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Selling Options on Futures?
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Selling Options on Futures?

  #5941 (permalink)
Market Wizard
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In the last 10 months, my one account that has only traded my ES put spread strategy is up 25.4%.

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  #5942 (permalink)
Trading for Fun
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ron99 View Post
Sadly, no we don't have that data. CME only released data back to 2013.

I have asked CME to release more years. Everybody should contact CME and ask them to release more years.

I'd like to know myself. What I really want is daily charts of th nearest month, one yr at a time. Back to 20 yrs or more.
I know that is an awful lot. But helpful for seasonals.

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  #5943 (permalink)
Market Wizard
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TraderGriz View Post
I'd like to know myself. What I really want is daily charts of th nearest month, one yr at a time. Back to 20 yrs or more.
I know that is an awful lot. But helpful for seasonals.

SeasonalAlgo has that but it isn't free.

I have 10 years of charts online for free here. https://public.tableau.com/profile/ron.h8870#!/

Look for Seasonal XX with XX being the symbol of the future.

Be careful looking back 20 years. Many things have changed over time and looking back 20 years isn't helpful.

As myrrdin has said, in Soybeans South America 20 years ago wasn't a big player on the export market so seasonals were mainly based on US season. But now with South America being a large exporter their season is opposite the US season so Soybean seasonals have changed and what happened 20 years ago isn't happening now.


Last edited by ron99; April 29th, 2017 at 03:39 PM.
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  #5944 (permalink)
Market Wizard
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Here is a ES chart showing Implied Volatility. As you can see it has kept dropping for several months now. This is why possible ROI keeps moving lower on ES option trades.

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  #5945 (permalink)
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SMCJB View Post
Technicality maybe but selling ES puts is a directional trade, and the reason it works most of the time is because of upward bias of equities. The reason no other commodities allow you to be short options permanently is because no other markets have the same consistent directional bias.

That is what I was wondering. I looked back some time ago an it might have worked for some time but it wouldn't have in 2008. Am I wrong with the thought of risk management strategy of buying some puts below selling price is the fear of that happening again?

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  #5946 (permalink)
Market Wizard
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TraderGriz View Post
That is what I was wondering. I looked back some time ago an it might have worked for some time but it wouldn't have in 2008. Am I wrong with the thought of risk management strategy of buying some puts below selling price is the fear of that happening again?

Buying puts below a short put would have helped several times since 2008. Like Aug 24, 2015. It doesn't have to be a 2008 crash.

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  #5947 (permalink)
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Selling Options on Futures?


ron99 View Post
Buying puts below a short put would have helped several times since 2008. Like Aug 24, 2015. It doesn't have to be a 2008 crash.



Have you looked at utilizing your 1x2 ratio strategy closer to the money? Say short 16 delta and long two times 5 delta, respectively?


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  #5948 (permalink)
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bill20 View Post
Have you looked at utilizing your 1x2 ratio strategy closer to the money? Say short 16 delta and long two times 5 delta, respectively?

The problem with a high delta short is if you have a slow steady drop and stay low that short could easily be ITM or on margin call.

Now a quick drop will make a profit by the longs making more profit than the short lost. 20150824 is an example of this.

On the left side On Dec 29, 2015 a 16.20 delta was a 1845 strike. Futures were 2066. 1625 strike was 5.13 delta. It hit a margin call on 20160208 when futures were 1843.

On right side short 1625 which was 5.13 delta with two 1400 longs which were 1.55 delta. It did not hit margin call and exited at 50% drop on 20160301.

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If you used 9xIM with the high delta spread you could have rode out and not have a margin call in this example. But you would have had to hold it for 13 days longer to get to 50% drop and your MROI would have been lower than the spread using a 5 delta short.

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  #5949 (permalink)
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ron99 View Post
Buying puts below a short put would have helped several times since 2008. Like Aug 24, 2015. It doesn't have to be a 2008 crash.

Maybe I haven't seen it in this thread but based on a given short put, what are the criteria for the two long puts?
Sometimes it looks like one third (for both long puts) of the delta of the short put.

As far as I remember you were writing that using a shorter time til expiration for the longs is not very helpful, just to save some paid premium.

Also I was thinking on combining the long puts to be used for another short put after one was bought back. I would think it doesn't pay out.

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  #5950 (permalink)
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PK 1 View Post
Maybe I haven't seen it in this thread but based on a given short put, what are the criteria for the two long puts?
Sometimes it looks like one third (for both long puts) of the delta of the short put.

I want the net delta to be about 2.00.


PK 1 View Post
As far as I remember you were writing that using a shorter time til expiration for the longs is not very helpful, just to save some paid premium.

The problem was that they stopped offering protection sooner.


PK 1 View Post
Also I was thinking on combining the long puts to be used for another short put after one was bought back. I would think it doesn't pay out.

You would need to roll the longs to a higher strike or higher DTE

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