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Selling Options on Futures?
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Created: by ron99 Attachments:737

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Selling Options on Futures?

  #5731 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,720 since Jul 2011
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bill20 View Post
Has anyone noticed unusually high margin requirements pertaining to selling options on ES recently? I utilize Thinkorswim and regularly sell ES options, however, the margin requirements the past few days has made initiating new positions impractical.

I am not sure if this is an exchange issue or specific to Thinkorswim (although they deny increasing requirements above SPAN minimum).

Any input would be greatly appreciated.


Sent from my iPad using futures.io mobile app

Give us an example with TOS margin and we will give you SPAN margin for that position.

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  #5732 (permalink)
Elite Member
Santa Barbara, CA USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: Futures Options
 
Posts: 18 since Oct 2016
Thanks: 9 given, 4 received

Thank you. Mighty nice of you.

Selling one ES January (week 3) 2100 put shows a credit of $300 against a margin requirement of $2570.50. Seems very high.

What do you show?


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  #5733 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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bill20 View Post
Thank you. Mighty nice of you.

Selling one ES January (week 3) 2100 put shows a credit of $300 against a margin requirement of $2570.50. Seems very high.

What do you show?


Sent from my iPad using futures.io mobile app

Using SPAN margin data for Friday I get $320 premium and $2560 IM.

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  #5734 (permalink)
Elite Member
Santa Barbara, CA USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: Futures Options
 
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Thanks: 9 given, 4 received

Does that seem high to you or would you say that is typical?


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  #5735 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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bill20 View Post
Does that seem high to you or would you say that is typical?


Sent from my iPad using futures.io mobile app

I never trade puts that close to ITM so I can't comment on if it is typical.

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  #5736 (permalink)
Market Wizard
Linz Austria
 
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bill20 View Post
Does that seem high to you or would you say that is typical?


Sent from my iPad using futures.io mobile app

To me it looks typical, as the option is rather close to the money, and there are not many days until expiry.

I prefer trading options with approx. 100 DTE, which show a lower margin.

Best regards, Myrrdin

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  #5737 (permalink)
Trading Apprentice
Philadelphia Pennsylvania
 
Futures Experience: None
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Ron,
Regarding your system, is there an advantage to selling options on futures over selling options on the SPX?


Thanks in advance!

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  #5738 (permalink)
Market Wizard
Cleveland, OH
 
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foxtrot444 View Post
Ron,
Regarding your system, is there an advantage to selling options on futures over selling options on the SPX?


Thanks in advance!

ES electronic volume is much higher than SPX. I believe that most SPX trades are done in the pit.

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  #5739 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
Posts: 2,720 since Jul 2011
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On 11/28/16 I sold ESh7p1790p1550(2) for 2.25. Exited today at 1.15. Days held was 22. Using 6X IM the monthly ROI was 3.0%.

Sold today ESj7p1800p1540(2) for 2.25.


Last edited by ron99; December 20th, 2016 at 05:36 PM.
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  #5740 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Beginner
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Exit also at Acct Balance =100%?



ron99 View Post
I'm not sure why you can't get 20160816. I have it. Make sure there aren't any files dated 20160816 in the C:\Span4\Data folder, including both cme and nyb files, and try again.

One problem I see with your strategy is that you have no protection from an unexpected flash crash.

My current strategy is selling a 5.00 delta ES put buying two 1.50 delta longs at 90+ DTE. Use 6X IM. Exit at 50% drop in net premium.

It is making 26.6% per year. During the backtest it has never has a losing trade for the entire backtest which started 1/1/2013. 48 trades. Largest daily drawdown is 25.6%. Up 33.9% so far this year.

In 47 months it is up 156.1%. That is a yearly compounded 39.9% ROI over the 47 months.

I have attached a spreadsheet with the backtest.

Hi Ron,
This is about exit. Should we not exit also when Acct Balance =100%? Is not this similar to margin call? When this happens, your drawdown may not be small. But I think it is better than big loss. Will be thankful for your opinion.
Regards,
Dilip

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