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Selling Options on Futures?
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Selling Options on Futures?

  #6321 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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manuel999 View Post
In both trades you exited before reaching a 50% decay in the option price.
What lead you to get out of the trade? Do you have a specific ROI target?

Thanks.

Because Friday Sep 15 is expiration of Sep options and futures. Seasonally prices drop this day and through end of month. Except it didn't do that in 2016. In 2013 it dropped 47.75. 2014 -44.25. 2015 -34.25. 2016 +15.25.

Still shooting for 50% drop. I was close enough that I decided to exit early in case the Friday drop happened.

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  #6322 (permalink)
Market Wizard
Cleveland, OH
 
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datahogg View Post
Has anyone had any luck with hedging short ES puts by selling an ES futures contract?

Nope. Get caught losing money because after adding ES future the future price reversed.

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  #6323 (permalink)
Trading for Fun
westhills california US
 
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On 9/7/17 sold ESx7p2100(1)p1880(2) for 3.2 10x IM. Delta: 7 and 2 respectively.
Exited on 9/15/17 for 1.65
mROI=2.8% at almost 50% prem.

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  #6324 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
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ron99 View Post
Because Friday Sep 15 is expiration of Sep options and futures. Seasonally prices drop this day and through end of month. Except it didn't do that in 2016. In 2013 it dropped 47.75. 2014 -44.25. 2015 -34.25. 2016 +15.25.

Still shooting for 50% drop. I was close enough that I decided to exit early in case the Friday drop happened.

Well that didn't work. Almost no drop on Friday. Price up today.

In hindsight I should have just stayed with plan, ignore everything else and not try to time entry and exit.

Looks like another seasonal (the drop on expiration day) that has quit working.


Last edited by ron99; September 18th, 2017 at 02:17 PM.
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  #6325 (permalink)
Market Wizard
Cleveland, OH
 
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Favorite Futures: Options on Futures
 
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ROI is horrible now. Base Volatility (BV) is down to 9.8%. Lowest this year.

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


I looked up doing a new spread ESz7p2030(2)p1900(3) and possible ROI is only 0.4% because net premium is only $75 before costs with IM at $396.

I decided I'm going to take an RV trip and not have any positions on for that low ROI.

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  #6326 (permalink)
Market Wizard
Houston, TX
 
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re: Options Backtesting,

Just listened to
Better System Trader 121 – Volatility and Systematic Options Strategies with Luca Giusti
121 - Volatility and Systematic Options Strategies with Luca Giusti - Better System Trader

and he mentioned
OptionLAB - Automated Options Backtesting
http://www.qtlab.ch/index.php/trading-systems-38/options-backtester

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  #6327 (permalink)
Elite Member
Germany
 
Futures Experience: Intermediate
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ron99 View Post
ROI is horrible now. Base Volatility (BV) is down to 9.8%. Lowest this year.

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


I looked up doing a new spread ESz7p2030(2)p1900(3) and possible ROI is only 0.4% because net premium is only $75 before costs with IM at $396.

I decided I'm going to take an RV trip and not have any positions on for that low ROI.

If this articles is correct, taking a one month vacation right now makes sense.
Volatility is lurking under the surface of the stock market - Business Insider Deutschland

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  #6328 (permalink)
Elite Member
Hasselt Belgium
 
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I'm looking for a way to chart the implied volatility of the commodity futures. Eg, a one year chart.

Currently I found only ivolatility. (and barchart.com but there is a lot of volatility data missing )
Do you guys know another source ?

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  #6329 (permalink)
Market Wizard
Linz Austria
 
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trendandfade View Post
I'm looking for a way to chart the implied volatility of the commodity futures. Eg, a one year chart.

Currently I found only ivolatility. (and barchart.com but there is a lot of volatility data missing )
Do you guys know another source ?

MRCI has these charts, including seasonals for the implied volatility. I work with them for many years.

Best regards, Myrrdin

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  #6330 (permalink)
Trading Apprentice
Oakland
 
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trendandfade View Post
I'm looking for a way to chart the implied volatility of the commodity futures. Eg, a one year chart.

Currently I found only ivolatility. (and barchart.com but there is a lot of volatility data missing )
Do you guys know another source ?

Thinkorswim platform can do this.

Sent using the futures.io mobile app

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