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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,733 / 5,727
Last Reply:3 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old July 19th, 2016, 05:58 PM   #5501 (permalink)
Trading Apprentice
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Thank you very much for your reply myrrdin, ron99

Can someone help me clarify this information?

How did you calculate SPAN margin for a credit spread on CME website? I've attached a picture and I wonder if the number "$14,360" is the margin I am required to put in?

If that is the case, why currently TOS requires only approx. $7,700 for the same amount of contracts (LONG 20 P1950 and SHORT 20 P2000). Pictures are also attached.

If that is not the case, can you guys show me the right way to calculate the SPAN margin for vertical credit spread on CME website? Greatly appreciate

Attached Thumbnails
Selling Options on Futures?-screen-shot-2016-07-19-2.11.07-pm.png   Selling Options on Futures?-screen-shot-2016-07-19-1.59.28-pm.png  
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Old July 19th, 2016, 06:35 PM   #5502 (permalink)
Market Wizard
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huybebe2009 View Post
Thank you very much for your reply myrrdin, ron99

Can someone help me clarify this information?

How did you calculate SPAN margin for a credit spread on CME website? I've attached a picture and I wonder if the number "$14,360" is the margin I am required to put in?

If that is the case, why currently TOS requires only approx. $7,700 for the same amount of contracts (LONG 20 P1950 and SHORT 20 P2000). Pictures are also attached.

If that is not the case, can you guys show me the right way to calculate the SPAN margin for vertical credit spread on CME website? Greatly appreciate

I can't get CME CORE to work. I got the same margin as you did.

Most of us use XLS-SPAN Excel spreadsheet created by Dudetooth. It can be found here.
https://futures.io/options-futures/29125-pc-span-38.html#post562793

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Old July 20th, 2016, 02:24 PM   #5503 (permalink)
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Interesting how when doing average prices for a seasonal chart that one or two years can affect the average a lot.

Here is Sep ES average for 7 years (2009-2015). You would think that prices should start dropping. (Yellow line is average price)
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Here is same chart with 2011 removed. 2011 is when Congress was threatening to not raise the debt limit and the credit rating of the US was lowered.
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Here is chart with 2011 & 2015 removed. 2015 had the price crash late in August.
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Flat prices in Aug. If you assume that 2011 & 2015 were abnormal years, likely, then the recent seasonal trend for August is flat.

These charts are available at my Tableau page. Seasonal Futures ES https://public.tableau.com/profile/ron.h8870#!/

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Old July 20th, 2016, 02:28 PM   #5504 (permalink)
Market Wizard
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Looking at the median rather than the average will reduce the effect of the outliers considerably.

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Old July 20th, 2016, 06:03 PM   #5505 (permalink)
Market Wizard
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Futures Edge on FIO

Are you a NinjaTrader user?

 
I just stumbled upon this, kind of amazed I wasn't aware of it already, but...

An approximation for an at-the-money option with a short time to maturity is:

call = put = StockPrice * 0.4 * volatility * Sqrt( Time )

For more details take a look at Quantitative Finance Stack Exchange: options - What are some useful approximations to the Black-Scholes formula? the most popular answer gives a really good explanation of why.

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Old August 1st, 2016, 01:54 AM   #5506 (permalink)
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ron99 View Post
Interesting how when doing average prices for a seasonal chart that one or two years can affect the average a lot.

Here is Sep ES average for 7 years (2009-2015). You would think that prices should start dropping. (Yellow line is average price)
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Here is same chart with 2011 removed. 2011 is when Congress was threatening to not raise the debt limit and the credit rating of the US was lowered.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Here is chart with 2011 & 2015 removed. 2015 had the price crash late in August.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Flat prices in Aug. If you assume that 2011 & 2015 were abnormal years, likely, then the recent seasonal trend for August is flat.

These charts are available at my Tableau page. Seasonal Futures ES https://public.tableau.com/profile/ron.h8870#!/

Ron,

Quick question, have you done seasonals like this for every month? I've been quietly trading the 1:2 spread in lots of 10 with a max of 50 at any one time. So far it's working well but I'm taking Nov. off for obvious reasons and if Trump gets elected somehow I'm gonna re-think the entire strategy .

/rsm005/

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Old August 1st, 2016, 11:48 AM   #5507 (permalink)
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rsm005 View Post
Ron,

Quick question, have you done seasonals like this for every month? I've been quietly trading the 1:2 spread in lots of 10 with a max of 50 at any one time. So far it's working well but I'm taking Nov. off for obvious reasons and if Trump gets elected somehow I'm gonna re-think the entire strategy .

/rsm005/

If you go to the link you can look at any month for many commodities. Over the weekend I added some so that CL, NG, ZC, ZS, ZW, LH, ES are now available. More to come as I can find the time.

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Old August 3rd, 2016, 03:54 AM   #5508 (permalink)
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Money management

Hi,
I read 2 articles about MM:
Simple money management wins over time | Futures Magazine
How much trading capital is enough? | Futures Magazine

I do some homework (please see Excel) and get apr. the same results.
A few questions:
* How the author calculated necessary capital for the trade?

Thanks in advance!

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Register to download File Type: xlsx MM calculation.xlsx (111.1 KB, 13 views)
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Old August 3rd, 2016, 02:29 PM   #5509 (permalink)
Market Wizard
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uuu1965 View Post
Hi,
I read 2 articles about MM:
Simple money management wins over time | Futures Magazine
How much trading capital is enough? | Futures Magazine

I do some homework (please see Excel) and get apr. the same results.
A few questions:
* How the author calculated necessary capital for the trade?

Thanks in advance!

I don't know how he came up with the $30,000 number.

For one market it should be $2,000 IM + 8 consecutive losses of $1,000 = $10,000 or 5X Margin Factor.

For 3 markets it should be $6,000 IM + 2 consecutive losses of $3,000 = $12,000 or 2X Margin Factor.

And I do agree with him that extra should be added on top of these numbers because reality doesn't match theory.

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Old August 4th, 2016, 06:57 PM   #5510 (permalink)
Elite Member
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Let's talk about exits for a sec.


Based on how the discussion has been going over the past few posts I wanted to see if there has been any additional thought given to exiting a position when it moves against you. Since most of us have not moved to or are considering moving to much higher margin excesses, in my case 9x-12x and with Ron maybe 6x or more, how has that affected your exit or roll strategy?

For me I'm thinking of rolling out when the market hits 1 standard deviation or earlier...perhaps when it breaks a major technical Resistance line. Does anyone have other thoughts to add?

Thanks,
/rsm005/

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