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Selling Options on Futures?
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Selling Options on Futures?

  #5871 (permalink)
Market Wizard
Cleveland, OH
 
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Looks like we are getting the ESm early April seasonal dip this year. It usually lasts until April 11th. (people withdrawing money from the market to pay taxes?)

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I'm going to add more ES spreads early next week.

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  #5872 (permalink)
Market Wizard
Houston, TX
 
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Just recieved my futures.io email with the thread update notification.
It just happened the next email in my inbox linked to this...

Early April?s Bullish Inclination | Quantifiable Edges

Early Aprilís Bullish Inclination
Posted on April 3, 2017 by Rob Hanna

The study below is one I have shown here on the blog a few times over the years. It examines the bullish inclination the market has had in early April.

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Numbers here appear impressive. Of further note, sixteen of the 1st eighteen years were higher on day 4, but the 2012-2014 instances saw mild declines. Meanwhile, the 2-day time period has been positive 10 of the last 11 years, with 2015 being the only loser and closing down less than 1 SPX point. So potentially bullish early April seasonality is something traders may want to keep in mind the next few days.

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  #5873 (permalink)
Market Wizard
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From April 3rd to April 7th the last 10 years ESm has lost 102.20 or an average of 10.22 per year.

Four of last 5 years from Mar 31st to April 7th have been negative. Average -13.15.

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From April 7th to April 26th the last 10 years are +325.50 or average of +32.55 per year. No losers.

Of course we have a very volatile US political environment right now.

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  #5874 (permalink)
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danielepia View Post
I will ask TOS, I never had this problem when selling iron condors on Indexes though :/ Thank you!

What did TOS say?

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  #5875 (permalink)
Market Wizard
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ron99 View Post
From April 3rd to April 7th the last 10 years ESm has lost 102.20 or an average of 10.22 per year.

Four of last 5 years from Mar 31st to April 7th have been negative. Average -13.15.

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From April 7th to April 26th the last 10 years are +325.50 or average of +32.55 per year. No losers.

Of course we have a very volatile US political environment right now.

Like most of these things its very very start/end date specific.
First two days in April are big up moves, so the difference between last day in March vs April Xth vs 2nd date in April vs April Yth is significant.
Using your own chart...

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  #5876 (permalink)
Trading Apprentice
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A shout of thanks to @ron99 for all his effort to share info with us on this thread!

I sold EW3N7p1900p1600(2) on 3-21 for 3.35. Exited on 4-5 at 1.90. Held 16 days, MOI was 3.6% using 8x margin.
Looking to add a position this week sometime.

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  #5877 (permalink)
Market Wizard
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Today I sold EW3n7p1960p1725(2) for 2.20. IM is 343.

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  #5878 (permalink)
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The VIX term structure is a bit mixed right now
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  #5879 (permalink)
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ron99 View Post
Today I sold EW3n7p1960p1725(2) for 2.20. IM is 343.

Do you have any rules for yourself when to roll or get out of the strangle when it goes against you?

I started last summer withe rules mentioned in the Cordier book (200% rule, although on strangles he is less defined). But I find you have to give far OTM options considerable room to breathe.
For a strangle now I roll the untested side when the tested side has a delta of about 15; this worked so far but I have limited experience and no ability to backtest.

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  #5880 (permalink)
Market Wizard
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manuel999 View Post
Do you have any rules for yourself when to roll or get out of the strangle when it goes against you?

I started last summer withe rules mentioned in the Cordier book (200% rule, although on strangles he is less defined). But I find you have to give far OTM options considerable room to breathe.
For a strangle now I roll the untested side when the tested side has a delta of about 15; this worked so far but I have limited experience and no ability to backtest.

I use 6 times initial margin and keep the position on until all of this is used up by rising margin and premium.

You can backtest. Go to PC-SPAN thread and download XLS-SPAN.

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