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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,720 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old August 19th, 2016, 11:58 AM   #5541 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
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rsm005 View Post
@ron99

Ron,


I checked out the reports on your tableau site to confirm the seasonal trend for Sept. The trend looks to be flat to slightly up, is that what you see. I want to make sure I'm looking at it correctly.

Thanks,
/rsm005/

Yes looking at ESz, when you remove 2008, you get upward trend for Sep and Oct. Flat for Nov.

2014 & 2015 were flat Sep.

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https://public.tableau.com/profile/ron.h8870#!/

Sep does rise the week before option expiration which would be 9/16 this year. It then tends to give back that rise after the option expiration. So 9/15/16 should be the worst day to sell puts.

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Old August 20th, 2016, 06:15 PM   #5542 (permalink)
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50%

@ron99

Point of follow-up on the 50% number. Are you using 50% the value of the short put or the spread? I'm in a position right now where the short cord has reached well over 60% decay but the spread is still 40% because the long positions are reducing the value of the spread meaning an exit right now will lower my overall TCO.

Thanks

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Old August 20th, 2016, 06:37 PM   #5543 (permalink)
Market Wizard
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rsm005 View Post
@ron99

Point of follow-up on the 50% number. Are you using 50% the value of the short put or the spread? I'm in a position right now where the short cord has reached well over 60% decay but the spread is still 40% because the long positions are reducing the value of the spread meaning an exit right now will lower my overall TCO.

Thanks

Spread. Monthly ROI might be lower if you exit now rather than wait for spread to hit 50%.

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Old August 21st, 2016, 05:35 AM   #5544 (permalink)
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Account Balance and Exit prices?


uuu1965 View Post
My post isn`t direct to your strategy but however to the same topic: how to find the best strategy for options selling (in this case ES options).
After many studies I didn`t find any universal strategy for ES options selling (either too large cushion or too long days held ending with a loss) therefore I decide to focus to simple risk management (Money Management).

I just finish a big research for ES options selling from 20130102 till 20160810:
* Basic: put spread 1:2
* DTE: >90
* Enter: random and mechanically
* Short strike: 20% from ES price (thanks @ron99)
* Long strike: apr. 0.5 deltas x 2, just for IM reduction not for covering
* Exit: 50% premium drop
* Stop: 1/2 from profit, like @myrrdin (f.e., if a profit is calculated 100$, stop is 50$)

The last sheet of Excel is summary for 3,5 years trading.
The biggest surprise are the result of 2015: you can ending the year with profit having win/loss rate 16:18!
This research just show simple MM advantage. May be you need additional signal for enter: IV spike, ES % 1-2 days price drop etc.

UUU1965, Thanks for your hard work! I have already commented earlier for the great work which can protect from the big down move.
I have gone thru your Excel file and will be thankful if you can answer the following:
1. In your back-testing, are your exits based on the end of the day 'Close' prices or intra-day prices?( I wanted to do it but my TOS back-testing platform gives only day 'Close' price.)
2. I noticed that your formula for Acc Balance = (Current margin + (Profit/Loss) * (-1))/2* IM) is different from Ron's which is (Current margin /(2* IM+(Profit/Loss) * (-1) ) . For small values of P/L it doesn't make much difference but for large values, it makes.
Regards,
Dilip


Last edited by dvbattul; August 21st, 2016 at 06:19 AM. Reason: To add name/re-pharse
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Old August 21st, 2016, 05:45 PM   #5545 (permalink)
Market Wizard
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Futures Edge on FIO

uuu1965 View Post
*YEs, all commissions are included (in my case 6.12$ per round)
* All enter and close price are EOD.

Your column I (P/L) on the Summary sheet does not have commissions and fees subtracted.

The commissions and fees on the 101 trades is more than half of your profit.

I added 2 columns to your Summary page. Column O is a running balance with commissions and fees subtracted. I had to start the account with $2,600 so that the account had enough money on 20150901 to acquire a position. The account balance had to be higher than $2,768 (IMx2) at the close of the 20150831 trade to add the new position on 20150901.

