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Selling Options on Futures?


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Selling Options on Futures?

  #6511 (permalink)
tinaturner
BARCELONA/SPAIN
 
Posts: 33 since Sep 2013
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302/5000
Hello Ron
I'm checking the margin of Tradestation to see if they correspond with yours to end up selling options as you do.
For sale 1ES MAY 2018 (W) 2600 PUT and buy 1ES MAY 2018 (W) 2350 PUT. The margin is $ 1005. It seems to be superior to SPAN.
Ron, your account is cash account?

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  #6512 (permalink)
tinaturner
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Another question Ron. When I try to make a distant spread, Tradestation tells me that it is not listed. I think I can only build the spread by legs. First buying the 3 distant puts and then selling the 2 puts closest to the price. I can not do it by verticals. Is this normal? Does the same thing happen to you with your broker?

Thanks

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  #6513 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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tinaturner View Post
302/5000
Hello Ron
I'm checking the margin of Tradestation to see if they correspond with yours to end up selling options as you do.
For sale 1ES MAY 2018 (W) 2600 PUT and buy 1ES MAY 2018 (W) 2350 PUT. The margin is $ 1005. It seems to be superior to SPAN.
Ron, your account is cash account?

When you put a "-1" in front of an option that means you are selling that option.

I'm not sure what your (W) means. Is that a weekly option? If so which one. There are 4 weekly options.

If those are week 3 options, then SPAN margin is $1,282. I don't believe any broker can charge less than SPAN margin. Are you sure that is margin and not the net premium? That $1,005 is close to current net premium.

For your other question, yes it is common to have to leg into spreads.

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  #6514 (permalink)
tinaturner
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It's "cash effect". I don't know what it means. Now is 975.
The vertical is EW3 may18 2600 2350. The value of cash effect is the same if I buy or if I sell the put vertical.
Cash effect is not the same as margin?

Thanks

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  #6515 (permalink)
 ron99 
Cleveland, OH
 
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tinaturner View Post
It's "cash effect". I don't know what it means. Now is 975.
The vertical is EW3 may18 2600 2350. The value of cash effect is the same if I buy or if I sell the put vertical.
Cash effect is not the same as margin?

Thanks

No. That is the effect to your account by the net premium.

You need to talk to someone at TradeStation to understand their platform.

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  #6516 (permalink)
 
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 SMCJB 
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The Bad News
In the last 20 years, the market has dropped by 2% or more on a Friday on 45 occasions. The following Monday the market is down an average of 0.65%

The Good News.
By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%

Other News
The really dangerous days are when Thursday and Friday are both big down days. The four times the market has been down 2% Thursday and Friday in the last 20 years it is down on average another 2.7% Monday.

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  #6517 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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SMCJB View Post
The Bad News
In the last 20 years, the market has dropped by 2% or more on a Friday on 45 occasions. The following Monday the market is down an average of 0.65%

The Good News.
By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%

Other News
The really dangerous days are when Thursday and Friday are both big down days. The four times the market has been down 2% Thursday and Friday in the last 20 years it is down on average another 2.7% Monday.

When you say that "By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%" does that mean +0.15% from Thursday close to Tuesday close? Or Friday's down close to Tues close?

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  #6518 (permalink)
 
SMCJB's Avatar
 SMCJB 
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ron99 View Post
When you say that "By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%" does that mean +0.15% from Thursday close to Tuesday close? Or Friday's down close to Tues close?

Friday Close - Tuesday Close. So offsetting the Monday decline but not the Friday decline.

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  #6519 (permalink)
 
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 SMCJB 
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ES futures have dropped 2% and 5% in consecutive days 6 times prior to today, 5 of the 6 in Q4'2008.
Stats....

