 4.00 premium.

Nothing in life is to be feared, it is only to be understood. Now is the time that we understand more, so that we may fear less. - Marie Curie
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Old August 20th, 2015, 01:49 PM   #4753 (permalink)
Trading for Fun
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I am actually neutral on ES and also entered on Monday but i am selling an equal number of puts and calls so i am in the green today.

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Old August 20th, 2015, 04:33 PM   #4754 (permalink)
Market Wizard
OH
 
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rsm005 View Post
All,

Opened.

Contract: OESX5 P1700
Quantity: 100
Premium: $4.15
Days to Expiration at Open: 95
Initial Margin: $800
Days Open: 0

Contract: OEWX5 P1650
Quantity: 45
Premium: $2.90
Days to Expiration at Open: 95
Initial Margin: $608
Days Open: 0

I will exit this trade in the first week of Sept. no matter what. I don't want to have any positions on during the fed meetings because of the pending interest rate hike.

Thanks,
/rsm005/

You have "Days to Expiration at Open: 95" for both contracts. That can't be correct unless you have the wrong symbol for the 1650 contracts.

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Old August 21st, 2015, 01:04 AM   #4755 (permalink)
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rsm005 View Post

Contract: OESX5 P1700
Quantity: 100
Premium: $4.15
Days to Expiration at Open: 95
Initial Margin: $800
Days Open: 0
Current Margin: $892
Current Margin: $1190 - Evening of 8/20

Contract: OESX5 P1650
Quantity: 45
Premium: $2.90
Days to Expiration at Open: 95
Initial Margin: $608
Days Open: 0
Current Margin: $684
Current Margin: $928 - Evening of 8/20

/rsm005/

Ron,

You're right, there's a typo there. The 1650 position is the same contract as the 1700, I changed the quote.

As far as an update..it's been a brutal, brutal day and after hours seems to be carrying the trend down to 2009. Not sure how much further this will go but the margin on my current position is given above. I have to say I'm more than a little nervous with all the news seeming to encourage the downward movement. Not sure where the bottom of this is...I'm hoping it stays above 2000 but who knows. Of course this had to happen 3 days into the new position.

/rsm005/


Last edited by rsm005; August 21st, 2015 at 01:24 AM.
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Old August 21st, 2015, 01:45 AM   #4756 (permalink)
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rsm005 View Post
Ron,

You're right, there's a typo there. The 1650 position is the same contract as the 1700, I changed the quote.

As far as an update..it's been a brutal, brutal day and after hours seems to be carrying the trend down to 2009. Not sure how much further this will go but the margin on my current position is given above. I have to say I'm more than a little nervous with all the news seeming to encourage the downward movement. Not sure where the bottom of this is...I'm hoping it stays above 2000 but who knows. Of course this had to happen 3 days into the new position.

/rsm005/

Extremely unfortunate, but I suppose if you need a silver lining, if you stick to the probabilities game - which options is technically all about - then at least you should have an increased positive expectancy in the near future.

I would also say that this move has been a little exaggerated. If we are to believe that it is due to the Fed Sept rate hike, then delaying it should be positive for equities + bad for the USD, whilst remaining on track for a Sept rate hike should be bad for equities and good for the USD. The fact both are lower with bonds/metals higher gives the indication of fear. Moves like these usually end following capitulation.

Then again I'm no psychic and markets can remain irrational when fear/greed is high, especially as overnight moves seem to have been worsened due to fears concerning China's growth.


Last edited by CobblersAwls; August 21st, 2015 at 02:11 AM. Reason: added info
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Old August 21st, 2015, 08:42 AM   #4757 (permalink)
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On 7/31/15 I sold ESx5p1650 and also ESx5p1500-1700 spreads. Let's see how they have gone so far.

ESx5p1650
IM on 7/31/15 = 696
IM on 8/21/15 = 928 +33%

ESx5p1500-1700
IM on 7/31/15 = 548
IM on 8/21/15 = 762 +39%

ESx5p1650
Price on 7/31/15 = 3.90
Price on 8/21/15 = 6.70 -$140

ESx5p1500-1700
Price on 7/31/15 = 3.70
Price on 8/21/15 = 7.00 -$165

ESx5p1650
IMx3 on 7/31/15 = $2088
Current IM + Loss on Premium on 8/21/15 = $1068 = 51% of beginning IMx3
Remaining cash excess = $1020

ESx5p1500-1700
IMx3 on 7/31/15 = $1644
Current IM + Loss on Premium on 8/21/15 = $927 = 56% of beginning IMx3
Remaining cash excess = $717

So for a ES drop of 73 the spreads have performed worse. But of course if there were to be a huge crash the spread would do better.

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Old August 21st, 2015, 09:46 AM   #4758 (permalink)
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ron99 View Post
On 7/31/15 I sold ESx5p1650 and also ESx5p1500-1700 spreads. Let's see how they have gone so far.

ESx5p1650
IM on 7/31/15 = 696
IM on 8/21/15 = 928 +33%

ESx5p1500-1700
IM on 7/31/15 = 548
IM on 8/21/15 = 762 +39%

ESx5p1650
Price on 7/31/15 = 3.90
Price on 8/21/15 = 6.70 -$140

ESx5p1500-1700
Price on 7/31/15 = 3.70
Price on 8/21/15 = 7.00 -$165

ESx5p1650
IMx3 on 7/31/15 = $2088
Current IM + Loss on Premium on 8/21/15 = $1068 = 51% of beginning IMx3
Remaining cash excess = $1020

ESx5p1500-1700
IMx3 on 7/31/15 = $1644
Current IM + Loss on Premium on 8/21/15 = $927 = 56% of beginning IMx3
Remaining cash excess = $717

So for a ES drop of 73 the spreads have performed worse. But of course if there were to be a huge crash the spread would do better.

If I have the proper calculation max drawdown is:
for ESx5p1650 =6,7%
for ESx5p1500-1700 = 10.04%

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Old August 21st, 2015, 10:59 AM   #4759 (permalink)
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Boise, ID
 
Futures Experience: Advanced
Platform: Thinkorswim
Favorite Futures: ES
 
Posts: 10 since Feb 2015
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Looks like we're at a near term capitulation point. The VIX term structure has inverted to a level not seen since last October 2014. Hope you guys will all go through this with contained damages. Like I said over and over, August, September, and October are the three worst months to sell naked ES. Market will bounce in coming days and will probably be setting up for a big decline in September/October. We will have another chance to get out before things blow up.

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Old August 21st, 2015, 12:32 PM   #4760 (permalink)
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Well there's always the weekend....

/rsm005/

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