Selling Options on Futures? - Options on Futures | futures.io
futures io futures trading


Selling Options on Futures?
Started: by ron99 Views / Replies:610,739 / 5,869
Last Reply: Attachments:659

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 659  
 
Thread Tools Search this Thread
 

Selling Options on Futures?

  #5651 (permalink)
Elite Member
vancouver BC/Canada
 
Futures Experience: Beginner
Platform: Zaner360, OX
Broker/Data: DeCaley
Favorite Futures: options
 
Posts: 214 since Jan 2015
Thanks: 13 given, 172 received

@ron99

Is your exit still set to 3x IM? Once I start again I'm going with 20% below the current market with a 1:1 spread that's 100pts wide. I think that's what the consensus was in the earlier parts of this thread, correct?

Thanks,
/rsm005/


Last edited by rsm005; October 10th, 2016 at 09:35 PM.
Reply With Quote
 
  #5652 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,452 since Jul 2011
Thanks: 672 given, 4,161 received
Forum Reputation: Legendary


rsm005 View Post
@ron99

Is your exit still set to 3x IM? Once I start again I'm going with 20% below the current market with a 1:1 spread that's 100pts wide. I think that's what the consensus was in the earlier parts of this thread, correct?

Thanks,
/rsm005/

I exit at 50% drop in premium. I'm staying with 5.00 delta short with two 1.50 delta longs.

I updated all of my long term studies on ES puts.

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



All of the data is in the attached spreadsheet. If you change the Margin Factor (yellow cells) on the summary sheet the ROIs and other data will change.

The 82415 sheet has various positions entered on 8/17/15. You can change the Margin Factor on these also on the summary page.

Attached Files
Register to download File Type: xlsx Option ES Study 10x.xlsx (1.60 MB, 54 views)
Reply With Quote
The following 9 users say Thank You to ron99 for this post:
 
  #5653 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 259 since Oct 2012
Thanks: 126 given, 75 received

?


It seems that when a medium or larger sell off occurs my span margin requirements increase by a factor of 2 or 3.
What value have other put sellers noticed during down turns? This is for markets correlated with the ES futures.
For other markets such as ZB (30 Yr), corn, wheat, etc , not correlated with ES the increase in span margin would be less?

If the factor of 2 or 3 is a reasonable number for span margin increase, then would it be prudent to
limit span margin to 1/3 of account value?

Reply With Quote
 
  #5654 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,452 since Jul 2011
Thanks: 672 given, 4,161 received
Forum Reputation: Legendary


datahogg View Post
It seems that when a medium or larger sell off occurs my span margin requirements increase by a factor of 2 or 3.
What value have other put sellers noticed during down turns? This is for markets correlated with the ES futures.
For other markets such as ZB (30 Yr), corn, wheat, etc , not correlated with ES the increase in span margin would be less?

If the factor of 2 or 3 is a reasonable number for span margin increase, then would it be prudent to
limit span margin to 1/3 of account value?

The margin increase depends on how close to futures and DTE are your options.

You also need to cover the loss in premium value along with the increase in margin.

It takes about a quick 100 point drop in futures to see a triple increase in margin for a 3 delta option.


Last edited by ron99; October 12th, 2016 at 11:52 AM.
Reply With Quote
The following user says Thank You to ron99 for this post:
 
  #5655 (permalink)
Trading Apprentice
Montreal quebec
 
Futures Experience: Advanced
Platform: Tos
Favorite Futures: Cl
 
Posts: 19 since Oct 2016
Thanks: 11 given, 22 received

Futures Edge on FIO

datahogg View Post
It seems that when a medium or larger sell off occurs my span margin requirements increase by a factor of 2 or 3.
What value have other put sellers noticed during down turns? This is for markets correlated with the ES futures.
For other markets such as ZB (30 Yr), corn, wheat, etc , not correlated with ES the increase in span margin would be less?

If the factor of 2 or 3 is a reasonable number for span margin increase, then would it be prudent to
limit span margin to 1/3 of account value?

The worst span margin increase in large sell off depends on how much is your span and the credit that you receive. Since OTM puts did atleast 10x on 24/8/15, it would be hard to believe that the max margin expansion was 2-3.
My worst on CL was a margin call and my span was around 30%, with a credit received of also 30% (meaning that I was collecting a credit of 30% the value of my account).
When I do 1.5SD strangles on CL, the max margin I would allocate is 20%.

