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Selling Options on Futures?


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Selling Options on Futures?

  #5841 (permalink)
uuu1965
Riga Latvia
 
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myrrdin View Post
I think about raising the profitability of my stocks account by selling OTM index call options. The account is a margin account at IB. As for principle reasons I buy stocks only for cash in this account there is enough margin available.

I think about selling ES call spreads with a delta of 6 – 8 % and approx. 100 DTE. Currently the ESM C2650-C2550. I intend to hedge 50 to 100 % of the delta of the stocks. Buy back and sell again, when the calls are at 50 %.

Any thoughts ?
Would it be preferable to sell SPX options ?
Would you use other deltas or DTE ?

Best regards, Myrrdin


After my studies better results showing Put ratio spread (instead of Call spread), DTE 30-50.
For example today: ESM Put sell 2380/buy 2 Put 2265. (some example in attachment)

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  #5842 (permalink)
 myrrdin 
Linz Austria
 
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uuu1965 View Post
After my studies better results showing Put ratio spread (instead of Call spread), DTE 30-50.
For example today: ESM Put sell 2380/buy 2 Put 2265. (some example in attachment)

Thank you for your studies.

Indices fall faster than they move upwards. When the S&P crashes my stocks will lose value and the put ratio spread will lose value. I like put ratio spreads, but only as a speculative position and not as a hedge.

Best regards, Myrrdin

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  #5843 (permalink)
uuu1965
Riga Latvia
 
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myrrdin View Post
Thank you for your studies.

Indices fall faster than they move upwards. When the S&P crashes my stocks will lose value and the put ratio spread will lose value. I like put ratio spreads, but only as a speculative position and not as a hedge.

Best regards, Myrrdin

Sorry for my carelessness! You are absolutely right!

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  #5844 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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myrrdin View Post
I think about raising the profitability of my stocks account by selling OTM index call options. The account is a margin account at IB. As for principle reasons I buy stocks only for cash in this account there is enough margin available.

I think about selling ES call spreads with a delta of 6 – 8 % and approx. 100 DTE. Currently the ESM C2650-C2550. I intend to hedge 50 to 100 % of the delta of the stocks. Buy back and sell again, when the calls are at 50 %.

Any thoughts ?
Would it be preferable to sell SPX options ?
Would you use other deltas or DTE ?

Best regards, Myrrdin

What are the IM requirements at IB for short ES calls?

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  #5845 (permalink)
 myrrdin 
Linz Austria
 
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ron99 View Post
What are the IM requirements at IB for short ES calls?

For the spread, IM is $1690.

Best regards, Myrrdin

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  #5846 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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Broker: QST, DeCarley Trading, Gain
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Here is a chart of Base Volatility for the ESm17 contract.



When it was over 15% ES put premiums were OK. When it dropped below 15% the premiums lost value and ROI decreased.

It looks like we bottomed on 2/15 at 11.2% and yesterday we were at 12.6%.

For reference to more normal times, here is ESm6 showing it was above 20 thirteen months ago.



BV was 12.9% yesterday. It was 17.1% a year ago.

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  #5847 (permalink)
 ron99 
Cleveland, OH
 
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myrrdin View Post
For the spread, IM is $1690.

Best regards, Myrrdin

How much cash excess for these positions?

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  #5848 (permalink)
 myrrdin 
Linz Austria
 
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ron99 View Post
How much cash excess for these positions?

Excess liquidity is approx. 50 %.

Or do you mean something else ?

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  #5849 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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Trading: Options on Futures
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I was looking at selling NG puts. But looking deeper into it I'm not sure that is very profitable right now.

A July NG 2.35 put is 0.022. June is 0.018. May is 0.014.

So each month closer strike is only 0.004 or $40 lower in premium. Very low possible ROI. 0.4% using 6xIM.

Now if I had sold on Feb 27 when the NGm7p235 was 0.038 that would have been a different story.

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  #5850 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
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Interesting how today the June ES puts are offered lower on a day futures are lower.

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Last Updated on July 28, 2023


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