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Selling Options on Futures?


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Selling Options on Futures?

  #5771 (permalink)
 ron99 
Cleveland, OH
 
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kulu View Post
@ron99

Did you enter any put position in /ES today? Also, I was looking at the trade you describe for ES Put Selling, and I am not sure I understand the 2 long puts. You say you want delta = 1.5. I am finding that the deltas on my platform (TOS) are not in that magnitude. I couldn't find a delta 1.5 put. The short 5 delta was no issue, but I couldn't find any 1.5 delta option.

I would like to demo this trade for the rest of the month and start small when I have enough occurrences to go live.

Thanks

No trades for me today.

If I was entering a spread on Tuesday I would sell a EW3j7p1870 (delta 5.04) and buy 2 EW3j7p1650 (delta 1.47 each). IM is $569. Net premium is 3.50.

Monthly ROI using 6x IM if you exit at 50% drop of net premium after 30 days is 1.9%. It is low because volatility is low causing put premium to be low.

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  #5772 (permalink)
 
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 Blash 
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ron99 View Post
I have decided that it is almost impossible to predict direction of markets.

So unless you think that the market is going to drop lower than the strike of your short position, keep putting positions on.

Several people, me included, were worried about Trump being elected and that it might crash the markets. The opposite happened.


Santa Claus Rally........

https://http://www.investopedia.com/terms/s/santaclauseffect.asp

https://en.wikipedia.org/wiki/Santa_Claus_rally

this probability is high...... during December

Ron (Blash)

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  #5773 (permalink)
KBal
Evans, GA
 
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Flintsone99 View Post
Just a question about Victor Niederhoffer and him going bust in 1997 selling puts. I was just curious if anyone knew more about his position?
From this article all I can gleam is that an 8% move wiped him out and that he was naked.
Anyone know what time frame he was trading and how far OTM he was?

It is a old article but we can use it as an example of what not to do

Victor Niederhoffer Thinks He Caused The Stock Market Crash Of 1997 - Business Insider


An interesting line in his Wikipedia entry may give us clues (I have no idea how to get prices from that far back to tell if that was ATM or OTM)
"In statistical terms, I figure I have traded about 2 million contracts, with an average profit of $70 per contract (after slippage of perhaps $20). This average is approximately 700 standard deviations away from randomness."

https://en.wikipedia.org/wiki/Victor_Niederhoffer

An interview with him shortly after the 1997 crash. He still looks shell shocked

Yeah he does look shell shocked. Seems to stunned by it still to do an interview. It's sad man.

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  #5774 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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Volatility in ES (BV on Scan sheet in Dudetooth's XLS-SPAN spreadsheet) has gone from 13.8% on Dec 30 to 11.8% now. That is very low and killing premiums of ES options and lowering possible ROI. It was 16.8% on Dec 31, 2015.

A ~5.00 delta ES put on
12/31/15 78.3% of ES futures
12/30/16 80.0% of ES futures
01/13/17 83.4% of ES futures

I'm not staying out but be careful and make sure you have enough excess. Don't try to cut corners (excess).

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  #5775 (permalink)
uwevoelker
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ron99 View Post
If I was entering a spread on Tuesday I would sell a EW3j7p1870 (delta 5.04) and buy 2 EW3j7p1650 (delta 1.47 each). IM is $569. Net premium is 3.50.

Where do you look at for the delta? "span_delta" in the SPAN files?

Like the other poster mentioning TOS, when I look at the delta in TWS there is a huge discrepancy (TWS delta is way too low for small deltas).

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  #5776 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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uwevoelker View Post
Where do you look at for the delta? "span_delta" in the SPAN files?

Like the other poster mentioning TOS, when I look at the delta in TWS there is a huge discrepancy (TWS delta is way too low for small deltas).

The easiest for me is to get it from Dudetooth's XLS-SPAN excel spreadsheet.

It is also available here from the CME.
https://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf

For April EW3 puts they are on page 18 for the Jan 13th pdf.

CME has .015 for an April EW3 1680 put. That is the same as what I call 1.50. 1.50 percent is the same as .015 in decimal format. Maybe TOS is using the same format as CME. My data provider uses 1.50.

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  #5777 (permalink)
 
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 SMCJB 
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ron99 View Post
I'm not staying out but be careful and make sure you have enough excess. Don't try to cut corners (excess).

I'd post a VIX vs SPX scatter but last time I did the implication was dead wrong.
As such I'm almost dead flat and market keeps going straight up!

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  #5778 (permalink)
 ron99 
Cleveland, OH
 
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SMCJB View Post
I'd post a VIX vs SPX scatter but last time I did the implication was dead wrong.
As such I'm almost dead flat and market keeps going straight up!

I'm up 6% this month for accounts with only ES put spreads in them.

I have found that I am wrong as much as I am right when I try to time entry. So I just add new positions without trying to do any timing.

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  #5779 (permalink)
uuu1965
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https://www.bloomberg.com/news/articles/2017-01-20/as-trump-gets-sworn-in-stock-investors-may-be-swearing-chart

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  #5780 (permalink)
 
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 SMCJB 
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ron99 View Post
I'm up 6% this month for accounts with only ES put spreads in them.

I have found that I am wrong as much as I am right when I try to time entry. So I just add new positions without trying to do any timing.

That's impressive Ron.
I had an excellent year last year but month to date I'm only +0.2% vs SPX +1.1%.
I'm too flat as I've felt this market is overextended.

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