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Selling Options on Futures?
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Created: by ron99 Attachments:760

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Selling Options on Futures?

  #6771 (permalink)
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dvbattul View Post
Hi KySt,
Ron has done a great job by giving examples and strategy parameters throughout the thread as the changes took place. A few others have also given their inputs.
I can mention just entry deltas here of the strategy.
Entry deltas at 90-108 DTE or around there:
Two shorts at delta = -3.0 each. Three longs at delta = -1.0 each.
Exit: at 50% drop in premium or when current MM is 100% of Account Balance ie or all MM in used up.

Please read the thread for details as Ron has suggested.
Regards,
Dilip

Thank you Dilip!

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  #6772 (permalink)
Market Wizard
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KySt View Post
Thank you Dilip!

Please use the Thanks button in the lower right of a post to thank a person. Making a new post to thank someone just makes this thread longer than it needs to be. Then people don't want to read all of the thread because it is so long.

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  #6773 (permalink)
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KySt View Post
Thank you Dilip!

So to be clear the newest strategy is selling 2 puts @ 3delta and buying 3 puts @ 1.5delta with 90-108 days left?
In the reading the thread, I am just up to 585. When did the adjustment occur; what was the catalyst?

Also, I've read where some sell on the call side. Are there specific guidelines to implement along side the put strategy?

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  #6774 (permalink)
Market Wizard
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KySt View Post
So to be clear the newest strategy is selling 2 puts @ 3delta and buying 3 puts @ 1.5delta with 90-108 days left?
In the reading the thread, I am just up to 585. When did the adjustment occur; what was the catalyst?

Also, I've read where some sell on the call side. Are there specific guidelines to implement along side the put strategy?

Patience. Patience. Patience. The current strategy is discussed in the pages not far after page 600. Good stuff there.

Selling 2 puts at 3 delta buying 3 puts at 1 delta. 90-120 DTE.

ES calls are not worth doing. Far closer to ITM and much lower ROI.

Please delete your thank you post. Click on Edit>Delete>Click button for Delete this Message>Delete this Message.

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  #6775 (permalink)
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ron99 View Post
Patience. Patience. Patience. The current strategy is discussed in the pages not far after page 600. Good stuff there.

Selling 2 puts at 3 delta buying 3 puts at 1 delta. 90-120 DTE.

ES calls are not worth doing. Far closer to ITM and much lower ROI.

Please delete your thank you post. Click on Edit>Delete>Click button for Delete this Message>Delete this Message.

Very good.
There isn't an edit button on the thank you post

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  #6776 (permalink)
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ron99 View Post

manuel999 View Post
Do you prefer a specific time in the day when you sell this?
Oct 2 I sold EW3f8p2020(2)p1780(3) for 3.15. IM is $462. DTE is 108. Possible ROI at 50% drop exit at 30 days is 2.6%.

Thanks.


Not really, but I do try to sell on Thursday before the weekend price erosion starts kicking in.

I have tried watching the chart and timing it to sell when prices start rising after a dip. But the truth is I have no idea where futures will be in 10 minutes or 2 hours from now.

Ron, earlier in the thread you reference knowing not to have been in the market during the later Aug'15 time frame.
What would have been the clues or analysis you would have used to ascertain the market condition and stayed out?

Thanks, Ky

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  #6777 (permalink)
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KySt View Post
Ron, earlier in the thread you reference knowing not to have been in the market during the later Aug'15 time frame.
What would have been the clues or analysis you would have used to ascertain the market condition and stayed out?

Thanks, Ky

Can you point me to the post where I said that. I don't remember.

If you right click on Permalink in upper right of the post you can copy the link. Then paste it in the response using the Insert Link in toolbar right below smiley face.

I do remember saying I wouldn't have been selling ES puts late in 2008. The market conditions that year were very volatile and there were banks closing earlier that year. Not to mention the housing collapse.

I have been charting data like employment, retail prices, housing to see indications of when economy is turning worse.

Also this indicator does very well showing when a recession is near (it goes negative before a recession). https://fred.stlouisfed.org/series/T10YFFM

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  #6778 (permalink)
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Hi Ron, based on the current strategy of -2 3D & +3 1D puts, we'd be looking at -2 ESU8 2100P (@7) and +3 ESU8 1980P (@4.5). The contract is 121 DTE and this gives a premium of only ~0.6 or ~$32 before transaction per "lot". Am I missing something here, since I remember there was a discussion on this and/or the diversified selling thread regarding not getting involved with short options with low premiums below $200-$300/contract.

I see that IV has dropped off quite a bit recently so not sure if that's causing the super low premiums here with the strategy. Would appreciate your thoughts!

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  #6779 (permalink)
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Home

Ron, have you made it home yet?

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  #6780 (permalink)
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ys91 View Post
Hi Ron, based on the current strategy of -2 3D & +3 1D puts, we'd be looking at -2 ESU8 2100P (@7) and +3 ESU8 1980P (@4.5). The contract is 121 DTE and this gives a premium of only ~0.6 or ~$32 before transaction per "lot". Am I missing something here, since I remember there was a discussion on this and/or the diversified selling thread regarding not getting involved with short options with low premiums below $200-$300/contract.

I see that IV has dropped off quite a bit recently so not sure if that's causing the super low premiums here with the strategy. Would appreciate your thoughts!

You have the wrong strike. The shorts should be -3 delta and the longs -1 delta. Your 1980 strike is about -2 delta.

So the trade today would be ESu8p2070(-2)p1770(+3). Net premium from yesterday's settlements is 4.75. IM is 684. If you exit at 50% drop in 30 days the ROI is 2.2%.

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