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Selling Options on Futures?
Started: by ron99 Views / Replies:582,900 / 5,776
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Selling Options on Futures?

  #5571 (permalink)
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myrrdin View Post
I would assume that this strategy would end up in a margin call long before a 20 % move down of the ES. (I assume that 3X excess factor means that 25 % of the margin are used in the beginning.)

Do I miss anything ?

Best regards, Myrrdin

3X means that if the IM is $500 then $1,500 is held. So IM would be 33% of money held.

Only on 8/24/15 does 3 delta 3X hit margin call. The other two times it hit 20+% drawdown it did not hit margin call. Oct 2014 it hit 22.7% drawdown but percent of account used for margin was at 84.5%. Jan 2016 it hit 26.3% drawdown but percent of account used for margin was at 93.7%.

Attached is spreadsheet with all of the research.

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Register to download File Type: xlsx Option ES Study 10x.xlsx (1.53 MB, 25 views)
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  #5572 (permalink)
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Just wondering if you guys have looked at one short-one long ES not so far OTM?
During periods of low volatility or times when market is not going anywhere
example. current ES is at 2160.00

Sell put at strike 2000
buy put at strike 1990

Use IM 1X1
DTE 90-120
Sell when 50% profit is hit

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  #5573 (permalink)
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Rajab,

Yes I tried that and it won't work.

/rsm005/

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  #5574 (permalink)
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rajab View Post
Just wondering if you guys have looked at one short-one long ES not so far OTM?
During periods of low volatility or times when market is not going anywhere
example. current ES is at 2160.00

Sell put at strike 2000
buy put at strike 1990

Use IM 1X1
DTE 90-120
Sell when 50% profit is hit

I am currently selling naked ES puts between 2000 and 2050, 90 - 120 days out. During periods of low volatility I prefer selling puts with higher Delta, as they seem to suffer less, if a sudden rise of volatility occurs.

Best regards, Myrrdin

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  #5575 (permalink)
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Futures Edge on FIO

Which products do you trade?

 
@ron99

Just a quick question on the 1:2 put spread are you selling the short at a 5 delta or a 6 delta?

/rsm005/

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  #5576 (permalink)
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rsm005 View Post
@ron99

Just a quick question on the 1:2 put spread are you selling the short at a 5 delta or a 6 delta?

/rsm005/

Right now 5 delta. I want to stay 20% OTM because 19% was the largest drop in a 90 day period since 2008. 5 delta about about there right now.

Here is what Sep ES has done from Sep 1 to the Thursday before the third Friday (option expiration) the last 10 years. Up every year except 2008. DD is draw down.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


After that it has dropped 7 of the last 8 years to Oct 3rd. (Net Ch is profit if short futures)

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The Fed meeting this year is 9/21 so it is the week after option expiration.

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  #5577 (permalink)
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Ok. I was going with 6 and 1.5 but will probably change it around. I have a few positions open and most are in the black but not by much, 30% for the one that's been open for 31 days and the others would just break even. Next round will change things but I probably won't make any new trades until after the election. I don't want any real exposure in Nov.

Thanks,
/rsm005/

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  #5578 (permalink)
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rsm005 View Post
Ok. I was going with 6 and 1.5 but will probably change it around. I have a few positions open and most are in the black but not by much, 30% for the one that's been open for 31 days and the others would just break even. Next round will change things but I probably won't make any new trades until after the election. I don't want any real exposure in Nov.

Thanks,
/rsm005/

Everybody already knows who is winning the election so I don't think that will matter to markets.

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  #5579 (permalink)
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ron99 View Post
Everybody already knows who is winning the election so I don't think that will matter to markets.

Who?

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  #5580 (permalink)
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uuu1965 View Post
Who?

Here is link to best US election forecaster
http://projects.fivethirtyeight.com/2016-election-forecast/?ex_cid=rrpromo

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