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Selling Options on Futures?
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Selling Options on Futures?

  #5821 (permalink)
Market Wizard
Cleveland, OH
 
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ron99 View Post
Sold today ESk7p1825p1580(2) for 1.80.

On 1/24/17 I sold ESk7p1825p1580(2) for 1.80. Exited today at 0.90. Days held was 21. Using 6X IM the monthly ROI was 2.4%.

Sold today ESm7p1905p1650(2) for 2.25.
Sold today ESm7p1910p1650(2) for 2.35.


Last edited by ron99; February 14th, 2017 at 04:31 PM.
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  #5822 (permalink)
Trading Apprentice
Springfield USA
 
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Just out of curiosity. What would happen if you sold a put spread in ES and you held it to expiry. Does it just expire like a SPX or SPY put spread and you just claim the full credit?

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  #5823 (permalink)
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ron99 View Post
...

Sold today ESm7p1905p1650(2) for 2.25.
Sold today ESm7p1910p1650(2) for 2.35.

@ron99

Why two sets of contracts instead of the usual 1?

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  #5824 (permalink)
Market Wizard
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Flintsone99 View Post
Just out of curiosity. What would happen if you sold a put spread in ES and you held it to expiry. Does it just expire like a SPX or SPY put spread and you just claim the full credit?

Yes. But most of the time your ROI would be lower than exiting earlier.

Here is the post in this thread that shows my study.
https://futures.io/options-futures/12309-selling-options-futures-510.html#post531172

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  #5825 (permalink)
Market Wizard
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GoldenRatio View Post
@ron99

Why two sets of contracts instead of the usual 1?

One account of mine had a different spread on and I exited it earlier in the day than the other spread that the majority of my accounts had on.

When I did the spreads later in the day I found the 1910 strike was bid 0.25 higher than the 1905 strike. Better possible ROI.

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  #5826 (permalink)
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Do you guys have any recommendation where to check delta values for ES options. Although not ideal, I'm using IB right now and they have changed their delta calculations completely with the newer updates of their workstation. For example for the spread that Ron sold today I would have the following delta values: -0.0007 for p1650 and -0.0281 for p1905.

I have also access to delayed quotes on ToS platform (demo), but as the data is rounded to a large extent, I'm not sure that I'm getting similar results as you. Right now the correct spread I would assume according to ToS would be ESm7p1955p1730(2).

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  #5827 (permalink)
Market Wizard
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Jyrgen View Post
Do you guys have any recommendation where to check delta values for ES options. Although not ideal, I'm using IB right now and they have changed their delta calculations completely with the newer updates of their workstation. For example for the spread that Ron sold today I would have the following delta values: -0.0007 for p1650 and -0.0281 for p1905.

I have also access to delayed quotes on ToS platform (demo), but as the data is rounded to a large extent, I'm not sure that I'm getting similar results as you. Right now the correct spread I would assume according to ToS would be ESm7p1955p1730(2).

CME delta prior day settlements are available here in their Daily Bulletins
Daily Bulletin

Here are the ES puts
http://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf

For Feb 14th
June 1905 is .043 or 4.30%.
June 1910 is .045 or 4.50%.
June 1650 is .012 or 1.20%.

June 1925 is .049 or 4.90%.
June 1930 is .051 or 5.10%.

June 1700 is .050 or 5.00%.

Unless futures are up or down by double digits I use these deltas.


Last edited by ron99; February 15th, 2017 at 02:29 PM.
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  #5828 (permalink)
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BTW Jyrgen, these deltas Ron lists where the same in my TWS from IB

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  #5829 (permalink)
Market Wizard
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ron99 View Post
CME delta prior day settlements are available here in their Daily Bulletins
Daily Bulletin

Here are the ES puts
http://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf

For Feb 14th
June 1905 is .043 or 4.30%.
June 1910 is .045 or 4.50%.
June 1650 is .012 or 1.20%.

June 1925 is .049 or 4.90%.
June 1930 is .051 or 5.10%.

June 1700 is .050 or 5.00%.

Unless futures are up or down by double digits I use these deltas.

Obviously the delta for the 1700 is wrong.

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  #5830 (permalink)
Trading Apprentice
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$600 million loss in one week.... ouch.....

https://secure.marketwatch.com/story/funds-600-million-lost-week-captivates-traders-2017-02-16

It is this guy Edward Walczak fund.

He sounded quite smug in this interview.. I can only assume he didn't follow his own rules

Walczak finds safe Harbor in options | Futures Magazine

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