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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 23rd, 2015, 01:40 PM   #4791 (permalink)
Market Wizard
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rsm005 View Post
@SMCJB Thanks for sending this out, incredible post. So based on this it looks like the expected scenario starting Sunday night will be a 2.4% - 5% decline leading into Monday with another round of selling on Tuesday. My gut has been telling me the selling will probably bottom out around 1930....give or take. It also seems, from that pretty scary chart you posted that the overall trend is a down trend? Weird. It's strange how that trend differs from every other one.

/rsm005/

I highly doubt 5% drop on Monday by settlement. The sample size of 3 is extremely small and can't be counted on to be predictive.

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Old August 23rd, 2015, 03:20 PM   #4792 (permalink)
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Here is some research on what happened if you sold options on the worst day. Monday 8/17/15.

If you used IMx3 you are on margin call for almost every strike. The Oct options by far performed the worst in this instance comparing similar deltas.

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Here is IMx4. All options with deltas less than 1.90 are on margin call. The rest are not. So you can get too far OTM and lose protection because the excess isn't enough to cover big moves.

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Last edited by ron99; August 24th, 2015 at 03:08 PM. Reason: Mistake in spread line
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Old August 23rd, 2015, 03:25 PM   #4793 (permalink)
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Here is a summary of all of the long term, 31 months, studies I have done. These include trades made and closed before 8/3/15. So last week is not included. I will add them as I can and repost.

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Old August 23rd, 2015, 05:30 PM   #4794 (permalink)
Market Wizard
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Note I added a last line to my tables in post 4793 to include spreads. They performed far better than naked options on this big dip. The big difference was the much, much smaller increase in IM and a smaller loss on price.

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Old August 23rd, 2015, 06:11 PM   #4795 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
Volatility skew (or smile) comparing Mon Aug 17 (green) to Fri Aug 21 (blue). This doesn't go all the way down to 3-delta puts but if you look all the way to the left you can see IV changes for 5-delta puts.

Note: The skew is for a 1-month 'constant maturity' option but it's virtually identical to ESU15, which had 28 days to expiration on Friday.

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Old August 23rd, 2015, 07:21 PM   #4796 (permalink)
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One more: IV of 5-delta puts from June 2009 to the present (1-month, constant maturity options)

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Selling Options on Futures?-quandl.png  
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Old August 23rd, 2015, 07:53 PM   #4797 (permalink)
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Ron,

Can you let us know when you exit and what your steps are?

Thanks,
/rsm005/

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Old August 23rd, 2015, 08:05 PM   #4798 (permalink)
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Are you ready for a rebound Tuesday? For those who are trapped in a ES puts position, this week will provide a good opportunity to exit out with dignity It's very likely that the rebound will fail, so be careful traders! Staying patient in this kind of environment will make you a lot of $$$. Stay strong.

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Old August 23rd, 2015, 08:17 PM   #4799 (permalink)
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rsm005 View Post
Ron,

Can you let us know when you exit and what your steps are?

Thanks,
/rsm005/

Be careful looking at what I do. Everybody needs to do what they feel comfortable with. What they will be able to sleep tonight with. That will probably be different than what I do.

I put mine on at different times than you. I have some using IMx4. I have some spreads on. I have some spreads using IMx4.

I am surprised how the bid/ask spreads are not too wide right now.

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Old August 23rd, 2015, 08:20 PM   #4800 (permalink)
Market Wizard
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Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
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hain241 View Post
Are you ready for a rebound Tuesday? For those who are trapped in a ES puts position, this week will provide a good opportunity to exit out with dignity It's very likely that the rebound will fail, so be careful traders! Staying patient in this kind of environment will make you a lot of $$$. Stay strong.

I get a chuckle from posters who feel they know what is going to happen when in actuality they have no clue. It can go either way.

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