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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,171 / 5,728
Last Reply:December 6th, 2016 (05:26 PM) Attachments:642

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Selling Options on Futures?

Old August 21st, 2015, 04:16 PM   #4761 (permalink)
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Had a small position in /ES puts. Although we have experienced a 60% pop in the VIX, and nearly 120 point drop from when I had initially put on the position, they have not reached their exit points yet. They are all between 9-23 days old with about 91 days to expiration as of today.

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Old August 21st, 2015, 06:00 PM   #4762 (permalink)
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Here is why markets now have greater moves up or down.

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https://twitter.com/nanexllc/status/634801388657209344

The damn HFT traders disappear when the market needs them the most. They DON'T provide liquidity.

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Old August 21st, 2015, 08:20 PM   #4763 (permalink)
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rsm005 View Post
Well there's always the weekend....

/rsm005/

The worst two day in Dow index since 1960 was down 26.17% on the black Monday Oct 19, 1987 following a Friday down 4.6%. The major reasons were said programming trading, market psychology and overvaluation.

That sounds similar now........

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Old August 21st, 2015, 08:35 PM   #4764 (permalink)
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The ESx5p1650 IM is now 1360. It settled at 17.40.

For myself I didn't have any IMx3 positions hit exit point but some are real close. 58 away.

My IMx4 still have plenty of room. 754 away.

My ESx5p1500-1700 spreads are 286 to 366 away from exit point. (Added 4-7 days after 1650s.)

I added one set of spreads on the same day, 7/31, as the 1650s. It is 294 away from exit while 1650s are 58 away.

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Old August 21st, 2015, 09:28 PM   #4765 (permalink)
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ron99 View Post
Here is why markets now have greater moves up or down.

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https://twitter.com/nanexllc/status/634801388657209344

The damn HFT traders disappear when the market needs them the most. They DON'T provide liquidity.

Let me throw a knife at you. See if you can catch it. Or will you jump out of the way?


Chubbly View Post
The worst two day in Dow index since 1960 was down 26.17% on the black Monday Oct 19, 1987 following a Friday down 4.6%. The major reasons were said programming trading, market psychology and overvaluation.

That sounds similar now........

Isn't every single move 'market psychology' to a certain extent?

FYI I performed the following quick analysis earlier hope to do more this weekend. Not sure I can cross post four threads continually though but here goes


SMCJB View Post
Assuming I'm doing this correctly I count 104 consecutive 2% down days in the SPX (Index not ES) of which most/69 occurred before 1941!

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Nothing between 1974 and 1986.

Since 1986 there have been 28 Occurrences.
  • First Day drop averaged 3.1% with standard deviation 1.0%
  • Second Day drop averaged 4.2% with SD 3.5% (both heavily skewed by Black Monday)
  • Two Day drop averaged 7.1% with SD 3.9%
  • Next Day market is up on average 0.7% (71.4% up average 2.8%, 28.6% down average 4.6%)
  • 5 Day later market is up on average 1.9% (67.8% up average 5.6%, 32.1% down average 5.9%)
  • 20 Day later market is up on average 2.9% (67.8% up average 8.1%, 32.1% down average 8.4%)
For perspective the average 1, 5 & 20 day changes since 1986 have been 0.04%, 0.18% and 0.68%

To illustrate how heavily this is skewed by Black Monday...
Since 1988 there have been 24 Occurrences.
  • First Day drop averaged 3.1% with standard deviation 1.0%
  • Second Day drop averaged 3.6% with SD 1.3%
  • Two Day drop averaged 6.5% with SD 2.0%
  • Next Day market is up on average 1.6% (75% up average 2.7%, 25% down average 1.9%)
  • 5 Day later market is up on average 3.3% (70.8% up average 6.0%, 29.2% down average 3.5%)
  • 20 Day later market is up on average 4.0% (70.8% up average 8.3%, 29.2% down average 6.5%)
For perspective the average 1, 5 & 20 day changes since 1987 have been 0.04%, 0.18% and 0.71%