Column 1 is ES Close 2 days ago
Column 2 is ES Close 1 day ago
Column 3 is ES Close
Column 4 is ES Close 1 day later
Column 5 is ES % Change 2 Days Ago to 1 Day Ago
Column 6 is ES % Change 1 Day Ago to Today
Column 7 is ES % Change Today to tomorrow

 
Code
10/09/2008	Thu	1005.7500	981.0000	912.5000	891.0000	-2.4609	-6.9827	-2.3562	
10/22/2008	Wed	990.5000	959.2500	902.7500	915.2500	-3.1550	-5.8900	1.3847	
11/06/2008	Thu	1003.2500	958.0000	904.5000	936.2500	-4.5103	-5.5846	3.5102	
11/12/2008	Wed	921.5000	893.0000	844.5000	907.7500	-3.0928	-5.4311	7.4896	
11/20/2008	Thu	866.5000	812.5000	748.2500	792.0000	-6.2320	-7.9077	5.8470	
08/24/2015	Mon	2025.5000	1971.5000	1871.2500	1872.7500	-2.6660	-5.0850	0.0802

Same analysis, SPX instead of ES, 24 occurrences, sorry the columns are wonky. The scary value in there is Black Monday, 19th October 1987. That was a Monday following a large (5%) Friday drop, and we have shown previously that large Friday drops tend to have more follow through on Monday, than when the drop occurs on other days do.

 
Code
10/29/1929	Tue	26.1200	24.3400	20.4300	22.9900	-6.8147	-16.0641	12.5306	
11/06/1929	Wed	24.1500	22.8800	20.6100	21.3700	-5.2588	-9.9213	3.6875	
11/12/1929	Tue	21.1800	19.8600	18.7300	17.6600	-6.2323	-5.6898	-5.7128	
11/13/1929	Wed	19.8600	18.7300	17.6600	19.2400	-5.6898	-5.7128	8.9468	
09/29/1931	Tue	10.9200	10.6200	10.0600	9.7100	-2.7473	-5.2731	-3.4791	
05/31/1932	Tue	5.1100	4.8300	4.4700	4.4000	-5.4795	-7.4534	-1.5660	
06/08/1932	Wed	5.1500	4.8500	4.5700	4.5700	-5.8252	-5.7732	0.0000	
09/13/1932	Tue	8.7500	8.4700	7.8000	7.3500	-3.2000	-7.9103	-5.7692	
09/14/1932	Wed	8.4700	7.8000	7.3500	7.6600	-7.9103	-5.7692	4.2177	
10/10/1932	Mon	7.4300	7.0200	6.6000	6.8800	-5.5182	-5.9829	4.2424	
10/21/1932	Fri	7.4000	7.2300	6.8200	6.8100	-2.2973	-5.6708	-0.1466	
07/20/1933	Thu	12.2000	11.6000	10.5700	9.6500	-4.9180	-8.8793	-8.7039	
07/21/1933	Fri	11.6000	10.5700	9.6500	10.1100	-8.8793	-8.7039	4.7668	
09/21/1933	Thu	11.0400	10.6900	10.0300	10.2600	-3.1703	-6.1740	2.2931	
10/19/1933	Thu	9.5100	9.0700	8.6100	8.8600	-4.6267	-5.0717	2.9036	
11/19/1937	Fri	11.3900	11.1600	10.5100	10.5400	-2.0193	-5.8244	0.2854	
05/14/1940	Tue	11.7600	11.4600	10.2800	10.3800	-2.5510	-10.2967	0.9728	
10/16/1987	Fri	305.2300	298.0800	282.9400	225.0600	-2.3425	-5.0792	-20.4566	
10/19/1987	Mon	298.0800	282.9400	225.0600	236.8400	-5.0792	-20.4566	5.2342	
10/07/2008	Tue	1099.2300	1056.8900	996.2300	984.9400	-3.8518	-5.7395	-1.1333	
10/22/2008	Wed	985.4000	955.0500	896.7800	908.1100	-3.0800	-6.1012	1.2634	
11/06/2008	Thu	1005.7500	952.7700	904.8800	930.9900	-5.2677	-5.0264	2.8855	
11/12/2008	Wed	919.2100	898.9500	852.3000	911.2900	-2.2041	-5.1894	6.9213	
11/20/2008	Thu	859.1200	806.5800	752.4400	800.0300	-6.1156	-6.7123	6.3248

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  #6520 (permalink)
 rsm005 
vancouver BC/Canada
 
Experience: Beginner
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All,

I didn't have a position open for the fiasco over the past few days but was curious, how well did the various spread strategies perform? Can someone post the numbers? I'm not sure when the margin files will be posted by the CBOE so I was hoping someone could share.

/rsm005/

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