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Selling Options on Futures?
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Selling Options on Futures?

  #5991 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Beginner
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@ron99,

Thank you so much for sharing with us. I've read most of the thread (from beginning to page-350 something and then from 411 to today).

I'm trying to set up a tool that would allow us to test different strategies using data from XLS-Span a bit more efficiently. One of the issues I'm running into is determining margin for spreads. I'm going to reach out to @Dudetooth in the PC-Span thread to get his thoughts on that.

Thanks again.

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  #5992 (permalink)
Market Wizard
Linz Austria
 
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ItalianBmT View Post
Is there anyplace where there is information of the dates of release of each important report. Or do you have to monitor it asset by asset. How far in advance are these information released?

I do not know of any place in the world-wide net that shows information of important reports for all commodities we trade.

Most of these reports are on a regular base and announced many months in advance (eg. USDA, WASDE, CoF, monthly hogs report, weekly reports on CL and NG). You will find them on the respective internet sites, and can include them in your calendar.

In some well known publications on commodities (eg. Hightower Report) you will receive this information for the next report for each of these commodities. Some Brokers disribute Hightower Report free of charge.

Hightower sells an annual pocket calendar, which includes this data, for $5. I never bought it, and, thus, cannot confirm that all reports are included.

Best regards, Myrrdin

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  #5993 (permalink)
Market Wizard
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keong View Post
Hi Myrrdin,

Thanks much for sharing your trading philosophy. I have a few questions.

1. What about your profitable trades? Do you have a exit strategy for profitable trades, say at 10% or 20%?

2. On your strategy of rolling out at the original size of the trade, as you pointed out, that means if you roll at 200%, the best is likely a break-even or more likely a small loss. That would increase the loss rate.

Using this strategy of rolling at the original size, what % of winning trades do you have as a % of total trades?

Thanks so much for your sharing!

ad 1.: I buy back the ES puts at 50 %. As Ron (and others) have shown that this is the most profitable way.

ad 2.: Yes, there are more losers. But the number or the percentage of losers is not an important criterium for success in trading. Many of my losers are significantly lower than 100 % of the entry price. The number of losers is small. One of the major reasons in the past was the move below the 200 dma, and this did not happen often in recent years.

Best regards, Myrrdin

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  #5994 (permalink)
Trading Apprentice
Singapore + Singapore
 
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myrrdin View Post
ad 1.: I buy back the ES puts at 50 %. As Ron (and others) have shown that this is the most profitable way.

ad 2.: Yes, there are more losers. But the number or the percentage of losers is not an important criterium for success in trading. Many of my losers are significantly lower than 100 % of the entry price. The number of losers is small. One of the major reasons in the past was the move below the 200 dma, and this did not happen often in recent years.

Best regards, Myrrdin

Thanks Myrrdin,

Do you also use 50% for your other commodity trades as week, eg for CL, grains, metals, etc? I assume you also use the 200% exit criteria for the non-ES trades as well.

Thanks!

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  #5995 (permalink)
Market Wizard
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keong View Post
Thanks Myrrdin,

Do you also use 50% for your other commodity trades as week, eg for CL, grains, metals, etc? I assume you also use the 200% exit criteria for the non-ES trades as well.

Thanks!

Yes, I use the 200 % exit criteria (and further criteria, based on fundamentals) in the way I described it in the thread "Diversified Option Selling Portfolio" for all commodities.

I exit these trades at some place between 10 % and 50 % of the original value. Please find details in the thread "Diversified Option Selling Portfolio". In case there remain open questions, please ask again.

Best regards, Myrrdin

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  #5996 (permalink)
Elite Member
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ItalianBmT View Post
Is there anyplace where there is information of the dates of release of each important report. Or do you have to monitor it asset by asset. How far in advance are these information released?

Here are all USDA reports
https://www.usda.gov/media/agency-reports

Here are agricultural USDA reports in calendar format
https://www.nass.usda.gov/Publications/Reports_By_Date/index.php

Here is listing of major economic reports
https://www.bloomberg.com/markets/economic-calendar

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  #5997 (permalink)
Trading Apprentice
Chicago IL/USA
 
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Spike in Vix

@Ronn99

If you were flat and decided to open a position.
How would you adjust for the pick up in volatility?
Would you go farther out? (DTE)



(5 delta short put with two longs at 1.50 delta 90+ DTE. Close at 50%)


Thanks,

Sam

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  #5998 (permalink)
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LordV View Post
@Ronn99

If you were flat and decided to open a position.
How would you adjust for the pick up in volatility?
Would you go farther out? (DTE)



(5 delta short put with two longs at 1.50 delta 90+ DTE. Close at 50%)


Thanks,

Sam

Are you thinking about like today and volatility is up? If so then I would use my quote provider's delta and use the same parameters of 5 delta for my short and 1.5 delta for my 2 longs while figuring that margin will be higher than yesterday's amount.

The Aug 2025 EW3 put was 4.8 delta but is now (noon ET) about 6.5 delta. So a 2000 strike would roughly be about 5 delta now.

I would not change my DTE. I would stay in the 90-120 DTE range.

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  #5999 (permalink)
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ron99 View Post
Are you thinking about like today and volatility is up? If so then I would use my quote provider's delta and use the same parameters of 5 delta for my short and 1.5 delta for my 2 longs while figuring that margin will be higher than yesterday's amount.

The Aug 2025 EW3 put was 4.8 delta but is now (noon ET) about 6.5 delta. So a 2000 strike would roughly be about 5 delta now.

I would not change my DTE. I would stay in the 90-120 DTE range.

First and foremost, thanks for all your time efforts.

If you get a second would you do me a favor and
tell me what you have for Delta on EWQ7P1975 and EWQ7P1690?

I am having some issues with TOS on what they are.

Thanks again

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  #6000 (permalink)
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LordV View Post
First and foremost, thanks for all your time efforts.

If you get a second would you do me a favor and
tell me what you have for Delta on EWQ7P1975 and EWQ7P1690?

I am having some issues with TOS on what they are.

Thanks again

My provider, QST doesn't update delta very well until it trades. So since Aug 1975 hasn't traded I don't have a good delta for it on QST.

I would estimate it is about 6.13.

I saw that the 2000 put was 4.16 delta to start the day. It was 6.74 at 2:53 ET trade. That's a 2.58 increase.

So I take the 3.63 delta for the 1975 to start the day and add 2.50 (lower then 2.58 because it is a lower strike) to get 6.13.

1690 traded at 1:59 ET and the delta was 1.67 at that time. It was 0.79 to start the day.

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