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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,185 / 581
Last Reply:December 2nd, 2016 (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old November 11th, 2015, 09:05 AM   #91 (permalink)
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Bought back the CH and SH puts with (very) small losses after yesterdays USDA reports. Looks like I will be able to sell again at lower prices.

Also bought back the meat puts early this week. Both were negative trades although I had hedged them with short future positions. No idea how far they can fall. Although I am still convinced hog and live cattle prices will end up significantly above todays price. Will enter bullish trades in the meats after a reversal, but I am not sure if I will sell options or buy futures.

Added to the ES put program and sold the ESG P1675. Currently I hold 4 lots, each 3 % of account value. No hedge since yesterday; intend to hedge again below Monday's low.

Best regards, Myrrdin

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Old November 12th, 2015, 05:17 PM   #92 (permalink)
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Out of all ES puts, as the S&P index closed below the 200 dma. The last time this happened was on August, 19th.

I was hedged at 100 % for a large part of the trade, But hedging is not perfect. Few of the options were profitable, most of them showed an acceptable loss. In average the options lost 20 - 25 %, a large part of this was covered by the hedge.

I still have the hedge futures working, and, thus, I am short via outright futures with a tight stop (50 % at 2043.5, 50 % at 2051.5)

Will enter the trade again, when there is a clear reversal. This may also happen below the 200 dma.

I am quite happy with my strategy of exiting, as losses are limited. But of course I have to enter and exit more often than others holding there options longer.

Best regards, Myrrdin

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Old November 12th, 2015, 05:31 PM   #93 (permalink)
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@myrrdin I assume you hedge with options to downsize the outright future contract? Could you explain more in detail? What would be the "composite" value of a 1 point move of the S&P500 for instance?
Thanks.

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Old November 12th, 2015, 05:37 PM   #94 (permalink)
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ElChacal View Post
@myrrdin I assume you hedge with options to downsize the outright future contract? Could you explain more in detail? What would be the "composite" value of a 1 point move of the S&P500 for instance?
Thanks.


No, I hedge with outright futures, as described below. 100 % hedge means that the futures have approximately the same delta (usually a bit less) than the options. Of course, change in volatility is not considered.

Best regards, Myrrdin

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Old November 15th, 2015, 06:00 AM   #95 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
I am now out of most of my short options, and only hold the LCG C156 and a small lot of the ESG P1625 (early entry yesterday after Tiger traders comments that in his opinion the downside of the ES should be limited).

I intend to build a regular position in ES puts on a reversal of the S&P index.

Furthermore, I intend to re-enter the LH puts in the next couple of days.

Best regards, Myrrdin

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Old November 19th, 2015, 10:32 AM   #96 (permalink)
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In my option portfolio I only hold positions in the hogs (LHG P55) and the stock indices (various OTM put options). Not much on the horizon to sell.

In the grains, the next move should be upwards. But in my opinion the lows are not in yet. Corn looks like the best candidate for selling puts.

Similar situation in the energies. CL and NG might move further down before moving up again. I am looking to short NG calls on a severe move up in the future.

Currently nothing that interests me in the softs. Coffee could also move down before moving up again.

Thus, I am waiting patiently for the next opportunity. And hope to be sussessful with hogs and S&P.

Best regards, Myrrdin

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Old December 2nd, 2015, 10:31 AM   #97 (permalink)
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I sold a first lot of LCM P110 yesterday, as I think the lows are in for the next couple of months. I do not expect a large move upwards, but prices should hold stable for a while.

I also placed an order for selling a first lot of CLM P40. The dollar should not move much further upwards, and this might keep crude oil prices stable at least. Volatility currently is rather high because of the OPEC meeting end of the week.

ES put selling program is running regularly.

Best regards, Myrrdin

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Old December 2nd, 2015, 10:58 AM   #98 (permalink)
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Got filled an the CLM P40.

Sold SH C1040. As long as there are no major weather problems in South America, prices should come back down.

Best regards, Myrrdin

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Old December 17th, 2015, 03:59 AM   #99 (permalink)
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I sold two lots of ESH P1650 and ESH P1675 yesterday after the press conference. Maximum number of lots is four, thus, I am 50 % invested currently. The S&P index is again above its 200 dma (days moving average). Stop is below the low of 14th of December.

Further positions:

SG C8.8

LHG P55
LCM P110

GCJ P1025

Best regards, Myrrdin


Last edited by myrrdin; December 17th, 2015 at 04:20 AM. Reason: Added details regarding ES puts
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Old December 20th, 2015, 05:00 PM   #100 (permalink)
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SG C8.8
Bought back profitable because of news of dryness in pars of South America.

LHG P55
Bought back profitable because of new low of the cash price.
LCM P110
Bought back with a loss, and bought outright futures instead at approx. 116.65. I expect a large move upwards instead of a move sidewards / upwards, which already began.

GCJ P1025
Bought back with a small loss, as stoop loss was hit.

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