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Selling Options on Futures?


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Selling Options on Futures?

  #5671 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
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Pirolyx View Post
That's my biggest concern when I'm selling naked options. Most of the traders tend to worry about directional exposure but they forget about volatility expension.

Of course they are highly correlated.

For selling ES puts, this is both good and bad.
It's good in that "if" your hedging against one, your hedge is probably hedging both.
It's bad in that when things go against you, the negative effect is compounded.

Chart from an old post...


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  #5672 (permalink)
 ron99 
Cleveland, OH
 
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What a joke. CME Datamine now offers every price for everything. Futures and options. But when I entered the info to see what it would cost for one commodity future, it was $11,200!

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  #5673 (permalink)
 
SMCJB's Avatar
 SMCJB 
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Exchanges are now in the business of selling data, not matching trades.

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  #5674 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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Trading: Options on Futures
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SMCJB View Post
Exchanges are now in the business of selling data, not matching trades.

And selling faster access.

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  #5675 (permalink)
Emanuel Wynne
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SMCJB View Post
Of course they are highly correlated.

For selling ES puts, this is both good and bad.
It's good in that "if" your hedging against one, your hedge is probably hedging both.
It's bad in that when things go against you, the negative effect is compounded.

Chart from an old post...


Thank you - is that a post in this thread? I've started reading every page from the beginning, only about 100 or so in

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  #5676 (permalink)
 rsm005 
vancouver BC/Canada
 
Experience: Beginner
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@ron99

I seem to recall a while ago you published a post where you could map out a hypothetical drop in the market and what it would do to premiums. Do you still have the link to that post? What was the program you used to figure that out?

Thanks,
/rsm005/

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  #5677 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
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rsm005 View Post
@ron99

I seem to recall a while ago you published a post where you could map out a hypothetical drop in the market and what it would do to premiums. Do you still have the link to that post? What was the program you used to figure that out?

Thanks,
/rsm005/



Tip: If you go to the top of the page and click on Thread Tools/Show Attachments you can easily find prior posts with attachments.

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  #5678 (permalink)
Pirolyx
Montreal quebec
 
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ron99 View Post
I'm not doing outrights or naked shorts anymore. Read the prior page.

Is it because of the volatility expansion risk during flash crashs?

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  #5679 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
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Interesting comparison of the same short ES put, ESz6p1750 with either two 1520 longs or one 1650 long. Both had about the same net delta and same premium on 20150830. Used 6X IM.

Took 42 days held till both had more than 50% drop in premium.

The spread with two longs made 3.0% monthly ROI while the spread with one long only made 2.2% monthly ROI. Mainly because of the higher IM when entered into spread with one long.

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  #5680 (permalink)
bmtc
Mountain View, CA
 
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ron99 View Post
I have moved to DeCarley Trading/Zaner. So far so good, but I haven't been there very long.

Exchange minimum margins and reasonable commissions.

I will say her customer service is excellent. Best I have ever seen.


Hi Ron,

I would appreciate it to hear your experience with DeCarley-Zaner-Gain after two and a half years. Have you seen continued enhancements / improvements to their service and technology during this time? Are they prompt in making distributions (transfer cash out) when requested by customers? Thanks.

BM

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