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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,857 / 5,727
Last Reply:11 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old June 30th, 2016, 09:50 PM   #5461 (permalink)
Market Wizard
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huybebe2009 View Post
I just want to know what would happen in 2000 - 2002 to option sellers compared to 2008. Would they experience substantial loss as many option sellers did in 2008?

Regarding the margin requirements problem, what brokers you think are the best for options on futures trading?

I wasn't trading options in 2000. I doubt anyone else here was either.

I use DeCarley Trading. Carley Garner. I am very happy with her service.
DeCarley Trading - Commodity Broker - Options, Futures, Integrity

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Old June 30th, 2016, 10:30 PM   #5462 (permalink)
Market Wizard
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rsm005 View Post
The behavior of the spreads is very strange given how things shook out in August. Wonder why the spreads had a larger drawdown than the naked positions.

Based on this and some of the other testing you've done are you thinking of changing your put strategy? I'm considering moving to a 1 and 1 strategy rather than a 1 and 2 simply because exiting is so difficult. I'm doing my own back testing on that.

/rsm005/

Volatility didn't get as high in June as last Aug. The problem with backtesting is that not every situation will play out the same.

I am looking at 1 to 1, strikes 100 apart, to get the strikes closer together and have less total possible risk but higher ROI.

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Old June 30th, 2016, 11:18 PM   #5463 (permalink)
Market Wizard
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Here is the monthly performance for his CTA since 1996. A lot of info on this website about his performance and strategy.

CTA Profiles Autumn Gold

Since 2002 he has only had 2 losing years. 2008 where he lost 40% and 2011 where he lost 18.8%.

Aug 2015 he lost 12.75% in the month and lost 14% in Dec but made 3.2% for the year.

Since Mar 1996 he has averaged 10% per year.

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Old July 1st, 2016, 10:09 AM   #5464 (permalink)
World'sWorstTrader
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huybebe2009 View Post
Thank you datahogg,

During your trading years, can you recall how many times have you experienced this particular situation? Did it in anyway negatively affect your trading strategy and cause you unexpected loss/margin call?

The sell off last August (2015) was painful. I did change (for better or worse) from naked put selling to delta neutral ratio spreads, and delta neutral calendar ratio spreads. (Long a far month and short 2 or more near months.). The BREXIT
did not affect me, but actually helped some.

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Old July 1st, 2016, 11:12 AM   #5465 (permalink)
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ron99 View Post


Why do you want to know about 2000-2002?

Yes some places will jack up margin requirements above exchange minimum with no prior notice. IB, TOS, OptionsXpress to name a few. Run from them as fast as you can. Unpredictable margin requirements, especially when markets are moving against you, is a horrible trading situation.

Well, we have an ever extending negative list of brokers. I wonder if we could a few broker names to the positive list (which up to now only includes Decarley): Brokers with SPAN usage, no intraday margin calculations , no auto-liquidations ...

Thanks

p.s. Is Decarley different from Gain, Zaner riskwise?


Last edited by Forex37; July 1st, 2016 at 11:15 AM. Reason: p.s.
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Old July 1st, 2016, 11:53 AM   #5466 (permalink)
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Forex37 View Post
Well, we have an ever extending negative list of brokers. I wonder if we could a few broker names to the positive list (which up to now only includes Decarley): Brokers with SPAN usage, no intraday margin calculations , no auto-liquidations ...

Thanks

p.s. Is Decarley different from Gain, Zaner riskwise?

I work with DeCarley and with RJO, and I am happy with both of them. DeCarley provides outstanding service, RJO provides more information on fundamentals (and charts) of commodities. Both have reasonable commissions (for medium to long term traders), but are more expensive than IAB.

In my opinion you can add RJO to the positive list.

Best regards, Myrrdin

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Old July 1st, 2016, 12:20 PM   #5467 (permalink)
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Forex37 View Post
p.s. Is Decarley different from Gain, Zaner riskwise?

I trade with DeCarley using Zaner/Gain.

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Old July 1st, 2016, 01:57 PM   #5468 (permalink)
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myrrdin View Post
I work with DeCarley and with RJO, and I am happy with both of them. DeCarley provides outstanding service, RJO provides more information on fundamentals (and charts) of commodities. Both have reasonable commissions (for medium to long term traders), but are more expensive than IAB.

In my opinion you can add RJO to the positive list.

Best regards, Myrrdin


I spoke to RJO (albeit their London office). When I mentioned "naked", this was before August, they utterly refused to open an account.

Thanks and kind regards

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Old July 1st, 2016, 03:56 PM   #5469 (permalink)
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datahogg View Post
Probably because of the BREXIT, usually only occurs on big events.


huybebe2009 View Post
Thank you datahogg,

During your trading years, can you recall how many times have you experienced this particular situation? Did it in anyway negatively affect your trading strategy and cause you unexpected loss/margin call?

There's two possible questions here.

The first is "how often are margins increased significantly and unexpectedly by the exchange?" and the second is "how often do brokers change their margin requirements above and beyond the exchange requirements".

The first happens all the time, and the more volatile the product, the more it will happen and the greater the magnitude of the change. Note this is decided by the exchange and will effect you no matter where you clear.

The second depends on what type of broker you use. There seem to be a lot of 'retail focused' brokers out there that seem to change their margin requirements regularly on little to no notice. On the other hand larger FCMs that clear larger accounts, and normally charge SPAN (aka exchange minimum) margins (initially incorrectly wrote commissions), rarely if ever charge anything other than SPAN margins.


Last edited by SMCJB; July 1st, 2016 at 05:27 PM. Reason: changed "commissions" to "margins" in last line
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Old July 1st, 2016, 05:04 PM   #5470 (permalink)
Market Wizard
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What's weird is that some commodities have their margin changed by the exchange frequently. Others rarely.

ES margin was changed on 7/25/14. It wasn't changed again until 1/29/16. So it wasn't changed during the crash of Aug 2015. But it has been lowered 3 times this year.

So in other words it is extremely unpredictable.

Most times it hasn't bothered me. But when the market is having a huge move and then they raise margin during that it has caused major problems. Gold has done that several times.

Here you can find CME margin changes by product up until 3/10/16.
http://www.cmegroup.com/clearing/risk-management/historical-margins.html

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