Selling Options on Futures?

October 18th, 2015, 06:45 PM

datahogg

Ron99 may I ask approximately what is the ratio of (Vega/Theta) (on average) when you open positions?

I never look at any technicals. That is because I feel the money you leave on the table waiting for the best time to trade you probably will never get back.

October 19th, 2015, 12:34 AM

ron99

.

I do not understand your question #2.

If you open position and receive a premium (f.e. 100 $ per position) would you include this premium in your account balance calculation?

October 19th, 2015, 01:14 AM

I am using IB and therefor trading in another margin world as seen here.

Instead of

ron99

..
The parameters are sell one ES put at a 5.00 delta and buy two ES puts at a 1.50 delta of the same month. They would have made a nice profit on 8/24 and they would have allowed you to ride out other big drops. So they give you the combination of making money on a Black Swan event and also making slightly more ROI during normal times. But just like a naked option they do not protect you from a long term drop in ES.
..

I am using reverse Calendar Puts.
F.e. selling one ES put at 3.00 delta (or even higher if you want to take more risk) and buying one ES put (same strike, but one month less DTE than the sold one).
Compared to the naked put, this will cut my premium by 50 %, but will use only 10 % of the margin of the naked put.
Instead of the sell one, buy two puts, it will also use only 30% margin.

But I do not know, if this would eliminate the margin call problems as seen in Aug/Sept.

I think the black swan protection of this is as good as the -1:+2 spread protection. But it is also no protection against a long term drop in ES.

Any opionions?

October 19th, 2015, 10:01 AM

uuu1965

If you open position and receive a premium (f.e. 100 $ per position) would you include this premium in your account balance calculation?

No because on your statement the firm removes the current value of the option. For example, if you sell an option for $100 and the settlement today is $90 your account is only up $10 not $100.

You should include the $10 but not the $100.

October 19th, 2015, 12:18 PM

satghost

I am using IB and therefor trading in another margin world as seen here.

Instead of

I am using reverse Calendar Puts.
F.e. selling one ES put at 3.00 delta (or even higher if you want to take more risk) and buying one ES put (same strike, but one month less DTE than the sold one).
Compared to the naked put, this will cut my premium by 50 %, but will use only 10 % of the margin of the naked put.
Instead of the sell one, buy two puts, it will also use only 30% margin.

But I do not know, if this would eliminate the margin call problems as seen in Aug/Sept.

I think the black swan protection of this is as good as the -1:+2 spread protection. But it is also no protection against a long term drop in ES.

Any opionions?

Using SPAN margin your spread (ESx5p1660:ESv5p1660) goes on margin call 9/1/15 with a 57.5% drawdown. The spread on the right side of the table is using 5.00 delta short and two 1.50 delta longs for the same month as the short.

I do not know what IB would have done.

I suggest you and anyone else go to the PC-SPAN thread and download the latest XLS-SPAN Excel spreadsheet. Then download the CME and/or ICE files for each date you want to run a Track Historic backtest. Then you can run many different backtests to see how they would have performed.

October 20th, 2015, 05:04 AM

Hello ron99,

thanks for this thread. Your new strategy is to sell 1 put and buy 2 lower ones. Did you also do the backtest from 1/1/2013 to see how the ROI is changed?

Thanks, Uwe

October 20th, 2015, 07:11 AM

This is more to check margins at IB and do a practice for myself on identifying the right trades

Jan 29th expiration:
DTE: 101
Short 1x ES 1745 Put: 5.21 Delta
Long 2xES 1660 Put: 1.47 Delta (next put is 1.74 Delta)

Mid Point Price: 3.60
IM: 183

**********

Jan 15th expiration:
DTE: 87
Short 1x ES 1760 Put: 4.96 Delta
Long 2xES 1685 Put: 1.47 Delta (next put is 1.60 Delta)

Mid Point Price: 3.00
IM: 170

Of course me personally would wait for a down day and I am leaning more towards the Jan 29th (if i was to make the trade today.. say today being a down day)

October 20th, 2015, 11:13 AM

uwevoelker

Hello ron99,

thanks for this thread. Your new strategy is to sell 1 put and buy 2 lower ones. Did you also do the backtest from 1/1/2013 to see how the ROI is changed?

Thanks, Uwe

No.

That would be a good project for someone else to do.

October 20th, 2015, 08:23 PM

CME raising option fees starting next year.

Quoting

Non-Member E-Mini Equity Futures Globex Fee will increase from $0.76 to $0.77 (+$0.01)

CME Ag Options Globex Fee will increase to be equivalent to CME Ag Futures across all customer types:

Non-member fees on Ag options traded on Globex will rise to $1.34, matching the fees on futures, from the current 70 cents.

https://www.cmegroup.com/content/dam/cmegroup/company/membership/membernet/files/No-4-SER-2016-Fee-Changes-VF.pdf

I guess this 1Q profit wasn't enough.

Quoting

Profit rose to $330.4 million, or 98 cents a share, from $266.8 million, or 79 cents, a year earlier.

Revenue increased 8.4% to $842.7 million. Clearing and transaction fees, which account for about 85% of the company’s top line, climbed 8.6% to $708.2 million.

https://www.wsj.com/articles/cmes-profit-rises-on-higher-trading-volumes-1430392342

October 20th, 2015, 08:59 PM

@ron99

New 2016 CME Group Transaction Fee Changes

New 2016 CME Group Transaction Fee Changes

Announced October 19, 2015, SER# 7497

Fee changes in INTEREST RATE PRODUCTS are as follows:
– Non-Member 10 Year U.S. Treasury Futures Electronic Exchange Fee will increase from $0.59 to $0.69 (+$0.10)
– …

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Selling Options on Futures?

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Selling Options on Futures?