Selling Options on Futures? - Options on Futures | futures io social day trading
futures io futures trading


Selling Options on Futures?
Updated: Views / Replies:694,146 / 6,326
Created: by ron99 Attachments:735

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 735  
 
Thread Tools Search this Thread
 

Selling Options on Futures?

  #6191 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


https://twitter.com/charliebilello/status/880864905221607425

Also interesting is that since 2008 there have been more days up >1% than days down >1%.

Reply With Quote
The following 3 users say Thank You to ron99 for this post:
 
  #6192 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

Potential with simple spread

I've come across something that may be of interest to folks selling ES put spreads. I took TFOpts idea of using a database to store the risk scenarios to quickly get the margin for spreads and created my own database using the EW contract. I expected my results to be different than what he was seeing in ES, but didn't think they would be too far off.

I used Ronís spread strategy as my baseline and tried to come up with some ideas. Ronís spread uses 3 options to create a delta 2 position. I wanted to see if you could get similar performance with just 2 options in a simple credit spread creating a delta 2 position.

I ran my tests in the same manner that TFOpts did his. All tests started with 6x IM and exiting at 50% profit. I tried the following: Ronís method; short 7 delta / long 5 delta; short 5 delta / long 3 delta; and a short 3 delta / long 1 delta. Then I added a spread that had short 7 delta / long 5 delta, but exited once 40% profit was achieved and used only 5x IM.

The results I had for EW were favorable, but I asked TFOpts to check the same methods with his ES database. The attached image is from the tests TFOpts ran. I believe that the results show that a simple credit spread has the potential to be just as effective in terms of returns and risk management.

I hope this helps.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 6 users say Thank You to Dudetooth for this post:
 
  #6193 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary



Dudetooth View Post
I've come across something that may be of interest to folks selling ES put spreads. I took TFOpts idea of using a database to store the risk scenarios to quickly get the margin for spreads and created my own database using the EW contract. I expected my results to be different than what he was seeing in ES, but didn't think they would be too far off.

I used Ronís spread strategy as my baseline and tried to come up with some ideas. Ronís spread uses 3 options to create a delta 2 position. I wanted to see if you could get similar performance with just 2 options in a simple credit spread creating a delta 2 position.

I ran my tests in the same manner that TFOpts did his. All tests started with 6x IM and exiting at 50% profit. I tried the following: Ronís method; short 7 delta / long 5 delta; short 5 delta / long 3 delta; and a short 3 delta / long 1 delta. Then I added a spread that had short 7 delta / long 5 delta, but exited once 40% profit was achieved and used only 5x IM.

The results I had for EW were favorable, but I asked TFOpts to check the same methods with his ES database. The attached image is from the tests TFOpts ran. I believe that the results show that a simple credit spread has the potential to be just as effective in terms of returns and risk management.

I hope this helps.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Thanks this is interesting. Do I assume correctly that you included commissions and fees in these calculations?

One reason I didn't go higher than 5 delta for the short was because a higher than 5 delta short would put you ITM for the largest ES drop in 90 day time frame since 2009, 19.3% for Dec 2011 contract.

Reply With Quote
The following 5 users say Thank You to ron99 for this post:
 
  #6194 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary

Here are the results from 2 studies

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Win Rate = % of scenarios that have a positive return
E(mROI) = average mROI
Med(mROI) = median of mROI
E | Loss = average mROI for losses
E(DTS) = average days from acquisition to liquidation
Med(DTS) = average days from acquisition to liquidation
Max(%M) = Maximum margin requirement as % of margin held

Reply With Quote
The following 2 users say Thank You to ron99 for this post:
 
  #6195 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


ron99 View Post
Thanks this is interesting. Do I assume correctly that you included commissions and fees in these calculations?

The image is from the tests TFOpts ran. I'd gather that he used commissions & fees since he added them into prior tests.


ron99 View Post
One reason I didn't go higher than 5 delta for the short was because a higher than 5 delta short would put you ITM for the largest ES drop in 90 day time frame since 2009, 19.3% for Dec 2011 contract.

I only have risk files for the beginning of each month from May 2008 to Apr 2009 (that TFOpts uploaded) and daily data from 2013, so I am unaware of how things would have performed for the Dec 2011 contract. Were you able to get more historical risk files from CME?

Reply With Quote
The following 2 users say Thank You to Dudetooth for this post:
 
  #6196 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary


Dudetooth View Post
I only have risk files for the beginning of each month from May 2008 to Apr 2009 (that TFOpts uploaded) and daily data from 2013, so I am unaware of how things would have performed for the Dec 2011 contract. Were you able to get more historical risk files from CME?

No I don't have more CME files. I'm looking at ES futures prices.

Most/all? of the time a 7 delta is less than 19% OTM. I would think that if short is ITM but long isn't that it is unlikely you aren't on margin call. But I have no proof of that. Of course I have no way right now to backtest 2011.

