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Selling Options on Futures?
Started: by ron99 Views / Replies:611,391 / 5,869
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Selling Options on Futures?

  #5051 (permalink)
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Apologies just that I do not have much to contribute

I will keep posting as I make trades. I am not waiting for spikes in vol prior to making trades of selling spreads

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  #5052 (permalink)
Market Wizard
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On 10/6/15 I entered into spreads where I sold one ESf6p1525 and bought two ESf6p1300 for a net of 2.55 for each of the spreads. Today I traded out of the positions.

IMx3. Exit price 1.15. Days held 10. Actual ROI 7.4%. Monthly ROI 22.6%.

IMx4. Exit price 1.15. Days held 10. Actual ROI 5.6%. Monthly ROI 16.9%.

If I had sold the naked ESf6p1525 IMx3 the Monthly ROI would have been 17.9% vs 22.6% for the safer spread.

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  #5053 (permalink)
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ron99 View Post
On 10/6/15 I entered into spreads where I sold one ESf6p1525 and bought two ESf6p1300 for a net of 2.55 for each of the spreads. Today I traded out of the positions.

IMx3. Exit price 1.15. Days held 10. Actual ROI 7.4%. Monthly ROI 22.6%.

IMx4. Exit price 1.15. Days held 10. Actual ROI 5.6%. Monthly ROI 16.9%.

If I had sold the naked ESf6p1525 IMx3 the Monthly ROI would have been 17.9% vs 22.6% for the safer spread.

Is there a specific reason for exiting on a Friday ?

Or did you sell further spreads at a higher price today ?

Best regards, Myrrdin

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  #5054 (permalink)
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myrrdin View Post
Is there a specific reason for exiting on a Friday ?

Or did you sell further spreads at a higher price today ?

Best regards, Myrrdin

I hit my goal of 50% drop in premium late yesterday.

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  #5055 (permalink)
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ron99 View Post
On 10/6/15 I entered into spreads where I sold one ESf6p1525 and bought two ESf6p1300 for a net of 2.55 for each of the spreads. Today I traded out of the positions.

IMx3. Exit price 1.15. Days held 10. Actual ROI 7.4%. Monthly ROI 22.6%.

IMx4. Exit price 1.15. Days held 10. Actual ROI 5.6%. Monthly ROI 16.9%.

If I had sold the naked ESf6p1525 IMx3 the Monthly ROI would have been 17.9% vs 22.6% for the safer spread.


1. What is your decision for that spread? How it works during a big drop?
2. Would you include in your IM calculation premium received?


Last edited by uuu1965; October 17th, 2015 at 02:14 AM. Reason: editing
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  #5056 (permalink)
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Big Mike View Post
Your last post in this thread was August 22 -- don't let @ron99 bear all the responsibility for the entire thread, everyone that values this thread needs to take the time to share contributions and participate.

Mike

Just an observation, not a criticism of the thread (I found value this thread):

Interesting to observe that interest in this has died down relatively after a bad period (end of Aug) is just like a reflection of market participation. How the mass/herd jump onto a bull market and interest peaks at the top & people lose interest after it drops. The "entering when others are fearful" would dictate great conditions for selling options in S&P after the spike - which it did, with VIX stably decreasing from 50+ to 15 over almost 2 months, the ideal scenario for shorting volatility.

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  #5057 (permalink)
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k20a View Post
Just an observation, not a criticism of the thread (I found value this thread):

Interesting to observe that interest in this has died down relatively after a bad period (end of Aug) is just like a reflection of market participation. How the mass/herd jump onto a bull market and interest peaks at the top & people lose interest after it drops. The "entering when others are fearful" would dictate great conditions for selling options in S&P after the spike - which it did, with VIX stably decreasing from 50+ to 15 over almost 2 months, the ideal scenario for shorting volatility.

The nice thing about hindsight is that it is always 20/20. The problem is that nobody knows the future.
Nobody knew the VIX would have a nice stable drop over 2 months. Nobody knew that at the Sept FOMC statement was to hold rates. What if they had announced a rate increase? Nobody knew if this would be a repeat of Sept 1/2008 on the SPX. Volatility was high that day, imagine if you had decided to sell puts that day.

Sure it might have been ideal but you can see the backtests Ron posted that you could have made good money 6 months ago as well when volatility was an all time low. I did do some selling but reduced my number of contracts. I also bought Puts in VIX to limit my risk if it shot back up during the FOMC statement and I made some money when it dropped.
Preserving capital and reducing risk is not a bad strategy if you know you can make money when things calm down

It is always easy to pick the tops and bottoms looking at historical 20 year charts


Last edited by Chubbly; October 17th, 2015 at 09:44 AM.
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  #5058 (permalink)
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uuu1965 View Post
1. What is your decision for that spread? How it works during a big drop?
2. Would you include in your IM calculation premium received?

Here is the post that discusses the parameters I used for that trade. It also shows how those parameters perform during extreme conditions.

https://futures.io/options-cfd-trading/12309-selling-options-futures-503.html#post523322

The parameters are sell one ES put at a 5.00 delta and buy two ES puts at a 1.50 delta of the same month. They would have made a nice profit on 8/24 and they would have allowed you to ride out other big drops. So they give you the combination of making money on a Black Swan event and also making slightly more ROI during normal times. But just like a naked option they do not protect you from a long term drop in ES.

I do not understand your question #2.

I have found that this strategy does not work at all for CL or NG. Neither puts or calls. Nor any other strategy I have tried. Anybody else have any ideas for those commodities?

I am now working on GC and KC. There may be something there.

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  #5059 (permalink)
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There are some people betting on a total market crash. Look at all the Open Interest in to 100-500 Puts on SPX in Dec 2017

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  #5060 (permalink)
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Chubbly View Post
There are some people betting on a total market crash. Look at all the Open Interest in to 100-500 Puts on SPX in Dec 2017

How does that compare to a year ago? Or several years ago?

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