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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:568,664 / 5,727
Last Reply:December 2nd, 2016 (12:40 PM) Attachments:642

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Selling Options on Futures?

Old October 19th, 2016, 11:20 AM   #5671 (permalink)
Market Wizard
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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Old October 19th, 2016, 12:12 PM   #5672 (permalink)
Market Wizard
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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Old October 19th, 2016, 12:18 PM   #5673 (permalink)
Market Wizard
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Exchanges are now in the business of selling data, not matching trades.

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Old October 19th, 2016, 12:36 PM   #5674 (permalink)
Market Wizard
OH
 
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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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Old October 19th, 2016, 06:53 PM   #5675 (permalink)
Trading Apprentice
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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...

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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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Old October 19th, 2016, 06:55 PM   #5676 (permalink)
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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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Old October 19th, 2016, 07:56 PM   #5677 (permalink)
Market Wizard
OH
 
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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/

https://futures.io/options-futures/12309-selling-options-futures-550.html#post584220

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Old October 20th, 2016, 09:06 PM   #5678 (permalink)
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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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Old October 21st, 2016, 01:21 PM   #5679 (permalink)
Market Wizard
OH
 
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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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Old October 24th, 2016, 04:13 PM   #5680 (permalink)
Trading Apprentice
Mountain View, CA
 
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Experience with DeCarley



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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