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Selling Options on Futures?


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Selling Options on Futures?

  #6041 (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


bill20 View Post
When I model these trades on TOS, I find that higher DTE trades at the same delta have substantially lower initial margin requirements as they are further out of the money for the same delta as trades with lesser DTE. Unless I am missing something, this would mean that you could trade larger size for the same margin, which should theoretically increase ROI?

CME Span is not agreeing with TOS.

See column on right


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  #6042 (permalink)
 bill20 
Santa Barbara, CA USA
 
Experience: Intermediate
Platform: TOS
Trading: Futures Options
Posts: 22 since Oct 2016
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ron99 View Post
CME Span is not agreeing with TOS.



See column on right






That is strange. TOS does provide greater margin efficiency for further DTE trades.


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  #6043 (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



bill20 View Post
That is strange. TOS does provide greater margin efficiency for further DTE trades.

I don't think a company can charge lower than CME margin. They can charge higher. I'm not positive. Check with TOS.

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  #6044 (permalink)
CafeGrande
St Paul, MN, USA
 
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myrrdin View Post
I do not know of any place in the world-wide net that shows information of important reports for all commodities we trade.

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

I 'd recommend the Highttower annual commodity trading guide. It's usually about $20 USD. For just a little more than the pocket guide you get a larger, easier-to-read 12-month calendar and a heck of a lot of additional useful data and charts (esp. fundamental data/charts). I can confirm it includes all the major ag reports, CL and NG storage data, Census Bureau, etc.

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  #6045 (permalink)
satghost
Munich Germany
 
Posts: 13 since Sep 2015
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LordV View Post
@ron99

Does your broker have Deltas listed as 1.5?
TOS does not.

maybe a little late, but you can cange the number of decimals of the greeks in TOS.
Just click on SETUP (near the upper right corner), then General - Display

You can change the "Decimal places for Greeks:" from default 2 up to 5

Regards
Satghost

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  #6046 (permalink)
TFOpts
Los Angeles, CA
 
Posts: 64 since May 2017
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I just asked CME for more historical options data, it appears they were willing to provide a few dates but not a range of dates (I asked for 5/1/08 to 4/1/09). Has anybody else asked for more historical data? Any luck?

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  #6047 (permalink)
 bill20 
Santa Barbara, CA USA
 
Experience: Intermediate
Platform: TOS
Trading: Futures Options
Posts: 22 since Oct 2016
Thanks Given: 13
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I am reading an interesting book (fairly academic) regarding efficient and effective ways to hedge against extreme market moves. I figured the community might find it helpful. It is called, "The next leg down" by Krishnan. If anyone picks it up, it would be interesting to discuss in the context of applying some of the concepts to a core option selling portfolio.

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  #6048 (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


TFOpts View Post
I just asked CME for more historical options data, it appears they were willing to provide a few dates but not a range of dates (I asked for 5/1/08 to 4/1/09). Has anybody else asked for more historical data? Any luck?

I emailed them a while ago and they said they would consider releasing more data. Obviously they didn't.

I know 2012 was available for a while but CME took it down before I downloaded it.

I'm going to call them now.

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  #6049 (permalink)
 RBtrader 
Goshen Indiana USA
 
Experience: Intermediate
Platform: TOS, TradeStation
Trading: ES
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ron99 View Post
I emailed them a while ago and they said they would consider releasing more data. Obviously they didn't.

I know 2012 was available for a while but CME took it down before I downloaded it.

I'm going to call them now.

I sent them an email as well. I will wait their response.

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  #6050 (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



RBtrader View Post
I sent them an email as well. I will wait their response.

I think maybe all of our requests are having an effect. I called and then followed up with an email. I got this response


Quoting 
Hi Ron,
I’m working on this internally. In the meantime, would you be comfortable if I sent you one SPAN file for each month from mid-2008 through mid-2009? I’d have to send them in multiple emails because the attachments are large but I’m hoping it could be at least an interim solution.
Thank you,
Maddie Lindgren

If she does this I will share with everybody. Interesting that she chose those dates. I didn't ask for them but TFOpts did.

Anybody have a good way to put large files on internet? I'm thinking of running them through my reducer macro. That should reduce size by 84%.

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