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Selling Options on Futures?


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Selling Options on Futures?

  #7021 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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datahogg View Post
When selling out of the money ES put options, an amount of $ is received for their sale.
Is there an average percentage of the sold $ that are used to buy long further out of the
money puts for protection?

Thanks in advance.

The ES strategy I use is to sell two -3.00 delta puts and buy three -1.00 delta puts. 90-120 DTE. Hold till net premium drops by 50%.

I haven't looked at average percentage.

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  #7022 (permalink)
psears
Richmond, VA/USA
 
Posts: 35 since Nov 2012
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Hello,
just curious if anyone is selling OTM options on NatGas or oil considering the near-record volatility levels? I looked over the last few thread pages and haven't seen much discussion on oil.
I did see what appeared to be some talk of people getting caught short on the Nat Gas volatility explosion recently-was anyone selling options with NatGas at record low volatility before the price spike?

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  #7023 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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I have on some CL put spreads. Apr 35/32. Doing well.

I have on some NG put spreads. Mar 2.70/2.60. Not doing so well. Thinking of adding NG call spreads.

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  #7024 (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

Here's a chart to watch to see coming US recessions.

Notice that the timing is ahead of the official recession.

Looks like one is coming.
https://fred.stlouisfed.org/graph/?g=myyP



I added ES futures to chart.


Timing is 10 yr - 1 yr went below zero Mar 2000 and ES peaked Sep 2000.
Timing is 10 yr - 1 yr went below zero Jan 2006 and ES peaked Oct 2007.

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  #7025 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
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psears View Post
Hello,
just curious if anyone is selling OTM options on NatGas or oil considering the near-record volatility levels? I looked over the last few thread pages and haven't seen much discussion on oil.
I did see what appeared to be some talk of people getting caught short on the Nat Gas volatility explosion recently-was anyone selling options with NatGas at record low volatility before the price spike?

I had sold some CLZ C92 / CLZ P28 strangles in fall, when volatility was extremly high. Bought them back already some time ago.

Currently I do not hold option positions in CL or NG.

Best regards, Myrrdin

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  #7026 (permalink)
psears
Richmond, VA/USA
 
Posts: 35 since Nov 2012
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Hi Myrrdin,
Curious as to what the premium was when the vol was sky high and what you closed them for? I see vol is still fairly high, so did you just collect the time erosion instead of waiting for a vol collapse to profit?
Where you worried that vol might go even higher against your short option (although I don't think it could have gone MUCH higher, lol)?

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  #7027 (permalink)
 myrrdin 
Linz Austria
 
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Broker: Interactive Brokers
Trading: Commodities
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psears View Post
Hi Myrrdin,
Curious as to what the premium was when the vol was sky high and what you closed them for? I see vol is still fairly high, so did you just collect the time erosion instead of waiting for a vol collapse to profit?
Where you worried that vol might go even higher against your short option (although I don't think it could have gone MUCH higher, lol)?

I sold the strangles for $900 each and bought them back for $500. Meanwhile volatility has risen again. I only held the strangles for about two weeks in November - to short to collect that much time erosion.

The reason why I bought the spread back was the high risk holding it for about one year to collect 60 % of the profit, after I had collected 40 % of the profit in just two weeks. But I might enter this trade again.

Best regards, Myrrdin

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  #7028 (permalink)
psears
Richmond, VA/USA
 
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Myrrdin, so did you sell options with a year to expiration? Why did you choose to go that far out vs. the typical 30-60 days to exp.? What would have been the difference in premium?

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  #7029 (permalink)
 myrrdin 
Linz Austria
 
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psears View Post
Myrrdin, so did you sell options with a year to expiration? Why did you choose to go that far out vs. the typical 30-60 days to exp.? What would have been the difference in premium?

I sold the strangles for $900 each. With 30 - 60 DTE the premium for these strikes would have been approx. 0. (I do not consider 30 - 60 DTE as "typical". I prefer to have 90 to 120 days.)

Best regards, Myrrdin

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  #7030 (permalink)
 
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 andby 
Norwich, UK
 
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myrrdin View Post
I sold the strangles for $900 each. With 30 - 60 DTE the premium for these strikes would have been approx. 0. (I do not consider 30 - 60 DTE as "typical". I prefer to have 90 to 120 days.)

Best regards, Myrrdin

Hi Myrrdin,

Why is 90-120 typical from your point of view, and why not 10-30 or 30-60 or 120-160?

thanks

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