Selling Options on Futures?

March 3rd, 2017, 07:13 AM

myrrdin

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)

March 3rd, 2017, 08:00 AM

uuu1965

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

March 3rd, 2017, 08:56 AM

myrrdin

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!

March 3rd, 2017, 11:38 AM

myrrdin

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?

March 3rd, 2017, 11:52 AM

ron99

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

For the spread, IM is $1690.

Best regards, Myrrdin

March 3rd, 2017, 11:59 AM

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.

March 3rd, 2017, 12:05 PM

myrrdin

For the spread, IM is $1690.

Best regards, Myrrdin

How much cash excess for these positions?

March 3rd, 2017, 12:45 PM

ron99

How much cash excess for these positions?

Excess liquidity is approx. 50 %.

Or do you mean something else ?

March 3rd, 2017, 01:04 PM

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.

March 3rd, 2017, 01:06 PM

Interesting how today the June ES puts are offered lower on a day futures are lower.

Selling Options on Futures?

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Selling Options on Futures?