ITM options tends to move less when there are large moves. According to my manual backtests, the max drawdown of a straddle that had 30-40 dte left on 24/8/2015 was around 2.2x, which is not much when you consider that some strangles did 20x-30x that day.

Reply With Quote
 
  #5656 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 259 since Oct 2012
Thanks: 126 given, 75 received


Pirolyx View Post
The worst span margin increase in large sell off depends on how much is your span and the credit that you receive. Since OTM puts did atleast 10x on 24/8/15, it would be hard to believe that the max margin expansion was 2-3.
My worst on CL was a margin call and my span was around 30%, with a credit received of also 30% (meaning that I was collecting a credit of 30% the value of my account).
When I do 1.5SD strangles on CL, the max margin I would allocate is 20%.

ITM options tends to move less when there are large moves. According to my manual backtests, the max drawdown of a straddle that had 30-40 dte left on 24/8/2015 was around 2.2x, which is not much when you consider that some strangles did 20x-30x that day.

Seems reasonable. But the Cordier/Gross number of 50% seems like an invitation to disaster.
Since 24/8/2015 I have used ratio spreads, and my span margin is rarely over 20% of account.

Reply With Quote
 
  #5657 (permalink)
Trading Apprentice
westhills california US
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: FOREX,STOCKS,FUTURES
 
Posts: 34 since May 2015
Thanks: 30 given, 5 received

Hey Ron.

Have you tested your strategy on Call spreads?

I know you think Call are not much profitable.

And from personal experience I think they take longer decaying.

Thought and one?

Reply With Quote
The following user says Thank You to rajab for this post:
 
  #5658 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,452 since Jul 2011
Thanks: 672 given, 4,161 received
Forum Reputation: Legendary


rajab View Post
Hey Ron.

Have you tested your strategy on Call spreads?

I know you think Call are not much profitable.

And from personal experience I think they take longer decaying.

Thought and one?

I haven't. ROI is far too low.

Reply With Quote
 
  #5659 (permalink)
Elite Member
vancouver BC/Canada
 
Futures Experience: Beginner
Platform: Zaner360, OX
Broker/Data: DeCaley
Favorite Futures: options
 
Posts: 214 since Jan 2015
Thanks: 13 given, 172 received

Anyone have the ftp link to download SPAN files, can't seem to find it anymore. I am trying to do an experiment to see how these spreads react to a down trending market...gotta go way back to find that.

/rsm005/

Reply With Quote
 
  #5660 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,452 since Jul 2011
Thanks: 672 given, 4,161 received
Forum Reputation: Legendary



rsm005 View Post
Anyone have the ftp link to download SPAN files, can't seem to find it anymore. I am trying to do an experiment to see how these spreads react to a down trending market...gotta go way back to find that.

/rsm005/

ftp://ftp.cmegroup.com/pub/span/data/

No CME files available prior to 2013.

If you have XLS-SPAN (found in PC-SPAN thread) you can just type in the dates and it will download the files. I believe on ICE products you can go back to 2008.

Reply With Quote
The following user says Thank You to ron99 for this post:

Reply



futures io > > > > Selling Options on Futures?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Spring Grains Outlook w/Sean Lusk @ Walsh Trading

Elite only

FIO Video Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

April

Process above all else w/Anthony Crudele @ Futures Radio Show

Elite only

Machine Learning - Quantitative Trading w/Martin Froehler @ Quantiacs

Elite only

Market Dynamics w/Peter Davies @ Jigsaw Trading

Elite only

Ask Me Anything w/Patrick Rooney @ Trading Technologies

Apr 18

Ask Me Anything w/FuturesTrader71

Apr 19

Machine Learning w/Kris Longmore

Elite only

Market Analysis w/Dave Forss

Apr 25

Introducing iSystems with Stage 5 Trading

Apr 27
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Crude Oil (CL) futures inverse pairing options Big Mike Commodities Futures Trading 8 December 12th, 2013 11:00 AM
Recommend futures, options Broker? sam1197 Brokers and Data Feeds 17 March 27th, 2013 12:42 AM
Trading Futures with options as protection Gooffy2010 Commodities Futures Trading 6 October 2nd, 2012 04:55 PM
Selling Njniatrader sam1197 NinjaTrader 22 June 28th, 2012 12:40 PM
Zen-Fire Futures options tici88 Brokers and Data Feeds 1 July 30th, 2011 09:16 AM


All times are GMT -4. The time now is 12:41 PM.

no new posts
Page generated 2017-03-27 in 0.16 seconds with 20 queries on phoenix via your IP 54.211.233.235