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Selling Options on Futures?
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Selling Options on Futures?

  #6671 (permalink)
Market Wizard
Linz Austria
 
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Tomaz26 View Post
Can you mention those 2-3 please? Also I am from Slovenia, some brokers do not allow customers outside of US.

I work with DeCarley Trading, and I am very happy with them. Best service I ever received.

Best regards from Austria to Slovenia, Myrrdin

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  #6672 (permalink)
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myrrdin View Post
Some remarks:

2017 was an excellent year for ES put sellers - not even one major drawdown. Not many years are that easy.
The most important thing in trading is not making profit, but preserve the account. 10 % profit is nice profit. As far as I know you are not a full time trader.
It is a good idea not to watch the monthly profit. In my trading statistics I only look at trades already liquidated.
There are good times for selling options, and there are not so good times. That is why I diversify not only regarding commodities, but also regarding differnt types of the underlying (see my recent post in this thread).

Good luck !

Best regards, Myrrdin

Yes, my trading improved when I stopped looking at the $ amount altogether, only looking at the percentages of a trade as a marker how that trade is going. I still see it as a learning experience.

Thanks for your input here on on other threads.

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  #6673 (permalink)
Market Wizard
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On Jan 11 I sold ESj8p2250(-2)p2000(+3) for 2.75. Today I finally exited at 1.60 (of course 30 minutes later I could have exited at 1.20). Days held 60. Monthly ROI 0.7%.

Today Mar 12 I sold ESm8p2130(-2)p1840(+3) for 4.60. 95 DTE. Using 6xIM now. If exit at 30 days held and 50% drop in premium the ROI would be 2.2%.

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  #6674 (permalink)
Trading Apprentice
Los Angeles, California
 
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Rolling to the next month

Hi everyone,

Finally caught up to all 600+ pages of this thread, simply amazing and very dense, I may need to reread most of them again to make sure I don't miss anything. Thank you for all the contributors and especially to Ron on sharing his thoughts and strategies.

I am currently testing rolling strategy when trade is being challenged.

I back tested the 1/2 strategy (Short 1 at 3 delta and long 2 at 1 delta 100 DTE on /ES) using Dudetooth's latest XLS Span file.

I did two back-tests so far:
Feb 2018 correction:
  • On 20180122 sold EWJ8p2300(-1)p2000(+2) with $73 credit, IM = $200 (MF 4XIM = $800). On 20180205 position was challenged: spread value increased from $73 to $600 (PL = -$527.50), margin requirement = IM - PL = $444.40 - (-$527.50) = $971.50. If we were to roll this position on 20180205 to EWK8 DTE 115 to obtain greater than $600 credit, we would close the above position and sold EWK8p2200(-1)p1800(+2) with $710 credit and IM = $510 (is getting lower IM than the credit received possible?). Total credit collected from the closed position and the rolls = $73 + ($710-$600) = $183 - commision. This new position reduced the margin requirement from $971.50 to $510 (almost 50% reduction in margin requirement).
Jan 2016 correction:
  • On 20151103 sold ESG6p1550(-1)p1350(+2) with $38 credit, IM = $97 (MF 4XIM = $388). On 20160121 position was challenged: spread value increased from $38 to $85.5 (PL = -$47.5), margin requirement = IM - PL = $432.30 - (-$47.5) = $479.80, would have gotten a margin call if the account was full. If we were to roll this position on 20150121 we would close the above position at $85.5 (realized the PL = -47.50) and sold ESK6p1200(-1)p900(+2) with $135 credit and IM = $261. This new position reduced the margin requirement from $479.80 to $261 (approximately 50% reduction in margin requirement). Total credit collected from the closed position and the rolls = $38 + ($135-$85.5) = $87.50 - commision. This new position can be exited at break even point 7 days later (DTE 113) with Debit of $75 + commision, and can be exited at 50% of the total credit collected ($87.50 - commision) with the debit of $37.50 when DTE is 92.

It's still too early to conclude, but this is what I hypothesize, we can lower the MF (instead of 4XIM or 5 XIM to perhaps 3XIM or even 2XIM ) and roll the position when challenged to further out in the month, and therefore increases ROI. Can anyone shoot this down or point out holes that I might've missed, before I run more backtest (it is very manual and moving at snail pace.)?

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  #6675 (permalink)
Market Wizard
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Narnar View Post
Feb 2018 correction:
  • On 20180122 sold EWJ8p2300(-1)p2000(+2) with $73 credit, IM = $200 (MF 4XIM = $800). On 20180205 position was challenged: spread value increased from $73 to $600 (PL = -$527.50), margin requirement = IM - PL = $444.40 - (-$527.50) = $971.50. If we were to roll this position on 20180205 to EWK8 DTE 115 to obtain greater than $600 credit, we would close the above position and sold EWK8p2200(-1)p1800(+2) with $710 credit and IM = $510 (is getting lower IM than the credit received possible?). Total credit collected from the closed position and the rolls = $73 + ($710-$600) = $183 - commision. This new position reduced the margin requirement from $971.50 to $510 (almost 50% reduction in margin requirement).

