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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:569,184 / 5,728
Last Reply:December 6th, 2016 (05:26 PM) Attachments:642

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Selling Options on Futures?

Old October 21st, 2015, 03:20 AM   #5081 (permalink)
Trading Apprentice
Munich Germany
 
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jokertrader View Post
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

Both spreads are debit spreads. Ron is using credit spreads. I think the mentioned delta numbers are wrong, f.e. for Jan 29th, a delta around 1.5 is a put with a strike less than 1400. A 1760 Put is around delta 11.
A example following Rons strategie would be:
Short 1x ES 1610 Put: 4.9 Delta
Long 2xES 1375 Put: 1.44 Delta

Mid Point Price: -4.00

IM/MM: 1500/1200

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Old October 21st, 2015, 05:59 AM   #5082 (permalink)
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Need help with TWS option chain

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Changed a bit from yesterday but thanks to @satghost for noticing.

In TOS, the delta's that satghost posted are correct. I checked
Short 1x ES 1610 Put: 4.9 Delta
Long 2xES 1375 Put: 1.44 Delta

In TWS (screenshot attached), i am still seeing things differently - what am i doing wrong?
Right now (its 5 am EST)
Jan 29th, ES 1750 seems to have delta of 5.27 and
ES 1670 seems to have delta of 1.62

is it because market is not open?
would appreciate the help
thnx
J

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Old October 21st, 2015, 06:45 AM   #5083 (permalink)
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Way around the WSJ paywall




Here's a great trick I learned a while ago.

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Old October 21st, 2015, 07:02 AM   #5084 (permalink)
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jokertrader View Post
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Changed a bit from yesterday but thanks to @satghost for noticing.

..

In TWS (screenshot attached), i am still seeing things differently - what am i doing wrong?
Right now (its 5 am EST)
Jan 29th, ES 1750 seems to have delta of 5.27 and
ES 1670 seems to have delta of 1.62

is it because market is not open?
would appreciate the help
thnx
J

Do not think, this has to do with the closed market, I have attached the current option chain for ES Jan 29 '16 from my TWS (about 6 am EST)

Found it: Your screenshoot is for December 18!!!! Look at your uper left corner ...

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Selling Options on Futures?-es.jpg  
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Old October 21st, 2015, 08:24 AM   #5085 (permalink)
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sorry to keep following up

Futures Edge on FIO
What should the upper left hand corner need to be? See below on last trading day it says Jan29th
I can select only ES futures for either Dec 18 or March on the contract and then adjust the last trading day

Again what am i doing wrong?


Last edited by jokertrader; October 21st, 2015 at 08:30 AM.
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Old October 21st, 2015, 08:46 AM   #5086 (permalink)
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I do not know, how to get your display.

But, the prices and numbers your picture is showing are for the Dec 18' 15 aka ESZ15.
The expiration of this future is DEC 18 '15 08:30 CST.

I do not think, the ESZ15 (or an option for this underlying) will be traded after the DEC 18 '15 expiration.
The last trading day for this future can not be Jan 29th 2016.

If you want to sell a Option for Jan 29th, than the underlying is the ESH6 Mar 18 '16 Future.

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Old October 21st, 2015, 09:24 AM   #5087 (permalink)
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Much Much thanks got it

march ES put expiring Jan 29th:
1630 Put at 5.10 delta
1375 Put at 1.54 delta
Mid Point: 2.85 Credit

awesome .. thanks for pointing out the right contract to use

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Old October 21st, 2015, 09:53 AM   #5088 (permalink)
World'sWorstTrader
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COT

For the cftc.gov site and the COT (Commitments of Traders) does anyone have a source for a way of using the COT
in chart form. Can the information be downloaded to a spread sheet and used conveniently, or is there a third
party that supplies the information in graphical form?

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Old October 21st, 2015, 10:07 AM   #5089 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
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Vega


ron99 View Post
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.

Probably each person has different ways of viewing risk. Since the sell off in August I have required initially for positions that the ratio of (Vega/Theta) be <= 2.0 with some exceptions. This reduces the DTE to
40 - 45 days. This is at variance with previous positions, but some positions with large DTE have a (Vega/Theta) of
30 or more. To me this ratio implies a very high sell off risk.

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Old October 21st, 2015, 10:25 AM   #5090 (permalink)
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datahogg View Post
For the cftc.gov site and the COT (Commitments of Traders) does anyone have a source for a way of using the COT
in chart form. Can the information be downloaded to a spread sheet and used conveniently, or is there a third
party that supplies the information in graphical form?

I get this data from the platform of Floyd Upperman, who sells these data in a graphical form. Many things can also be downloaded to a spread sheet. Good quality data, but not for free.

Best regards, Myrrdin

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