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Selling Options on Futures?
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Selling Options on Futures?

  #6181 (permalink)
Trading Apprentice
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ron99 View Post
I get for all contracts combined $2,772 IM then divide that by 1.1 to get MM of $2,520.

Friday's settlement had the 2040 at -4.72 delta. The 1800 was -1.33 delta. But that is a -2.06 net delta.

This explains the reason for the big difference. I was using my IRA account. My regular one is standard margin rates.

"Futures trading in an IRA margin account is subject to substantially higher margin requirements than in a non-IRA margin account. Margin rates in an IRA margin account may meet or exceed (three times) the overnight futures margin requirement imposed in a non-IRA margin account."

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  #6182 (permalink)
Market Wizard
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ron99 View Post
Friday June 16th is the quarterly expiration of the June ES future contract. In 10 of last 11 years from 9:30 am ET till closing that Friday ES futures dropped in price. It's not large, avg of -4.11 for those 11 years but -7.50 last 4 years.

This is one time I do use info to time trade.

Well today was interesting. ESu17 dropped from 2430.25 at 9:30 ET to
2420.50 at 10:54 ET. But then it spent the rest of the day going higher and settling at 2431.00.

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  #6183 (permalink)
Market Wizard
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June 29th I sold EW3v17p1940(2)p1720(3) for 4.25. IM is $454. I'm using 4xIM.

When I saw that ES had leveled off and quit dropping at 12:15 pm ET I sold. But now it is dropping more. That happens.

Edit: the rest of the day ES went up so my spread settled at 4.20.


Last edited by ron99; June 29th, 2017 at 05:12 PM.
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  #6184 (permalink)
Market Wizard
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ES margin drops 4.5% starting on Monday. Third drop since May 15. That's 16% drop in IM in 6 weeks.

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  #6185 (permalink)
Elite Member
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Ron and all,

Quick question. Has anyone done an analysis of how the VIX relates to the spread strategy? I'm curious because i also follow the ES thread on this forum and read a rather interesting post....


We are starting to see the flip side of correlations:

With margin debt at all-time highs we only need some more of these fast retraces in a row and it rains margin calls -
although virtually nothing has happened from an absolute or relative index point of view.

Regarding the ubiquitous VIX short game JP Morgan's head quant put it that way:

"Given the low starting point of the VIX, these strategies are at risk of catastrophic losses. For some strategies, this
would happen if the VIX increases from ~10 to only ~20 (not far from the historical average level for VIX). While
historically such an increase never happened, we think that this time may be different and sudden increases of that
magnitude are possible. One scenario would be of e.g. VIX increasing from ~10 to ~15, followed by a collapse in
liquidity given the market’s knowledge that certain structures need to cover short positions."



Given the above comment my question is this. What would the value of a 1:2 spread and margin jump to if the VIX jumped from 10 to say 15 or 17? This is more curiousity than anything else.

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  #6186 (permalink)
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rsm005 View Post
Ron and all,

Quick question. Has anyone done an analysis of how the VIX relates to the spread strategy? I'm curious because i also follow the ES thread on this forum and read a rather interesting post....


We are starting to see the flip side of correlations:

With margin debt at all-time highs we only need some more of these fast retraces in a row and it rains margin calls -
although virtually nothing has happened from an absolute or relative index point of view.

Regarding the ubiquitous VIX short game JP Morgan's head quant put it that way:

"Given the low starting point of the VIX, these strategies are at risk of catastrophic losses. For some strategies, this
would happen if the VIX increases from ~10 to only ~20 (not far from the historical average level for VIX). While
historically such an increase never happened, we think that this time may be different and sudden increases of that
magnitude are possible. One scenario would be of e.g. VIX increasing from ~10 to ~15, followed by a collapse in
liquidity given the marketís knowledge that certain structures need to cover short positions."



Given the above comment my question is this. What would the value of a 1:2 spread and margin jump to if the VIX jumped from 10 to say 15 or 17? This is more curiousity than anything else.

It did that yesterday. I mean went from 10.14 to 15.16.
The spreads were wide......

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  #6187 (permalink)
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Henderson, NV, USA
 
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Beans & Beanmeal spike today

Hi everyone, I've been selling options since 2010 after reading Cordier's book. Most years have been profitable for me but I still have much to learn. I've been enjoying reading the earlier posts!

My beans and beanmeal calls took heat today following the Quarterly Stocks & Planted Acres report. Do you all think they will continue higher after the 3 day weekend or was it a one day spike?

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  #6188 (permalink)
Trading for Fun
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Calamari88 View Post
Hi everyone, I've been selling options since 2010 after reading Cordier's book. Most years have been profitable for me but I still have much to learn. I've been enjoying reading the earlier posts!

My beans and beanmeal calls took heat today following the Quarterly Stocks & Planted Acres report. Do you all think they will continue higher after the 3 day weekend or was it a one day spike?

This time of yr grains seasonally tend to go up from my observation.

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  #6189 (permalink)
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Calamari88 View Post
Hi everyone, I've been selling options since 2010 after reading Cordier's book. Most years have been profitable for me but I still have much to learn. I've been enjoying reading the earlier posts!

My beans and beanmeal calls took heat today following the Quarterly Stocks & Planted Acres report. Do you all think they will continue higher after the 3 day weekend or was it a one day spike?

Regarding grains & beans we are in a weather market. Everything can happen. But there is substantial upwards potential for beans - SX could easily move to 1000 or 1050. Or it could move downwards on Monday, if the weather forecast turns to cooler and wetter.

Seasonals show a rather early high for soybeans. But remember that seasonals are an average - there can be significant deviations from year to year.

Best regards, Myrrdin

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  #6190 (permalink)
Market Wizard
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