Selling Options on Futures?

June 5th, 2018, 03:43 PM

Narnar

Hi Ron,

I was able to get the file to work, but I am wondering if I am getting my calculation right for Margin Factor calculation.
Can you check what is your max MF for 1 by 2 spreads of ESQ8 P1075 (-1) and ESQ8 P975 (+2) from 20080501 to 20080801?

The data that I have are as follow:
Max Margin Requirement throughout the life of the positions = $487.00
IM during opening of the position = $87.50
Thus, to withstand the movement I have it at $487.00 / $87.50 = 5.6 MF (5.6xIM) during this period.

But this just doesn't seem right with the downward move that occurred. Perhaps it's because the data from 2008 are the first day of the month.

Thanks,
NN

I have a peak of 517.50 IM.

Futures only dropped 127.3 from 20080501 to 20080701. That's not a lot in 60 days.

June 6th, 2018, 07:49 AM

ron99

Some brokers limit what months you can trade options. The better ones don't.

There are brokers who allow for trading futures and options expiring in the far future only on request. In the standard configuration of the software, these futures / options cannot be traded. Thus, it might make sense to ask.

Best regards, Myrrdin

June 6th, 2018, 07:55 AM

ys91

To Ron, Myrrdin and other seasoned posters on here: I'm having some issues with IB.. I use TOS, DeCarley and the link Ron had posted on ES deltas... The IB tws deltas are way off.. by almost 200 ES handles. Has anyone else noticed it? Wondering if there's an easier way to do this other than flipping between the platforms?

Yes, IB TWS deltas seem to be incorrect, at least once in a while. In my opinion, there are better sources. But as I do most of my option selling on the DeCarley platform, this is not a serious problem for me. (I mainly use TWS for my stocks account.)

Best regards, Myrrdin

June 6th, 2018, 10:04 AM

On May 17 I sold EW3q8p2130(-2)p1840(+3) for 3.95. On June 6 I exited at 1.90. 20 days held. Used 6xIM. 2.8% monthly ROI.

I will be reentering today using ESu3p2130(-2)p1840(+3). EDIT: I reentered at 3.90.

For once I was lucky and right after I exited the futures dropped so I can reenter at a better price.

June 6th, 2018, 10:59 AM

this may be wishful thinking but is there a scanner out there that can scan the entire universe of commodity (& index) options based on
1. delta
2. mROI
3. DTE
Offcourse margin will depend on broker and that data needs come from the broker. It maybe be useful If we narrow down the candidates and then apply fundamental analysis on result set.

June 6th, 2018, 11:15 AM

jefforey

this may be wishful thinking but is there a scanner out there that can scan the entire universe of commodity (& index) options based on
1. delta
2. mROI
3. DTE
Offcourse margin will depend on broker and that data needs come from the broker. It maybe be useful If we narrow down the candidates and then apply fundamental analysis on result set.

If you trade at a broker that has exchange minimum margin (suggested) then you don't need broker supplied margins.

XLS-SPAN excel's Scan sheet can select based on DTE and Max delta for all commodities. You could add a column for mROI to the spreadsheet.

June 6th, 2018, 11:23 AM

ron99

On May 17 I sold EW3q8p2130(-2)p1840(+3) for 3.95. On June 6 I exited at 1.90. 20 days held. Used 6xIM. 2.8% monthly ROI.

I will be reentering today using ESu3p2130(-2)p1840(+3).

For once I was lucky and right after I exited the futures dropped so I can reenter at a better price.

Is that GBPUSD? I googled EW3q8 but no result.

June 6th, 2018, 04:23 PM

jefforey

Is that GBPUSD? I googled EW3q8 but no result.

It is the option for the ES future, expiring in the 3rd week of August, 2018. "W" stands for weekly option.

Best regards, Myrrdin

June 6th, 2018, 05:14 PM

jefforey

Is that GBPUSD? I googled EW3q8 but no result.

Google "cme EW3"

June 7th, 2018, 05:38 AM

On May 18, sold EWQ8 2090P(-2) 1780P(+3) for 4.2 at 106 DTE. On June 6, closed the positions at 2.1. 18 days held. mROI: 2.6% using 6xIM.
Regards,
Dilip

Selling Options on Futures?

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Selling Options on Futures?