Reply With Quote
The following 3 users say Thank You to ron99 for this post:
 
  #6197 (permalink)
Trading Apprentice
Henderson, NV, USA
 
Futures Experience: Advanced
Platform: Futures Online
Favorite Futures: Futures
 
Posts: 34 since Feb 2015
Thanks: 47 given, 13 received

Crop reports timing

I sold ZM calls early last week. Fridays report made them blow up in value and I had to exit at a loss today. Trying to learn from that mistake. Do you all time your grain trades so that you're not selling options right before a major crop report comes out?

Reply With Quote
 
  #6198 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,025 since Dec 2013
Thanks: 1,678 given, 3,131 received
Forum Reputation: Legendary


Calamari88 View Post
I sold ZM calls early last week. Fridays report made them blow up in value and I had to exit at a loss today. Trying to learn from that mistake. Do you all time your grain trades so that you're not selling options right before a major crop report comes out?

Did you mean to post in this thread instead.
https://futures.io/options-futures/36932-diversified-option-selling-portfolio.html

Reply With Quote
The following user says Thank You to SMCJB for this post:
 
  #6199 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Beginner
Platform: Zaner360
Broker/Data: DeCarley
Favorite Futures: Options on Futures
 
Posts: 62 since May 2017
Thanks: 47 given, 113 received


Dudetooth View Post
The image is from the tests TFOpts ran. I'd gather that he used commissions & fees since he added them into prior tests.

I only have risk files for the beginning of each month from May 2008 to Apr 2009 (that TFOpts uploaded) and daily data from 2013, so I am unaware of how things would have performed for the Dec 2011 contract. Were you able to get more historical risk files from CME?

My runs include $7 RT fees.

If you compare run 0 (sell 1 at -5 delta and buy 2 at -1.5 delta) to run 2 (sell 1 at -5 delta and buy 1 at -3 delta), the returns are about the same (especially at the median); but the maximum % of margin held is quite a bit lower on run 2 (75.1% instead of 97.1%).
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


There's probably opportunity to hold a lower margin multiple, e.g. 5 instead of 6, on run #2 to increase ROI while still avoiding a margin call historically.

Ron, I can't find the post but at some point I think you tested buy 1 sell 1 and came to the conclusion that buy 1 sell 2 was safer. Do you recall the work you did on that?

Reply With Quote
 
  #6200 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary



TFOpts View Post
My runs include $7 RT fees.

If you compare run 0 (sell 1 at -5 delta and buy 2 at -1.5 delta) to run 2 (sell 1 at -5 delta and buy 1 at -3 delta), the returns are about the same (especially at the median); but the maximum % of margin held is quite a bit lower on run 2 (75.1% instead of 97.1%).
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


There's probably opportunity to hold a lower margin multiple, e.g. 5 instead of 6, on run #2 to increase ROI while still avoiding a margin call historically.

Ron, I can't find the post but at some point I think you tested buy 1 sell 1 and came to the conclusion that buy 1 sell 2 was safer. Do you recall the work you did on that?

This post discusses higher ROI with 2 longs vs one long.
https://futures.io/options-futures/12309-selling-options-futures-568.html#post603608

This one has a table with the first two in table having one long
https://futures.io/options-futures/12309-selling-options-futures-566.html#post601441

This one looked at the single long being one month before the short. That didn't work.
https://futures.io/options-futures/12309-selling-options-futures-502.html#post523302

TFOpts, would it be possible to do easily, what percent the short option is of futures the day entered and see the max and average for the study? For example, EW3v792020 is -5.07 delta and 83.2% of ES futures 2426.

The Dec 2011 ES futures dropped 19.3% in 88 day time frame.

Reply With Quote
The following 2 users say Thank You to ron99 for this post:

Reply



futures io > > > > Selling Options on Futures?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

FuturesTrader71: TBA

Elite only

Al Brooks: TBA

Elite only

Jigsaw Trading: TBA

Oct 19

RandBots: TBA

Oct 24
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Crude Oil (CL) futures inverse pairing options Big Mike Commodities Futures Trading 8 December 12th, 2013 11:00 AM
Recommend futures, options Broker? sam1197 Reviews of Brokers and Data Feeds 17 March 27th, 2013 12:42 AM
Trading Futures with options as protection Gooffy2010 Commodities Futures Trading 6 October 2nd, 2012 04:55 PM
Selling Njniatrader sam1197 NinjaTrader 22 June 28th, 2012 12:40 PM
Zen-Fire Futures options tici88 Reviews of Brokers and Data Feeds 1 July 30th, 2011 09:16 AM


All times are GMT -4. The time now is 06:01 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-09-22 in 0.10 seconds with 19 queries on phoenix via your IP 54.156.69.204