NexusFi: Find Your Edge


Home Menu

 





Selling Options on Futures?


Discussion in Options

Updated
      Top Posters
    1. looks_one ron99 with 2,221 posts (4,489 thanks)
    2. looks_two SMCJB with 346 posts (733 thanks)
    3. looks_3 kevinkdog with 341 posts (400 thanks)
    4. looks_4 myrrdin with 288 posts (408 thanks)
      Best Posters
    1. looks_one SMCJB with 2.1 thanks per post
    2. looks_two ron99 with 2 thanks per post
    3. looks_3 myrrdin with 1.4 thanks per post
    4. looks_4 kevinkdog with 1.2 thanks per post
    1. trending_up 1,950,287 views
    2. thumb_up 9,259 thanks given
    3. group 458 followers
    1. forum 7,370 posts
    2. attach_file 794 attachments




 
Search this Thread

Selling Options on Futures?

  #5821 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


ron99 View Post
Sold today ESk7p1825p1580(2) for 1.80.

On 1/24/17 I sold ESk7p1825p1580(2) for 1.80. Exited today at 0.90. Days held was 21. Using 6X IM the monthly ROI was 2.4%.

Sold today ESm7p1905p1650(2) for 2.25.
Sold today ESm7p1910p1650(2) for 2.35.

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Deepmoney LLM
Elite Quantitative GenAI/LLM
NexusFi Journal Challenge - April 2024
Feedback and Announcements
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Better Renko Gaps
The Elite Circle
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #5822 (permalink)
Flintsone99
Springfield USA
 
Posts: 18 since Jan 2017
Thanks Given: 5
Thanks Received: 19

Just out of curiosity. What would happen if you sold a put spread in ES and you held it to expiry. Does it just expire like a SPX or SPY put spread and you just claim the full credit?

Reply With Quote
  #5823 (permalink)
 
GoldenRatio's Avatar
 GoldenRatio 
Philadelphia, PA
 
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
Posts: 211 since Aug 2012
Thanks Given: 5,190
Thanks Received: 296



ron99 View Post
...

Sold today ESm7p1905p1650(2) for 2.25.
Sold today ESm7p1910p1650(2) for 2.35.

@ron99

Why two sets of contracts instead of the usual 1?

Reply With Quote
  #5824 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


Flintsone99 View Post
Just out of curiosity. What would happen if you sold a put spread in ES and you held it to expiry. Does it just expire like a SPX or SPY put spread and you just claim the full credit?

Yes. But most of the time your ROI would be lower than exiting earlier.

Here is the post in this thread that shows my study.

Started this thread Reply With Quote
Thanked by:
  #5825 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


GoldenRatio View Post
@ron99

Why two sets of contracts instead of the usual 1?

One account of mine had a different spread on and I exited it earlier in the day than the other spread that the majority of my accounts had on.

When I did the spreads later in the day I found the 1910 strike was bid 0.25 higher than the 1905 strike. Better possible ROI.

Started this thread Reply With Quote
Thanked by:
  #5826 (permalink)
 
Jyrgen's Avatar
 Jyrgen 
Tallinn, Estonia
 
Experience: Intermediate
Platform: Tradestation
Broker: IB, Tradestation
Trading: Options on Futures
Posts: 13 since Apr 2011
Thanks Given: 235
Thanks Received: 40

Do you guys have any recommendation where to check delta values for ES options. Although not ideal, I'm using IB right now and they have changed their delta calculations completely with the newer updates of their workstation. For example for the spread that Ron sold today I would have the following delta values: -0.0007 for p1650 and -0.0281 for p1905.

I have also access to delayed quotes on ToS platform (demo), but as the data is rounded to a large extent, I'm not sure that I'm getting similar results as you. Right now the correct spread I would assume according to ToS would be ESm7p1955p1730(2).

Reply With Quote
  #5827 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


Jyrgen View Post
Do you guys have any recommendation where to check delta values for ES options. Although not ideal, I'm using IB right now and they have changed their delta calculations completely with the newer updates of their workstation. For example for the spread that Ron sold today I would have the following delta values: -0.0007 for p1650 and -0.0281 for p1905.

I have also access to delayed quotes on ToS platform (demo), but as the data is rounded to a large extent, I'm not sure that I'm getting similar results as you. Right now the correct spread I would assume according to ToS would be ESm7p1955p1730(2).

CME delta prior day settlements are available here in their Daily Bulletins
Daily Bulletin

Here are the ES puts
https://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf

For Feb 14th
June 1905 is .043 or 4.30%.
June 1910 is .045 or 4.50%.
June 1650 is .012 or 1.20%.

June 1925 is .049 or 4.90%.
June 1930 is .051 or 5.10%.

June 1700 is .050 or 5.00%.

Unless futures are up or down by double digits I use these deltas.

Started this thread Reply With Quote
Thanked by:
  #5828 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142

BTW Jyrgen, these deltas Ron lists where the same in my TWS from IB

Reply With Quote
Thanked by:
  #5829 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


ron99 View Post
CME delta prior day settlements are available here in their Daily Bulletins
Daily Bulletin

Here are the ES puts
https://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf

For Feb 14th
June 1905 is .043 or 4.30%.
June 1910 is .045 or 4.50%.
June 1650 is .012 or 1.20%.

June 1925 is .049 or 4.90%.
June 1930 is .051 or 5.10%.

June 1700 is .050 or 5.00%.

Unless futures are up or down by double digits I use these deltas.

Obviously the delta for the 1700 is wrong.

Started this thread Reply With Quote
  #5830 (permalink)
Flintsone99
Springfield USA
 
Posts: 18 since Jan 2017
Thanks Given: 5
Thanks Received: 19


$600 million loss in one week.... ouch.....

https://secure.marketwatch.com/story/funds-600-million-lost-week-captivates-traders-2017-02-16

It is this guy Edward Walczak fund.

He sounded quite smug in this interview.. I can only assume he didn't follow his own rules

Walczak finds safe Harbor in options | Futures Magazine

Reply With Quote
Thanked by:




Last Updated on July 28, 2023


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts