Selling Options on Futures?

June 12th, 2015, 08:22 PM

rsm005

Ron,

Question. I don't have the know to conduct any back tests or get the old data for this. During the Sept/Oct swing down would you have been pushed out of the position due to a margin call? My thought is if that dip can be held then the only thing that I can see forcing an exist is an actual correction in the S&P, but I don't want to get ahead of myself.

Also you mentioned running an analysis of ES against the VIX earlier. Would you be comfortable sharing the results?

Thanks
/rsm005/

Here's your answer. For research, entered options on worst day. 9/19/14.

Selling Options on Futures?

When I was researching this theory I found that being 90+ DTE and 0.0300 delta had the best combination of safety and return.

Here is my research on a worst case scenario from last fall.

On 9/19/14 a Nov 1670 ES put had a 0.0306 delta and premium was …

No margin call for options > 63 DTE. Yes for options < 64 DTE.

This post shows why lower DTE went on margin call.

Selling Options on Futures?

I have been doing some research on DTE of options. I found the following info enlightening.

I choose 3 options on the worst day to sell them. 9/19/14. Right before a 157 drop in ES over 18 trading days. They are all about a 3.00 delta.

A lot of info …

I ran another test starting on 10/08/14. Options that were 44 DTE went on margin call. Options 72 or 100 DTE did not. (not posted)

I never have done any research using VIX. I mentioned about researching time decay. I didn't find out anything on that that we didn't already know.

This thread has the free program (if you already have Excel) and links to data for 2013+ so you can do your own reasearch. Dudetooth's SPAN program.

PC-SPAN

We will use this thread to discuss working with the CME PC-SPAN program.

June 12th, 2015, 09:30 PM

ron99

I am now with DeCarley Trading and her customer service is the best I have ever seen. Gain, the FCM I am using through her, has had a few minor issues, but they do get fixed with Carley doing all of the calling to them. I highly recommend her.

Ron,

How do you get comfortable with firm (broker) risk?

Luis

June 13th, 2015, 12:21 AM

ron99

Here's your answer. For research, entered options on worst day. 9/19/14.

Selling Options on Futures?

When I was researching this theory I found that being 90+ DTE and 0.0300 delta had the best combination of safety and return.

Here is my research on a worst case scenario from last fall.

On 9/19/14 a Nov 1670 ES put had a 0.0306 delta and premium was …

No margin call for options > 63 DTE. Yes for options < 64 DTE.

This post shows why lower DTE went on margin call.

Selling Options on Futures?

I have been doing some research on DTE of options. I found the following info enlightening.

I choose 3 options on the worst day to sell them. 9/19/14. Right before a 157 drop in ES over 18 trading days. They are all about a 3.00 delta.

A lot of info …

I ran another test starting on 10/08/14. Options that were 44 DTE went on margin call. Options 72 or 100 DTE did not. (not posted)

I never have done any research using VIX. I mentioned about researching time decay. I didn't find out anything on that that we didn't already know.

This thread has the free program (if you already have Excel) and links to data for 2013+ so you can do your own reasearch. Dudetooth's SPAN program.

PC-SPAN

We will use this thread to discuss working with the CME PC-SPAN program.

Thank you so much my friend.

/rsm005/

June 13th, 2015, 12:56 AM

UnZane

Ron,

How do you get comfortable with firm (broker) risk?

Luis

I was customer of Man Financial, before they went bancrupt. Fortunately I left them early enough, but since then I am conscious of this risk.

I have distributed my money to three brokers independent of each other. Currently I trade with DeCarley, RJO, and brokerjet. (At brokerjet I hold my stocks account, but I could trade futures and options in case of emergency.) Thus, in case of problems of one of the brokers I only lose a part of my money. Additionally, in case one of the accounts is blocked for some days (no trade possible), I could enter off-setting trades in one of the other accounts.

Best regards, Myrrdin

June 13th, 2015, 10:18 AM

UnZane

Ron,

How do you get comfortable with firm (broker) risk?

Luis

Multiple firms.

June 13th, 2015, 02:04 PM

UnZane

Ron,

How do you get comfortable with firm (broker) risk?

Luis

A lot of the brokers tout the SIPC guarantee up to 500k, I don't think that applies to futures but stock and options.

June 13th, 2015, 04:03 PM

ron99

Multiple firms.

I think trading with one of the more established public firms such as TD Ameritrade (Thinkorswim) can substantially reduce the risk of your broker going bust. Public companies are subject to more scrutiny and oversight so they can't just disappear with your money overnight. I've been selling tons of ES puts with Thinkorswim of TD Ameritrade and happy with their service so far.

June 13th, 2015, 04:55 PM

hain241

I think trading with one of the more established public firms such as TD Ameritrade (Thinkorswim) can substantially reduce the risk of your broker going bust. Public companies are subject to more scrutiny and oversight so they can't just disappear with your money overnight. I've been selling tons of ES puts with Thinkorswim of TD Ameritrade and happy with their service so far.

In general, I agree with your statement about larger, public firms, but let's not forget that Man Financial was public and went bust over a weekend, and the largest banks and brokerages on Wall Street accepted govt bailouts (TARP, immediate conversion to a commercial bank, etc) to avoid going bust in short order. I realize that a few in the bailout group were 'forced' to join the group for public perception reasons, but the fact remains that in a crisis, the financial strength of any bank/brokerage/trader can disappear in days.

June 13th, 2015, 05:18 PM

hain241

I think trading with one of the more established public firms such as TD Ameritrade (Thinkorswim) can substantially reduce the risk of your broker going bust. Public companies are subject to more scrutiny and oversight so they can't just disappear with your money overnight. I've been selling tons of ES puts with Thinkorswim of TD Ameritrade and happy with their service so far.

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What are their options margins for ES ? (better than IB at least ?)
I'm looking for a good options broker, IB is fine for Futures but not options.

June 13th, 2015, 05:36 PM

sptrader

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What are their options margins for ES ? (better than IB at least ?)
I'm looking for a good options broker, IB is fine for Futures but not options.

Thinkorswim uses SPAN margin for futures options. IB requires 2 or 3 times of SPAN so it's definitely not a good choice for futures options sellers in terms of margin requirements at least.

Selling Options on Futures?

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Selling Options on Futures?