Actually the margin requirement increased from $444 to $510.

You started with $800. You lost $527.50 plus fees when you exited first spread. That left your account with about $240 left in it. Not enough to enter the new spread.

I wish this worked, but it looks like it doesn't.


Last edited by ron99; March 12th, 2018 at 05:16 PM.
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  #6676 (permalink)
Trading Apprentice
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ron99 View Post
Actually the margin requirement increased from $444 to $510.

You started with $800. You lost $527.50 plus fees when you exited first spread. That left your account with about $240 left in it. Not enough to enter the new spread.

I wish this worked, but it looks like it doesn't.

Thanks for your input, Ron. That is true, won't be able to enter a new spread. Perhaps rolling earlier (e.g., margin requirements increased by some percentages from initial margin requirements, and not wait until the positions are at max IM) roll to the next period 100+DTE. By not waiting, we may get whipsawed and roll the positions (increase in cost), but the thoughts is that the frequency the market move up or sideway or having a mini correction will be more frequent than the major correction. This may mean we don't have to roll as often, and will be able to enjoy the higher ROI when market moves up, sideways or mini correction. Also, by rolling earlier, this will ensure enough buying power to reestablish position. Although, this won't work during flash crash, nor sudden overnight move such as Feb 2018. The reestablishment of the new position require that we obtain credit of at least the debit paid while closing the old position, regardless of delta. Any thoughts on this?

I have been toying with the idea of shorting naked call at $400 away. From 2013-2018, market moved up $310 within 120 days. This will increase the annual ROI of 2-3% depending on market conditions. Any thoughts?

Sent using the futures.io mobile app

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  #6677 (permalink)
Market Wizard
Cleveland, OH
 
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Narnar View Post
Thanks for your input, Ron. That is true, won't be able to enter a new spread. Perhaps rolling earlier (e.g., margin requirements increased by some percentages from initial margin requirements, and not wait until the positions are at max IM) roll to the next period 100+DTE. By not waiting, we may get whipsawed and roll the positions (increase in cost), but the thoughts is that the frequency the market move up or sideway or having a mini correction will be more frequent than the major correction. This may mean we don't have to roll as often, and will be able to enjoy the higher ROI when market moves up, sideways or mini correction. Also, by rolling earlier, this will ensure enough buying power to reestablish position. Although, this won't work during flash crash, nor sudden overnight move such as Feb 2018. The reestablishment of the new position require that we obtain credit of at least the debit paid while closing the old position, regardless of delta. Any thoughts on this?

You will be rolling more often if you lower the timing of when you roll. Sometimes rolling when not needed when you look back in hindsight. Then profits disappear.

I have been toying with the idea of shorting naked call at $400 away. From 2013-2018, market moved up $310 within 120 days. This will increase the annual ROI of 2-3% depending on market conditions. Any thoughts?

Sent using the futures.io mobile app

It's not how far futures move, it's whether you can ride out the margin increases and losses on the premium.

What's the premium of calls $400 away? On Friday a June ES 3190 call (+402 on Friday) was 85 cents or $42.50. Margin on that is $1,021. If I add that naked call to my spread it still adds $400 IM. Not worth it for $42.50.

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  #6678 (permalink)
Elite Member
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CME data

Has anyone been able to download january's CME data from the FTP site? I keep trying to access the 2018 directory and get an error.

/rsm005/

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  #6679 (permalink)
Market Wizard
Cleveland, OH
 
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rsm005 View Post
Has anyone been able to download january's CME data from the FTP site? I keep trying to access the 2018 directory and get an error.

/rsm005/

I can't access it too. I'll email CME.

EDIT I called CME and it is working now. But they don't know why it wasn't working and they don't know why it is now working.


Last edited by ron99; March 21st, 2018 at 11:43 AM.
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  #6680 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Intermediate
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Where is the backtest/analysis for this strategy?



ron99 View Post

Today Mar 12 I sold ESm8p2130(-2)p1840(+3) for 4.60. 95 DTE. Using 6xIM now. If exit at 30 days held and 50% drop in premium the ROI would be 2.2%.

Hi Ron,
I am returning to this great forum after few months. I shall be grateful if you could let me know the page number where backtest of the above-mentioned strategy is done after which you started trading this strategy.
Regards,
Dilip


Last edited by dvbattul; March 22nd, 2018 at 07:38 AM.
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