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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,490 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old January 20th, 2016, 01:45 PM   #5221 (permalink)
Market Wizard
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VIX over 31, other than the 4 days in August, last time VIX was this high was late 2011.
Feb ATM straddle (1810), with 22.5 trading days to expiry, trading 11250 which is 6.2% of the underlying.
Mar ATM straddle trading 14625 which is 8.1% of the underlying.

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Old January 21st, 2016, 03:45 PM   #5222 (permalink)
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It looks like the market is trying really hard to stay in the mid-1850s and not extend losses too far below the August lows from last year. But who knows, the way things are going tomorrow is going to see another 2% drop at opening.

/rsm005/

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Old January 21st, 2016, 04:14 PM   #5223 (permalink)
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To me it looks like almost all of the markets are too volatile to be selling options.

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Old January 21st, 2016, 04:24 PM   #5224 (permalink)
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ron99 View Post
To me it looks like almost all of the markets are too volatile to be selling options.

Are ES calls better priced to sell?
Would you or anyone buy ES puts?

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Old January 21st, 2016, 05:02 PM   #5225 (permalink)
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rajab View Post
Are ES calls better priced to sell?
Would you or anyone buy ES puts?

The ROI on ES calls is horrible and not worth selling.

I have bought puts but you need for the market to move enough down to make up for time erosion of the premium. So only in circumstances when you think a major down move is coming soon.

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Old January 21st, 2016, 06:16 PM   #5226 (permalink)
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@ron99

I totally agree. I'm not really in the mood to do anything until after earnings and the next few fed meetings..... There are just too many unknowns.

I will say this, your spread model holds up very well....it can survive almost 200 points in 20 days before reaching the limit..I've been running backtests every few days. It does rely on a VIX below 30 though.

/rsm005/

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Old January 21st, 2016, 08:14 PM   #5227 (permalink)
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Anyone know how advantages it is buying OTM ES puts versus SPY or SPX?

I know ron99 does not buy or sell options on stocks.

Just wanted to know which on of the above is more profitable and moves faster ITM. When the marker tanks.

For example if SPY is at 170 what would ES be at?

I understand multiple variables go in to option pricing. But maybe a rough estimate.

Anyone?

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Old January 22nd, 2016, 09:49 AM   #5228 (permalink)
Market Wizard
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rajab View Post
Anyone know how advantages it is buying OTM ES puts versus SPY or SPX?

I know ron99 does not buy or sell options on stocks.

Just wanted to know which on of the above is more profitable and moves faster ITM. When the marker tanks.

For example if SPY is at 170 what would ES be at?

I understand multiple variables go in to option pricing. But maybe a rough estimate.

Anyone?

US Taxes are lower on futures products than stock products. Futures and options on futures qualify for Sec 1256 treatment.

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Old January 22nd, 2016, 04:11 PM   #5229 (permalink)
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SMCJB View Post
VIX over 31, other than the 4 days in August, last time VIX was this high was late 2011.
Feb ATM straddle (1810), with 22.5 trading days to expiry, trading 11250 which is 6.2% of the underlying.
Mar ATM straddle trading 14625 which is 8.1% of the underlying.

VIX peaked just below 32 hours after posting that and its now at 23.
2 days later Feb ATM (1895) is trading 8400 (-2850 -25.4%) and Mar is 11900 (-2725 -18.8%)

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Old January 22nd, 2016, 05:16 PM   #5230 (permalink)
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Wondering if oil found a floor in the high 20s.

/rsm005/

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