Your profit for 2013 was 445.72 or 19.8%. For 2014 profit was 144.36 or 4.7%. For 2015 profit was 371.76 or 11.7%. For 2016 profit is 787.80 or 22.1%.

Instead of a profit of $3,604 before commissions and fees, the net profit is $1,749.64.

Column P is just to make sure you had enough money in the account to add a new position.

Attached Files
Register to download File Type: xlsx ES ar MM1-2, 20% Ron.xlsx (1.46 MB, 12 views)
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Old August 21st, 2016, 05:48 PM   #5546 (permalink)
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dvbattul View Post
Hi Ron,
What do you think about having stop of 50% profit as suggested by UUU1965? It just needs 2XIM cash.
Regards,
Dilip

I don't think the ROI is high enough. See my post above.

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Old August 22nd, 2016, 12:19 AM   #5547 (permalink)
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@ron99

I'm finding the settlement price vs the spot exit price is so radically different. I've attached a screenshot of my current positions to highlight it. Are you using your settlement price to calculate everything or the bid/ask?

All numbers here have commissions/fees subtracted.

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/rsm005/

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Old August 22nd, 2016, 04:01 AM   #5548 (permalink)
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dvbattul View Post
UUU1965, Thanks for your hard work! I have already commented earlier for the great work which can protect from the big down move.
I have gone thru your Excel file and will be thankful if you can answer the following:
1. In your back-testing, are your exits based on the end of the day 'Close' prices or intra-day prices?( I wanted to do it but my TOS back-testing platform gives only day 'Close' price.)
2. I noticed that your formula for Acc Balance = (Current margin + (Profit/Loss) * (-1))/2* IM) is different from Ron's which is (Current margin /(2* IM+(Profit/Loss) * (-1) ) . For small values of P/L it doesn't make much difference but for large values, it makes.
Regards,
Dilip

1. Enter/exit price: EOD prices
2. ???? For calculation I use worksheet prepared by @ron99 and wich was posted in forum (PC-SPAN)

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Old August 22nd, 2016, 05:27 AM   #5549 (permalink)
Trading for Fun
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Favorite Futures: commodyties
 
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ron99 View Post
Your column I (P/L) on the Summary sheet does not have commissions and fees subtracted.

The commissions and fees on the 101 trades is more than half of your profit.

I added 2 columns to your Summary page. Column O is a running balance with commissions and fees subtracted. I had to start the account with $2,600 so that the account had enough money on 20150901 to acquire a position. The account balance had to be higher than $2,768 (IMx2) at the close of the 20150831 trade to add the new position on 20150901.

Your profit for 2013 was 445.72 or 19.8%. For 2014 profit was 144.36 or 4.7%. For 2015 profit was 371.76 or 11.7%. For 2016 profit is 787.80 or 22.1%.

Instead of a profit of $3,604 before commissions and fees, the net profit is $1,749.64.

Column P is just to make sure you had enough money in the account to add a new position.

1. Yes, you are right: I include all fees in target determination not in P/L calculation. With commissions the picture is quite another - you "cut my wings". Thanks for helping.

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Old August 22nd, 2016, 09:45 AM   #5550 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
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Thanks: 634 given, 3,903 received



rsm005 View Post
@ron99

I'm finding the settlement price vs the spot exit price is so radically different. I've attached a screenshot of my current positions to highlight it. Are you using your settlement price to calculate everything or the bid/ask?

All numbers here have commissions/fees subtracted.

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/rsm005/

I don't understand your Current Premium. For your first position you have 1.95. The settlement for that one on Friday 8/19/16 was 2.65. 4.85 for the 1500 and 1.10 for each of the longs.

You have to use the prices off of your Daily Statement from your broker. You can't use the Last prices on Zaner360. When the markets open for the next day you can then use Prior Settle in the Quotes pane on Zaner360.


Last edited by ron99; August 22nd, 2016 at 12:15 PM.
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