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Selling Options on Futures?
Started: by ron99 Views / Replies:598,447 / 5,838
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Selling Options on Futures?

  #5351 (permalink)
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@chubbly2

Here's an example of the draw down and behavior of my account if my position is hit by a major market move down... Right now I keep about 10x in my account. As you can see the draw down is big but there are chances to exit while keeping the damage to a minimum...waiting out the storm and then re-entering.

I'm also using some technical indicators for entry/exit. Mostly support/resistance and watching what the guys are doing on the ES-Spoo thread to get an idea of market psychology. Not ideal given most of them scalp but it's good knowledge to have.

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  #5352 (permalink)
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chubbly2 View Post
As I mentioned in an earlier post I am still working on finding optimal hedging for selling puts.

I still sell the ES puts naked. In my opinion there are too many different ways the S&P index moves downwards. Fast, slow, far, or just a bit. And each way needs another protection via long puts.

There are two major ways I protect my positions:

I get out below the 200 dma.

Most of the time the index is above this index, and, thus, most of the time I am able to sell ES puts. This method costs me some money in case I get out, and back in soon after. But in August 2015 my losses were very limited.

Additionally I hold many other short option positions (see separate thread). This allows for using a larger part of the account for trading, and keeps risk for each position at a reasonable level. It is important to check if the positions are sufficiently independent from each other.

Currently I do not hold any ES puts. I intend to wait for a test of the 200 dma before re-entering.

Best regards, Myrrdin

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  #5353 (permalink)
World'sWorstTrader
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myrrdin View Post
I still sell the ES puts naked. In my opinion there are too many different ways the S&P index moves downwards. Fast, slow, far, or just a bit. And each way needs another protection via long puts.

There are two major ways I protect my positions:

I get out below the 200 dma.

Most of the time the index is above this index, and, thus, most of the time I am able to sell ES puts. This method costs me some money in case I get out, and back in soon after. But in August 2015 my losses were very limited.

Additionally I hold many other short option positions (see separate thread). This allows for using a larger part of the account for trading, and keeps risk for each position at a reasonable level. It is important to check if the positions are sufficiently independent from each other.

Currently I do not hold any ES puts. I intend to wait for a test of the 200 dma before re-entering.

Best regards, Myrrdin

What is wrong with having a position with positive THETA and positive VEGA?

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  #5354 (permalink)
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datahogg View Post
What is wrong with having a position with positive THETA and positive VEGA?

Nothing - there are many ways to achieve the same target.

For me diversification of my portfolio and selling ES puts only in "safe" situations (index > 200 dma) is a good solution. But there are many other solutions. The problem: None of these solutions is perfect.

Best regards, Myrrdin

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  #5355 (permalink)
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I just found this CME website QuikStrike Tools. Some interesting data. Options, COT, etc

QuikStrike Options Valuation Tool ? CME Group

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  #5356 (permalink)
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  #5357 (permalink)
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The chart above was 9:30 am ET to 4 pm ET. Here is data looking from settlement to settlement. Not much of a pattern comparing settlement to settlement.

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  #5358 (permalink)
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@ron99

I have a quick question about your spread sheet. I've been playing with some other ideas and struggling with 2 columns that just don't seem to add up, Futures Month and Options Month.

For example, i'd like to see how a 45 day to expiration spread would have behaved during the swoon in January but just can't find the right letter/date combination. Same with August of last year.

Is there a location tells you exactly what options month codes line up with which futures month codes? If not what's the best way to figure that out.

Thanks,
/rsm005/

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  #5359 (permalink)
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rsm005, For ES, the futures months are always quarterly. H, M, U, Z. Nothing else.

There are all 12 option months.
F, G, H option months go with H futures month.
J, K, M go with M.
N, Q, U go with U.
V, X, Z go with Z.

The options month is always the months after the prior futures month up to and including the futures month.

For Corn the futures months are H, K, N, U, Z. And then for example option months J & K go with futures month K.

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  #5360 (permalink)
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Thanks Ron,

I'm not sure if it's something I'm doing but the pivot table seems very fragile. I run the spreadsheet and there's data under historical but I see this in the pivot table...regardless of date or prices..


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Am I missing something?

/rsm005/


Last edited by rsm005; March 28th, 2016 at 12:42 AM. Reason: Grammar
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