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Selling Options on Futures?
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Selling Options on Futures?

  #6231 (permalink)
Market Wizard
Cleveland, OH
 
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myrrdin View Post
Sorry - a simple question from a non-native speaker: What is an RV ?

Best regards, Myrrdin

Recreational Vehicle. Or camper.

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What are they called in Europe?

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  #6232 (permalink)
Market Wizard
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datahogg View Post
I don't think I have heard you say, but I think you were hit hard in August of 2015 like a lot of people.

Yes I was mainly because I was doing naked options.

On 7/31/15 I sold ESx5p1650 naked 3xIM. Big loser.

I also sold on 8/6/15 ESx5p1700p1500 1x1 and only used 3xIM. That was -4.40 delta on short and -1.12 delta on long. Loser.

I had just started to research spreads and the one I had on was not the correct delta or excess to ride out Aug 2015.

My one short (-5 delta) two long (-1.5 delta) 6xIM spread or the two shorts (-3 delta) three longs (-1 delta) 4xIM spread would have survived Aug 2015 with no losses.

Backtesting these spreads since 2012 for every single day has shown they would never had a losing trade. Of course they would have lost money late 2008. But it was obvious you shouldn't be selling puts late 2008.

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  #6233 (permalink)
Trading for Fun
Riga Latvia
 
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myrrdin View Post
Sorry - a simple question from a non-native speaker: What is an RV ?

Best regards, Myrrdin

I think it`s motor home. Right @ron99?

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  #6234 (permalink)
Trading for Fun
westhills california US
 
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On 6/19/17 I sold EW3v7p2075(1)p1800(2) for 6.25. Exited today at 3.00. 31 days held. Used 6xIM. Net Delta was approx 4. Profit at 45%. mROI was 5.2% useing TFOpts and Ron's formula. I noticed if the trade is not in the range DTE: 90-120, in this case 123 it takes longer for decay. Or maybe higher net Delta plays a role too.

Does different ratios such as -2 to +3 vs -1 to +2 actually increase or decrease the number of days to liquidation? or maybe no effect at all.

Thanks
Babak

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  #6235 (permalink)
Market Wizard
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rajab View Post
On 6/19/17 I sold EW3v7p2075(1)p1800(2) for 6.25. Exited today at 3.00. 31 days held. Used 6xIM. Net Delta was approx 4. Profit at 45%. mROI was 5.2% useing TFOpts and Ron's formula. I noticed if the trade is not in the range DTE: 90-120, in this case 123 it takes longer for decay. Or maybe higher net Delta plays a role too.

Does different ratios such as -2 to +3 vs -1 to +2 actually increase or decrease the number of days to liquidation? or maybe no effect at all.

Thanks
Babak

When TFOpts ran his study he had days held in the table.

Yes a higher DTE and higher delta will take longer to drop 50%,

But 31 days held is not abnormal. Average for study was I believe 28-29 days held.

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  #6236 (permalink)
Market Wizard
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ron99 View Post
Recreational Vehicle. Or camper.

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What are they called in Europe?

You will have much fun with it. I owned RVs (or "Wohnmobile" in German) for many years. In Germany these cars are usually smaller, and based on a regular Volkswagen-Bus.

Best regards, Myrrdin

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  #6237 (permalink)
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ron99 View Post
Off topic

I actually just bought an RV and will be starting to travel and trade from the RV. Made sure it has Wifi extender and 4G so I have good internet in many places.

MY ES put strategy, which doesn't take a lot of hands on daily effort, should work well when traveling. My cellphone has an app from a broker with real time futures prices so I can watch even when not near RV.

Wow. That sounds like a great life.

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  #6238 (permalink)
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Goshen Indiana USA
 
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Trade Entry


ron99 View Post
On 6/29/17 I sold EW3v7p1940(2)p1720(3) for 4.25. Exited today at 2.00. 20 days held. Used 4xIM. mROI was 6.9%

@ron99 On 6/5 you sold a spread, closed it on 7/12 and on 6/29 you sold a spread, closed it on 7/19. Do you purposely divide your account to have 2 ES trades on with 2 different expirations?

Thanks, RBtrader

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  #6239 (permalink)
Market Wizard
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RBtrader View Post
@ron99 On 6/5 you sold a spread, closed it on 7/12 and on 6/29 you sold a spread, closed it on 7/19. Do you purposely divide your account to have 2 ES trades on with 2 different expirations?

Thanks, RBtrader

I try but I am not sure it is necessary. I have a small account that only has one ES spread trade on at once and I am not seeing any difference between that one and the other ones that have on 2.

BTW I just calculated my days held average for 2017 and it is 27.3.

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  #6240 (permalink)
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