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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:567,835 / 5,727
Last Reply:9 Hours Ago (12:40 PM) Attachments:642

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Selling Options on Futures?

Old September 25th, 2016, 11:53 PM   #5621 (permalink)
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@ron99

You mentioned selling puts at ~20% under the current market position, given that where do you position the 2 longs? 20% below the current market puts the delta at ~3 so a delta of 1.5 for the longs doesn't make sense. Let me know.

Thanks
/rsm005/

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Old September 26th, 2016, 10:09 AM   #5622 (permalink)
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rsm005 View Post
@ron99

You mentioned selling puts at ~20% under the current market position, given that where do you position the 2 longs? 20% below the current market puts the delta at ~3 so a delta of 1.5 for the longs doesn't make sense. Let me know.

Thanks
/rsm005/

20% under for Jan contract is 5 delta.

If you want to do Dec you are going to have to go to a higher strike for the short to do 2 longs or do one long at 100 under short strike but that doesn't give as as good risk coverage. With 6x it would have rode out 8/24/15 but it had a higher draw down.

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Old September 27th, 2016, 02:30 PM   #5623 (permalink)
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Thanks for the help. I've been selling puts steadily with a lot of excess for the past 4 months or so and it's been slow and steady going but consistent, usually 20 puts sold and 40 puts bought between 88 - 120 days out. The last round, however, was very slow in reaching 50% 52 and 48 days respectively. Usually it's been 35 or so. I'm thinking it may be because the delta was just too high.

Are you finding that you have to open more positions to make up for the lower delta and narrower spread?

Thanks,
/rsm005/

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Old September 27th, 2016, 02:58 PM   #5624 (permalink)
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rsm005 View Post
Thanks for the help. I've been selling puts steadily with a lot of excess for the past 4 months or so and it's been slow and steady going but consistent, usually 20 puts sold and 40 puts bought between 88 - 120 days out. The last round, however, was very slow in reaching 50% 52 and 48 days respectively. Usually it's been 35 or so. I'm thinking it may be because the delta was just too high.

Are you finding that you have to open more positions to make up for the lower delta and narrower spread?

Thanks,
/rsm005/

Yes my current ES are taking a LONG time to get to 50%. But it happens. Stick to the plan.

I will move to Jan for my next position. I am not trading Dec anymore because of the lower delta and low DTE.

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Old September 28th, 2016, 07:59 AM   #5625 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
Anyone selling calls/puts in CL.
seems like a 12% credit spread from the current jan contract has a much better ROI. and lower margins tha ES.

Example sell one put 10-12% away from current january futures price and buy 1 contract of the same month 2 strikes out.

Any thoughts?

THANKS

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Old September 28th, 2016, 11:07 AM   #5626 (permalink)
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rajab View Post
Anyone selling calls/puts in CL.
seems like a 12% credit spread from the current jan contract has a much better ROI. and lower margins tha ES.

Example sell one put 10-12% away from current january futures price and buy 1 contract of the same month 2 strikes out.

Any thoughts?

THANKS

Do you realize that selling a put only $5 from the current futures price is inviting disaster? In the last 3 months CL has dropped $5 three times.

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Old September 28th, 2016, 04:32 PM   #5627 (permalink)
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Exited today my ESz6p1700p1450(2) position after 58 days held. Used 6x. Monthly ROI was 2.4%.

Added ESf7p1710p1480(2) today.

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Old September 29th, 2016, 07:12 PM   #5628 (permalink)
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ES margin is increasing by 7% on Monday

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Old September 30th, 2016, 01:23 AM   #5629 (permalink)
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@ron99


Really, why?

/rsm005/

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Old September 30th, 2016, 12:11 PM   #5630 (permalink)
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rsm005 View Post
@ron99


Really, why?

/rsm005/

Doesn't answer the question specifically but several years ago I did some analysis on CL and NG margin rates and found that one of the best predictors of a margin increase was an increase in the 10 day ATR. While ATR is higher than it was in July and August its quite a but lower than it was earlier in the month when we sold off.

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