Selling Options on Futures? - Options on Futures | futures io social day trading
futures io futures trading


Selling Options on Futures?
Updated: Views / Replies:718,044 / 6,377
Created: by ron99 Attachments:737

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 737  
 
Thread Tools Search this Thread
 

Selling Options on Futures?

  #5071 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


datahogg View Post
Ron99 may I ask approximately what is the ratio of (Vega/Theta) (on average) when you open positions?

I never look at any technicals. That is because I feel the money you leave on the table waiting for the best time to trade you probably will never get back.

Reply With Quote
 
  #5072 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 99 since Jan 2013
Thanks: 366 given, 70 received


ron99 View Post
.

I do not understand your question #2.

If you open position and receive a premium (f.e. 100 $ per position) would you include this premium in your account balance calculation?

Reply With Quote
 
  #5073 (permalink)
Trading Apprentice
Munich Germany
 
Futures Experience: Advanced
Platform: TWS
Favorite Futures: ES
 
Posts: 13 since Sep 2015
Thanks: 50 given, 14 received


I am using IB and therefor trading in another margin world as seen here.

Instead of


ron99 View Post
..
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 am using reverse Calendar Puts.
F.e. selling one ES put at 3.00 delta (or even higher if you want to take more risk) and buying one ES put (same strike, but one month less DTE than the sold one).
Compared to the naked put, this will cut my premium by 50 %, but will use only 10 % of the margin of the naked put.
Instead of the sell one, buy two puts, it will also use only 30% margin.

But I do not know, if this would eliminate the margin call problems as seen in Aug/Sept.

I think the black swan protection of this is as good as the -1:+2 spread protection. But it is also no protection against a long term drop in ES.

Any opionions?


Last edited by satghost; October 19th, 2015 at 11:34 AM.
Reply With Quote
 
  #5074 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


uuu1965 View Post
If you open position and receive a premium (f.e. 100 $ per position) would you include this premium in your account balance calculation?

No because on your statement the firm removes the current value of the option. For example, if you sell an option for $100 and the settlement today is $90 your account is only up $10 not $100.

You should include the $10 but not the $100.

Reply With Quote
The following user says Thank You to ron99 for this post:
 
  #5075 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


satghost View Post
I am using IB and therefor trading in another margin world as seen here.

Instead of



I am using reverse Calendar Puts.
F.e. selling one ES put at 3.00 delta (or even higher if you want to take more risk) and buying one ES put (same strike, but one month less DTE than the sold one).
Compared to the naked put, this will cut my premium by 50 %, but will use only 10 % of the margin of the naked put.
Instead of the sell one, buy two puts, it will also use only 30% margin.

But I do not know, if this would eliminate the margin call problems as seen in Aug/Sept.

I think the black swan protection of this is as good as the -1:+2 spread protection. But it is also no protection against a long term drop in ES.

Any opionions?

Using SPAN margin your spread (ESx5p1660:ESv5p1660) goes on margin call 9/1/15 with a 57.5% drawdown. The spread on the right side of the table is using 5.00 delta short and two 1.50 delta longs for the same month as the short.

I do not know what IB would have done.

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


I suggest you and anyone else go to the PC-SPAN thread and download the latest XLS-SPAN Excel spreadsheet. Then download the CME and/or ICE files for each date you want to run a Track Historic backtest. Then you can run many different backtests to see how they would have performed.


Last edited by ron99; October 19th, 2015 at 01:28 PM. Reason: Wrong data
Reply With Quote
The following 3 users say Thank You to ron99 for this post:
 
  #5076 (permalink)
Trading Apprentice
Hamburg, Germany
 
Futures Experience: Intermediate
Platform: IB, Zaner 360
Broker/Data: IB, DeCarley
Favorite Futures: ES
 
Posts: 15 since May 2014
Thanks: 14 given, 3 received

Hello ron99,

thanks for this thread. Your new strategy is to sell 1 put and buy 2 lower ones. Did you also do the backtest from 1/1/2013 to see how the ROI is changed?

Thanks, Uwe

Reply With Quote
 
  #5077 (permalink)
Elite Member
NYC, NY
 
Futures Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG and GC, 6A, 6E
 
Posts: 399 since May 2013
Thanks: 322 given, 148 received

Looking at IB today same Ron strategy

This is more to check margins at IB and do a practice for myself on identifying the right trades

Jan 29th expiration:
DTE: 101
Short 1x ES 1745 Put: 5.21 Delta
Long 2xES 1660 Put: 1.47 Delta (next put is 1.74 Delta)

Mid Point Price: 3.60
IM: 183

**********

Jan 15th expiration:
DTE: 87
Short 1x ES 1760 Put: 4.96 Delta
Long 2xES 1685 Put: 1.47 Delta (next put is 1.60 Delta)

Mid Point Price: 3.00
IM: 170


Of course me personally would wait for a down day and I am leaning more towards the Jan 29th (if i was to make the trade today.. say today being a down day)

Reply With Quote
 
  #5078 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


uwevoelker View Post
Hello ron99,

thanks for this thread. Your new strategy is to sell 1 put and buy 2 lower ones. Did you also do the backtest from 1/1/2013 to see how the ROI is changed?

Thanks, Uwe

No.

That would be a good project for someone else to do.

Reply With Quote
 
  #5079 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary

CME raising option fees starting next year.


Quoting 
Non-Member E-Mini Equity Futures Globex Fee will increase from $0.76 to $0.77 (+$0.01)

CME Ag Options Globex Fee will increase to be equivalent to CME Ag Futures across all customer types:

Non-member fees on Ag options traded on Globex will rise to $1.34, matching the fees on futures, from the current 70 cents.

http://www.cmegroup.com/content/dam/cmegroup/company/membership/membernet/files/No-4-SER-2016-Fee-Changes-VF.pdf

I guess this 1Q profit wasn't enough.


Quoting 
Profit rose to $330.4 million, or 98 cents a share, from $266.8 million, or 79 cents, a year earlier.

Revenue increased 8.4% to $842.7 million. Clearing and transaction fees, which account for about 85% of the company’s top line, climbed 8.6% to $708.2 million.

http://www.wsj.com/articles/cmes-profit-rises-on-higher-trading-volumes-1430392342


Last edited by ron99; October 20th, 2015 at 09:50 PM.
Reply With Quote
 
  #5080 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,237 since Jun 2009
Thanks: 29,350 given, 83,150 received


@ron99

https://futures.io/reviews-brokers-data-feeds/37424-new-2016-cme-group-transaction-fee-changes.html

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

Reply



futures io > > > > Selling Options on Futures?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Trading Futures with options as protection Gooffy2010 Commodities Futures Trading 7 November 7th, 2017 12:06 PM
Crude Oil (CL) futures inverse pairing options Big Mike Commodities Futures Trading 8 December 12th, 2013 12:00 PM
Recommend futures, options Broker? sam1197 Reviews of Brokers and Data Feeds 17 March 27th, 2013 01:42 AM
Selling Njniatrader sam1197 NinjaTrader 22 June 28th, 2012 01:40 PM
Zen-Fire Futures options tici88 Reviews of Brokers and Data Feeds 1 July 30th, 2011 10:16 AM


All times are GMT -4. The time now is 11:01 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-11-18 in 0.08 seconds with 19 queries on phoenix via your IP 54.198.210.67