 
Code
   SHOW 
     Close: Close of SPX 
     Change1: (Close of SPX / Close of SPX 1 value ago ) - 1 
     Change2: (Close of SPX 1 value ago  / Close of SPX 2 values ago ) - 1 
     2dChange: (Close of SPX / Close of SPX 2 values ago ) - 1 
     NextDay: (Close of SPX 1 value later  / Close of SPX) - 1 
     Next5Day: (Close of SPX 5 values later  / Close of SPX) - 1 
     Next20Day: (Close of SPX 20 values later  / Close of SPX) - 1 
   WHEN 
       Close of SPX is DEFINED 
     AND 
       Date is after 1987
     AND 
       (Close of SPX / Close of SPX 1 value ago ) is less than 0.98 
     AND 
       (Close of SPX 1 value ago  / Close of SPX 2 values ago ) is less than 
       0.98


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Old August 21st, 2015, 09:52 PM   #4766 (permalink)
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I found this on another forum

---


Last time SPY down more than 5% in two days is Nov 1, 2011. Here is the complete list:
Find the worst down in 2 days?
19971027 -8.1631
19980827 -5.2511
19980828 -5.0519
19980831 -7.4699
19981001 -5.8414
20000414 -7.0276
20010312 -7.1114
20010403 -5.3989
20010918 -5.4521
20010920 -5.1321
20020710 -6.0671
20020719 -6.6454
20020722 -6.3781
20020723 -5.6192
20020805 -5.6432
20080929 -7.7904
20081006 -6.3746
20081007 -9.3438
20081008 -6.8850
20081009 -9.3272
20081010 -9.2401
20081015 -11.1791
20081016 -6.0891
20081022 -8.2684
20081027 -8.4415
20081106 -9.5110
20081112 -7.3518
20081117 -6.2521
20081120 -13.3555
20081201 -7.7105
20081202 -5.3502
20090130 -5.2180
20090217 -5.3072
20090302 -6.6385
20090303 -5.2212
20090330 -5.1979
20110808 -6.6522
20110819 -5.8745
20110922 -6.0830
20111003 -5.2736
20111101 -5.1322
20150821 -5.1133

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Old August 22nd, 2015, 03:02 AM   #4767 (permalink)
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ron99 View Post
The ESx5p1650 IM is now 1360. It settled at 17.40.

For myself I didn't have any IMx3 positions hit exit point but some are real close. 58 away.

My IMx4 still have plenty of room. 754 away.

My ESx5p1500-1700 spreads are 286 to 366 away from exit point. (Added 4-7 days after 1650s.)

I added one set of spreads on the same day, 7/31, as the 1650s. It is 294 away from exit while 1650s are 58 away.


Ron,

Are you looking to exit on Monday or just ride this out and exit when the margins hit their limit?

When I opened my ESX5 P1700 the IM was 800 and I had 2400 in extra cash. Right now the margin for the position is at 1636. Or ESX5 P1650 the IM was 608 and I had 1812 in extra cash. The margin is what you see above. So I still have runway but as I mentioned in my earlier note to you, I just don't know if I'm going to throw good money after bad by hanging on hoping for a bounce..or what.

/rsm005/

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Old August 22nd, 2015, 07:28 AM   #4768 (permalink)
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Hope we all come out ok

2 day large down moves have happened but rarely 3 or beyond. Question is do you follow the rules and take the loss or wait for the bounce
Problem of taking the loss is more psychological and may leave u gunshy. Of course riding it out also is tough because I doubt you will take new positions though for this strategy prob best to initiate new positions when there is fear and vix is high

On a side note to rsm005 where do u get your option Greeks and IM - not from zaner 360 I don't think it has Greeks right? Thanks in advance

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Old August 22nd, 2015, 09:13 AM   #4769 (permalink)
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As an example of how an increase in IV can dramatically impact far OTM options, you can sell 3 delta 90DTE puts in ES around 700 pts lower right now (1250ish).

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Old August 22nd, 2015, 10:44 AM   #4770 (permalink)
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If you haven't been out, it's not a good idea to get out now when capitulation is in sight. Don't expect a V-shaped recovery but the market doesn't have much further to go, at least according to the VIX term structure. You can cut the risks down so that your buying power doesn't go into negative and receive that dreading margin call. Getting out when the volatility is extremely overbought and the VIX term structure is hugely inverted isn't a sound judgement.

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