NexusFi: Find Your Edge


Home Menu

 





Selling Options on Futures?


Discussion in Options

Updated
      Top Posters
    1. looks_one ron99 with 2,221 posts (4,489 thanks)
    2. looks_two SMCJB with 346 posts (733 thanks)
    3. looks_3 kevinkdog with 341 posts (400 thanks)
    4. looks_4 myrrdin with 288 posts (408 thanks)
      Best Posters
    1. looks_one SMCJB with 2.1 thanks per post
    2. looks_two ron99 with 2 thanks per post
    3. looks_3 myrrdin with 1.4 thanks per post
    4. looks_4 kevinkdog with 1.2 thanks per post
    1. trending_up 1,951,546 views
    2. thumb_up 9,259 thanks given
    3. group 458 followers
    1. forum 7,370 posts
    2. attach_file 794 attachments




 
Search this Thread

Selling Options on Futures?

  #6211 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142


TFOpts View Post
Here you go, added one more:


Here's a visual of these methods mapping risk and reward. Ideally you'd want to be in the top left of the chart.

So can one say that the spread with the lowest risk is:
Sell one option with the lowest strike between -5 delta or 20% below the current future price.
Buy one option to get to a delta of -3.
Have 5x IM

?

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Exit Strategy
NinjaTrader
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Are there any eval firms that allow you to sink to your …
Traders Hideout
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
 
  #6212 (permalink)
TFOpts
Los Angeles, CA
 
Posts: 64 since May 2017
Thanks Given: 49
Thanks Received: 136


manuel999 View Post
So can one say that the spread with the lowest risk is:
Sell one option with the lowest strike between -5 delta or 20% below the current future price.
Buy one option to get to a delta of -3.
Have 5x IM

Yes, see bottom of this post (uses 6 x IM but you get the idea):

I would've said: sell one option with the lowest strike between -5 delta or 20% below the current future price, and buy one option to create a position with a net delta of 2. So for example, if the option sold has a delta of -3.5; you would buy an option with a delta of -1.5. Hold 5 x IM.

One thing to keep in mind is that sometimes to get a strike 20% below the current future price, the delta of the option sold is around -2; in those cases I modeled buying an option with a delta of -0.5. In other words, the option you buy cannot have a delta that is smaller than -0.5, even though this may create a position that has a net delta less than 2.

Reply With Quote
Thanked by:
  #6213 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


On June 5 I sold ESu7p1960(2)p1750(3) for 3.00 using 4xIM. After holding for 37 days I exited today at 1.60. 1.9% mROI.

This was my first 2x3 spread.

Started this thread Reply With Quote
  #6214 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785

Here's a side by side comparison of a 2x3 spread trade vs a 1x2.

The 2x3 is short two -3 delta with long three -1 delta puts using 4xIM.

The 1x2 is short one -5 delta with long two -1.5 delta puts using 6xIM. My old strategy.



The entry price on the 2x3 is my actual price. I adjusted the 1x2 entry price to match same price on 2x3.

I entered the trade on 20170605. They both reached same percent drop at 65 DTE. Prior to that day the 1x2 was running a lower drop.

The mROI was 1.9% for the 2x3 vs 1.1% for the 1x2. Even if you used 6xIM for the 2x3 the mROI would have been higher (1.3%).

Started this thread Reply With Quote
Thanked by:
  #6215 (permalink)
 rsm005 
vancouver BC/Canada
 
Experience: Beginner
Platform: Zaner360, OX
Broker: DeCaley
Trading: options
Posts: 264 since Jan 2015
Thanks Given: 13
Thanks Received: 205

Ron,

Given that August is seasonally a down month are you going to wait before you open your next position? I did that 1/2 spread on the 27th of last month and am still waiting it out.

/rsm005/

Reply With Quote
  #6216 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


rsm005 View Post
Ron,

Given that August is seasonally a down month are you going to wait before you open your next position? I did that 1/2 spread on the 27th of last month and am still waiting it out.

/rsm005/

Heck no not waiting. Aug 2016 was up. 2014 was way up. 2012 was up. Three of last 5 years were up.

Why are you concerned about current position? You have only held it 16 days. Average days held is about 28.

Started this thread Reply With Quote
Thanked by:
  #6217 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142


ron99 View Post
Heck no not waiting. Aug 2016 was up. 2014 was way up. 2012 was up. Three of last 5 years were up.

Why are you concerned about current position? You have only held it 16 days. Average days held is about 28.

Is historical seasonality of any interest now in ES?
I have the impression the market today is very different than the one 10 years ago.
(Or maybe I just read too much Zerohedge)

Reply With Quote
  #6218 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


manuel999 View Post
Is historical seasonality of any interest now in ES?
I have the impression the market today is very different than the one 10 years ago.
(Or maybe I just read too much Zerohedge)

I pay little attention to ES seasonals. They don't seem to work lately.

Even "sell in May" doesn't work. Up 30.50 this year. +36 last year. +27 in 2015. +43.5 in 2014. +36.75 in 2013.

2012 ES in May -85.00.

Started this thread Reply With Quote
Thanked by:
  #6219 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


manuel999 View Post
Is historical seasonality of any interest now in ES?
I have the impression the market today is very different than the one 10 years ago.
(Or maybe I just read too much Zerohedge)

According to my experience, seasonals in the indices, financials, and currencies do not work as well as seasonals in the grains, beans, meats, and softs. Perhaps it is because often I do not understand the fundamentals behind them.

Best regards, Myrrdin

Reply With Quote
Thanked by:
  #6220 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


Today July 13 I sold EW3v7p1960(2)p1740(3) for 2.70.

Started this thread Reply With Quote
Thanked by:




Last Updated on July 28, 2023


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts