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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,200 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old October 3rd, 2016, 02:49 AM   #5631 (permalink)
Trading Apprentice
Montreal quebec
 
Futures Experience: Advanced
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Hey, that's a nice thread you got there. I'm trading a similar strategy.

I sell 85%-95% otm strangles on CL (1.5 to 2SD). I take profit at 50% credit and have a stop loss of 2x the credit received. I only trade CL cause it has a very low initial margin.
I risk 30-60% of my trading capital, 3 strangles with different strike prices and days to expiration.
My min DTE is 25 days and max is 70 days.

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Old October 3rd, 2016, 11:49 AM   #5632 (permalink)
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Pirolyx View Post
Hey, that's a nice thread you got there. I'm trading a similar strategy.

I sell 85%-95% otm strangles on CL (1.5 to 2SD). I take profit at 50% credit and have a stop loss of 2x the credit received. I only trade CL cause it has a very low initial margin.
I risk 30-60% of my trading capital, 3 strangles with different strike prices and days to expiration.
My min DTE is 25 days and max is 70 days.

Can you give us an example of what you would put on now?

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Old October 3rd, 2016, 04:55 PM   #5633 (permalink)
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ron99 View Post
Can you give us an example of what you would put on now?

The implied volatility is pretty low right now, I closed most of my positions in the past days. I still have a CL 40/58 strangle on, 10 deltas so that's about 90% otm. Opened it at 0.76$ 5 days ago now it's around 0.45$. That's about 40% profit in 5 days, looking to close it at 50% credit in the next days.
When volatility is low I only open 1 strangle. I will open 1-2 strangles when the volatility rises a little bit.

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Old October 4th, 2016, 11:46 AM   #5634 (permalink)
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Old October 4th, 2016, 03:00 PM   #5635 (permalink)
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Pirolyx View Post
Hey, that's a nice thread you got there. I'm trading a similar strategy.

I sell 85%-95% otm strangles on CL (1.5 to 2SD). I take profit at 50% credit and have a stop loss of 2x the credit received. I only trade CL cause it has a very low initial margin.
I risk 30-60% of my trading capital, 3 strangles with different strike prices and days to expiration.
My min DTE is 25 days and max is 70 days.

Do you put on both sides of your strangle at once or do you leg into them depending on price movement? How have you done?
Thanks,
Raven

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Old October 5th, 2016, 03:47 AM   #5636 (permalink)
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Raven View Post
Do you put on both sides of your strangle at once or do you leg into them depending on price movement? How have you done?
Thanks,
Raven

I put on both sides at once.
I doubled my account twice, in 2013 and 2014. 2015 was flat. I was up +70% but lost it all in 2-3 trades. Now I'm around 65% YTD. I'm trading a relatively small account (40-50k). For now I don't feel comfortable using this strategy in my retirement account because I don't know how to hedge against big moves. I win around 95% of my trades but my losers are pretty big.

I only have to risk 30% of the account to make 100% yearly.

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Old October 5th, 2016, 03:35 PM   #5637 (permalink)
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@ron99

Are you reducing your position size or changing anything in your trading style coming into the election? I've had to liquidate everything because the Mrs. and I have decided to buy house and will probably look to start again in January or Feb. depending on seasonals. For now it's just sit, wait, and see what comes.

Also, I've started experimenting with spreads again to see what happens with different expiration dates given that all my spreads were taking over 50 days to reach 50%. Maybe a strike 60 days out would work better because it will decay faster? I'll do some tests and post the results.

/rsm005/

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Old October 5th, 2016, 03:59 PM   #5638 (permalink)
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rsm005 View Post
@ron99



Also, I've started experimenting with spreads again to see what happens with different expiration dates given that all my spreads were taking over 50 days to reach 50%. Maybe a strike 60 days out would work better because it will decay faster? I'll do some tests and post the results.

/rsm005/

30-45 DTE options decay a lot faster.

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Old October 5th, 2016, 08:06 PM   #5639 (permalink)
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Pirolyx View Post
30-45 DTE options decay a lot faster.

Correct but it's very difficult or near impossible to provide adequate protection from a market move such as the one in August of last year.

/rsm005/

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Old October 6th, 2016, 04:10 AM   #5640 (permalink)
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rsm005 View Post
Correct but it's very difficult or near impossible to provide adequate protection from a market move such as the one in August of last year.

/rsm005/

In my opinion, you would have to use rather tight stops. This does make sense if you have found a reasonable support level.

Advantage: Better profit for the successful trades.
Disadvantage: You might be stopped out more often.

Best regards, Myrrdin

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