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


Selling Options on Futures?
Started: by ron99 Views / Replies:608,954 / 5,867
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?

  #5711 (permalink)
Trading Apprentice
Montreal quebec
 
Futures Experience: Advanced
Platform: Tos
Favorite Futures: Cl
 
Posts: 19 since Oct 2016
Thanks: 11 given, 22 received

What's happening with Crude Oil? Down 18% in less than 20 days.

Reply With Quote
 
  #5712 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,758 since Dec 2013
Thanks: 1,517 given, 2,629 received
Forum Reputation: Legendary


Pirolyx View Post
What's happening with Crude Oil? Down 18% in less than 20 days.

Try asking in this thread...
https://futures.io/commodities-futures-trading/34295-cl-crude-oil-futures-contract-crude-analysis-thread.html

Reply With Quote
 
  #5713 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,450 since Jul 2011
Thanks: 670 given, 4,159 received
Forum Reputation: Legendary


I posted this in another thread but I thought it should also be here.

In KC I am doing one short one long spread.

Here are tables from 20140922 when KC went up from 179 to 221 in 17 days. They all use 6X IM.

This one shows one short KCz4c237.5 and a KCz4c230c262.5 spread. The naked short went on margin call on 20141006. The spread had a high of 70.4% of acct used for IM and a lower draw down.

The naked short IM increased 213% on 20141006. The spread IM increased 66%.

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


This one shows one short KCf5c270 and a KCf5c250c270 spread. The naked short went on margin call on 20141006. The spread had a high of 51.6% of acct used for IM and a lower draw down. Notice that this is lower than the Dec spread.

The naked short IM increased 221% on 20141006. The spread IM increased 41%. This Jan spread IM increase is less than the Dec spread IM increase which was at 51 DTE on 20140922 vs 84 DTE for Jan.

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


This one shows a KCz4c230c262.5 spread and a KCz4c230c280 with two longs. They acted similar for this situation. So in this case I don't see the need for two longs.

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


Those Dec spreads came awful close to being ITM.

Reply With Quote
 
  #5714 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,450 since Jul 2011
Thanks: 670 given, 4,159 received
Forum Reputation: Legendary

On 10/28/16 I sold ESg7p1700p1460(2) for 3.15. Exited today at 1.55. Days held was 18. Using 6X IM the monthly ROI was 6.0%.

Reply With Quote
 
  #5715 (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

Futures Edge on FIO

What value do you place on the webinars on FIO?

 
@ron99

Assume, for whatever reason, that the US goes into a recession starting next year. Have you given any thought or tried to model out what happens to the spread strategy during a recession? What would a potential alternative strategy be? What commodities rise when the market goes down or starts going into a recession?

Thanks,
/rsm005/

Reply With Quote
 
  #5716 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,450 since Jul 2011
Thanks: 670 given, 4,159 received
Forum Reputation: Legendary


rsm005 View Post
@ron99

Assume, for whatever reason, that the US goes into a recession starting next year. Have you given any thought or tried to model out what happens to the spread strategy during a recession? What would a potential alternative strategy be? What commodities rise when the market goes down or starts going into a recession?

Thanks,
/rsm005/

I highly doubt that a recession happens next year. But then again I was wrong on the election.

If we have another year like 2008 the ES spreads will lose money. If your short goes ITM you will lose money. No getting around it.

In a recession almost nothing goes up. You just need to switch to selling calls in other markets.

If we are having another 2008 recession, I am buying far OTM puts.

Reply With Quote
The following 3 users say Thank You to ron99 for this post:
 
  #5717 (permalink)
Trading Apprentice
Zurich
 
Futures Experience: Intermediate
Platform: Amibroker
Favorite Futures: Fesx
 
Posts: 28 since Feb 2011
Thanks: 62 given, 8 received


ron99 View Post
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.

Ron, thanks for your work. So the plan asks for 1xSP delta 5.0 2xLP delta 1.5 and 6xIM reserved capital. I hope I correctly paraphrased this. Furthermore you exit at 50% drop in premium - 50% from the premium of the SP or 50 % of the consolidated premium of the spread? Any time lock (like OR 50 days max). And any provision for the adverse development (like OR current premium is max 200% of received premium)?

Or do you even use a combined rule like 50% drop in rec. premium OR 100% rise in premium OR 50 days max -whatever occurs first?

Thanks

Reply With Quote
 
  #5718 (permalink)
Trading Apprentice
Zurich
 
Futures Experience: Intermediate
Platform: Amibroker
Favorite Futures: Fesx
 
Posts: 28 since Feb 2011
Thanks: 62 given, 8 received


ron99 View Post
I highly doubt that a recession happens next year. But then again I was wrong on the election.

If we have another year like 2008 the ES spreads will lose money. If your short goes ITM you will lose money. No getting around it.

In a recession almost nothing goes up. You just need to switch to selling calls in other markets.

If we are having another 2008 recession, I am buying far OTM puts.


Did the SP go ITM witin the first 30 days without any chance to close the spreads (without losing more than the received premia)? Wouldn`t rolling have helped? Why calls on a defferent underlying instead of selling calls on the ES (in such situation)?

Thanks

Reply With Quote
 
  #5719 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,450 since Jul 2011
Thanks: 670 given, 4,159 received
Forum Reputation: Legendary


Forex37 View Post
Ron, thanks for your work. So the plan asks for 1xSP delta 5.0 2xLP delta 1.5 and 6xIM reserved capital. I hope I correctly paraphrased this. Furthermore you exit at 50% drop in premium - 50% from the premium of the SP or 50 % of the consolidated premium of the spread? Any time lock (like OR 50 days max). And any provision for the adverse development (like OR current premium is max 200% of received premium)?

Or do you even use a combined rule like 50% drop in rec. premium OR 100% rise in premium OR 50 days max -whatever occurs first?

Thanks

50% drop in net premium for spread.

No time lock. But need to be careful when the DTE gets below 50 DTE. The longs don't offer much coverage beyond that point.

Definitely don't exit at 100% rise in premium. You would be exiting far too often and making losers out of future winners.

The last 3 rows in that table were exiting at 20% draw down of account. They are all losers over the study.

Reply With Quote
The following 2 users say Thank You to ron99 for this post:
 
  #5720 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,450 since Jul 2011
Thanks: 670 given, 4,159 received
Forum Reputation: Legendary



Forex37 View Post
Did the SP go ITM witin the first 30 days without any chance to close the spreads (without losing more than the received premia)? Wouldn`t rolling have helped? Why calls on a defferent underlying instead of selling calls on the ES (in such situation)?

Thanks

A short put doesn't have to go ITM to lose more than you sold it for.

In the last 10 years only the ESz08 contract dropped more than 233 in 30 days. It dropped 379.75.

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


So you want your short put strike to be at least 250 OTM to avoid going ITM.

I have found that rolling is a 50-50 strategy. Sometimes it works. Sometimes you add to a loser. Sometimes you lose big. I tend to not do it now.

I don't like ES calls because of low ROI. Also during 2008 recession ES was extremely volatile up and down. The same contract, ESz08, that had the largest drop also had a 168.50 rise in 30 days. Largest in many years.

Reply With Quote
The following 6 users say 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)
 

Mastering Trading Pysychology w/Brett Steenbarger & Trading Technologies

Elite only

PTMC Protrader Platform First Look w/Sergey Sokolov

Elite only

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 04:32 PM.

no new posts
Page generated 2017-03-23 in 0.15 seconds with 20 queries on phoenix via your IP 54.197.180.64