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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 October 18th, 2015, 07:45 PM   #5071 (permalink)
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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.

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Old October 19th, 2015, 01:34 AM   #5072 (permalink)
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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?

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Old October 19th, 2015, 02:14 AM   #5073 (permalink)
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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.
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Old October 19th, 2015, 11:01 AM   #5074 (permalink)
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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.

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Old October 19th, 2015, 01:18 PM   #5075 (permalink)
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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.

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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
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Old October 20th, 2015, 06:04 AM   #5076 (permalink)
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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

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Old October 20th, 2015, 08:11 AM   #5077 (permalink)
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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)

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Old October 20th, 2015, 12:13 PM   #5078 (permalink)
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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.

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Old October 20th, 2015, 09:23 PM   #5079 (permalink)
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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.
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Old October 20th, 2015, 09:59 PM   #5080 (permalink)
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https://futures.io/brokers-data-feeds/37424-new-2016-cme-group-transaction-fee-changes.html

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