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 1,951,546 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?

  #5991 (permalink)
TFOpts
Los Angeles, CA
 
Posts: 64 since May 2017
Thanks Given: 49
Thanks Received: 136

@ron99,

Thank you so much for sharing with us. I've read most of the thread (from beginning to page-350 something and then from 411 to today).

I'm trying to set up a tool that would allow us to test different strategies using data from XLS-Span a bit more efficiently. One of the issues I'm running into is determining margin for spreads. I'm going to reach out to @Dudetooth in the PC-Span thread to get his thoughts on that.

Thanks again.

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
Deepmoney LLM
Elite Quantitative GenAI/LLM
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Build trailing stop for micro index(s)
Psychology and Money Management
 
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
44 thanks
NexusFi site changelog and issues/problem reporting
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #5992 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


ItalianBmT View Post
Is there anyplace where there is information of the dates of release of each important report. Or do you have to monitor it asset by asset. How far in advance are these information released?

I do not know of any place in the world-wide net that shows information of important reports for all commodities we trade.

Most of these reports are on a regular base and announced many months in advance (eg. USDA, WASDE, CoF, monthly hogs report, weekly reports on CL and NG). You will find them on the respective internet sites, and can include them in your calendar.

In some well known publications on commodities (eg. Hightower Report) you will receive this information for the next report for each of these commodities. Some Brokers disribute Hightower Report free of charge.

Hightower sells an annual pocket calendar, which includes this data, for $5. I never bought it, and, thus, cannot confirm that all reports are included.

Best regards, Myrrdin

Reply With Quote
Thanked by:
  #5993 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651



keong View Post
Hi Myrrdin,

Thanks much for sharing your trading philosophy. I have a few questions.

1. What about your profitable trades? Do you have a exit strategy for profitable trades, say at 10% or 20%?

2. On your strategy of rolling out at the original size of the trade, as you pointed out, that means if you roll at 200%, the best is likely a break-even or more likely a small loss. That would increase the loss rate.

Using this strategy of rolling at the original size, what % of winning trades do you have as a % of total trades?

Thanks so much for your sharing!

ad 1.: I buy back the ES puts at 50 %. As Ron (and others) have shown that this is the most profitable way.

ad 2.: Yes, there are more losers. But the number or the percentage of losers is not an important criterium for success in trading. Many of my losers are significantly lower than 100 % of the entry price. The number of losers is small. One of the major reasons in the past was the move below the 200 dma, and this did not happen often in recent years.

Best regards, Myrrdin

Reply With Quote
  #5994 (permalink)
keong
Singapore + Singapore
 
Posts: 13 since Nov 2015
Thanks Given: 10
Thanks Received: 2


myrrdin View Post
ad 1.: I buy back the ES puts at 50 %. As Ron (and others) have shown that this is the most profitable way.

ad 2.: Yes, there are more losers. But the number or the percentage of losers is not an important criterium for success in trading. Many of my losers are significantly lower than 100 % of the entry price. The number of losers is small. One of the major reasons in the past was the move below the 200 dma, and this did not happen often in recent years.

Best regards, Myrrdin

Thanks Myrrdin,

Do you also use 50% for your other commodity trades as week, eg for CL, grains, metals, etc? I assume you also use the 200% exit criteria for the non-ES trades as well.

Thanks!

Reply With Quote
Thanked by:
  #5995 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


keong View Post
Thanks Myrrdin,

Do you also use 50% for your other commodity trades as week, eg for CL, grains, metals, etc? I assume you also use the 200% exit criteria for the non-ES trades as well.

Thanks!

Yes, I use the 200 % exit criteria (and further criteria, based on fundamentals) in the way I described it in the thread "Diversified Option Selling Portfolio" for all commodities.

I exit these trades at some place between 10 % and 50 % of the original value. Please find details in the thread "Diversified Option Selling Portfolio". In case there remain open questions, please ask again.

Best regards, Myrrdin

Reply With Quote
  #5996 (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


ItalianBmT View Post
Is there anyplace where there is information of the dates of release of each important report. Or do you have to monitor it asset by asset. How far in advance are these information released?

Here are all USDA reports
https://www.usda.gov/media/agency-reports

Here are agricultural USDA reports in calendar format
https://www.nass.usda.gov/Publications/Reports_By_Date/index.php

Here is listing of major economic reports
https://www.bloomberg.com/markets/economic-calendar

Started this thread Reply With Quote
Thanked by:
  #5997 (permalink)
LordV
Chicago IL/USA
 
Posts: 23 since Jan 2012
Thanks Given: 70
Thanks Received: 10

@Ronn99

If you were flat and decided to open a position.
How would you adjust for the pick up in volatility?
Would you go farther out? (DTE)



(5 delta short put with two longs at 1.50 delta 90+ DTE. Close at 50%)


Thanks,

Sam

Reply With Quote
  #5998 (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


LordV View Post
@Ronn99

If you were flat and decided to open a position.
How would you adjust for the pick up in volatility?
Would you go farther out? (DTE)



(5 delta short put with two longs at 1.50 delta 90+ DTE. Close at 50%)


Thanks,

Sam

Are you thinking about like today and volatility is up? If so then I would use my quote provider's delta and use the same parameters of 5 delta for my short and 1.5 delta for my 2 longs while figuring that margin will be higher than yesterday's amount.

The Aug 2025 EW3 put was 4.8 delta but is now (noon ET) about 6.5 delta. So a 2000 strike would roughly be about 5 delta now.

I would not change my DTE. I would stay in the 90-120 DTE range.

Started this thread Reply With Quote
Thanked by:
  #5999 (permalink)
LordV
Chicago IL/USA
 
Posts: 23 since Jan 2012
Thanks Given: 70
Thanks Received: 10


ron99 View Post
Are you thinking about like today and volatility is up? If so then I would use my quote provider's delta and use the same parameters of 5 delta for my short and 1.5 delta for my 2 longs while figuring that margin will be higher than yesterday's amount.

The Aug 2025 EW3 put was 4.8 delta but is now (noon ET) about 6.5 delta. So a 2000 strike would roughly be about 5 delta now.

I would not change my DTE. I would stay in the 90-120 DTE range.

First and foremost, thanks for all your time efforts.

If you get a second would you do me a favor and
tell me what you have for Delta on EWQ7P1975 and EWQ7P1690?

I am having some issues with TOS on what they are.

Thanks again

Reply With Quote
  #6000 (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



LordV View Post
First and foremost, thanks for all your time efforts.

If you get a second would you do me a favor and
tell me what you have for Delta on EWQ7P1975 and EWQ7P1690?

I am having some issues with TOS on what they are.

Thanks again

My provider, QST doesn't update delta very well until it trades. So since Aug 1975 hasn't traded I don't have a good delta for it on QST.

I would estimate it is about 6.13.

I saw that the 2000 put was 4.16 delta to start the day. It was 6.74 at 2:53 ET trade. That's a 2.58 increase.

So I take the 3.63 delta for the 1975 to start the day and add 2.50 (lower then 2.58 because it is a lower strike) to get 6.13.

1690 traded at 1:59 ET and the delta was 1.67 at that time. It was 0.79 to start the day.

Started this thread 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