Selling Options on Futures?

October 2nd, 2017, 03:31 PM

I opened the same position Ron but added 1 small tail hedge for $600 on SPY. It won't affect margin on a price drop or volatility spike but will hedge the $ loss. Also, since it's on SPY and not /ES my commissions are far lower. Because of the low volatility I'm getting hammered on commissions and fees for the volume of contracts I have to open.

/rsm005/

October 4th, 2017, 10:13 AM

ron99

Oct 2 I sold EW3f8p2020(2)p1780(3) for 3.15. IM is $462. DTE is 108. Possible ROI at 50% drop exit at 30 days is 2.6%.

Do you prefer a specific time in the day when you sell this?

Thanks.

October 4th, 2017, 11:33 AM

manuel999

Do you prefer a specific time in the day when you sell this?

Thanks.

Not really, but I do try to sell on Thursday before the weekend price erosion starts kicking in.

I have tried watching the chart and timing it to sell when prices start rising after a dip. But the truth is I have no idea where futures will be in 10 minutes or 2 hours from now.

October 4th, 2017, 11:43 AM

manuel999

Do you prefer a specific time in the day when you sell this?

Thanks.

As you are from Europe as myself: Never sell ES options before the open of the New York Stock Exchange at 15.30 (Central European Time).

Best regards, Myrrdin

October 4th, 2017, 11:46 AM

myrrdin

As you are from Europe as myself: Never sell ES options before the open of the New York Stock Exchange at 15.30 (Central European Time).

Best regards, Myrrdin

Thanks.
Yes, I never look at it before 4 pm our time.
(I am useless before noon anyway. That is why I like this way of making money.)

October 5th, 2017, 01:17 AM

ron99

Here are the results from TFOpts in one table of different strategies

TFOpts, if you decrease the Excess Factor for runs 3 & 4 does that put you over 100% Max MM%? If not what are the results?

@ron99

What stopped you from using the -1/+1 spread highlighted in option 3 on TFOpts chart above? Was it as simple as the Average ROI or something else? I ask given the max MM is substantially lower than the 2/3 spread.

/rsm005/

October 5th, 2017, 05:52 PM

rsm005

@ron99

What stopped you from using the -1/+1 spread highlighted in option 3 on TFOpts chart above? Was it as simple as the Average ROI or something else? I ask given the max MM is substantially lower than the 2/3 spread.

/rsm005/

Higher ROI. I'm not sure if you change the Excess Factor from 4 to 5 for Run 1 how that would affect ROI and Max MM. Maybe @TFOpts can answer that for us.

I believe that if you lower the Excess Factor from 6 for Run 3 your Max MM would be over 100%.

EDIT I also like the lower delta on the short. I like the short being further OTM.

October 5th, 2017, 07:15 PM

ron99

Higher ROI. I'm not sure if you change the Excess Factor from 4 to 5 for Run 1 how that would affect ROI and Max MM. Maybe @TFOpts can answer that for us.

I believe that if you lower the Excess Factor from 6 for Run 3 your Max MM would be over 100%.

See the following table, run 3 with 5 x IM is less than 100%. It has about the same risk and return profile as the 2-3 strategy.

October 6th, 2017, 04:59 AM

I have to send 2 messages, so I can finally answer the users personally.
This is the first, without further content.

October 9th, 2017, 12:41 AM

TFOpts

See the following table, run 3 with 5 x IM is less than 100%. It has about the same risk and return profile as the 2-3 strategy.

Are you factoring commissions and fees into this? With the 2/3 method commissions are insane so a 1/1 method may return a lot more over time.

/rsm005/

Selling Options on Futures?

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Selling Options on Futures?