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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,540 / 586
Last Reply:10 Hours Ago (02:51 PM) Attachments:39

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Diversified Option Selling Portfolio

Old December 31st, 2015, 01:46 PM   #101 (permalink)
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Sold two naked option positions today:

KCH C150 (one lot),
NGH C3 (half lot).

Both commodities are in a downtrend, but moved back up in recent days. There is a lot of coffee around, as well as there is a lot of Natural Gas stored in the US.

Traders have to monitor the weather forecasts (Dryness in South America regarding Coffee, and extreme cold in the US regarding Natural Gas).

Best regards, Myrrdin


Last edited by myrrdin; December 31st, 2015 at 01:57 PM.
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Old January 2nd, 2016, 07:06 AM   #102 (permalink)
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I still sell ES put options on a regular basis.

For the first quarter I am more careful, and I ended selling naked puts. Now I am short put ratio spreads. I will re-enter selling naked puts when the trend in the ES moves up again. But this might take some months ...

Best regards, Myrrdin

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Old January 2nd, 2016, 09:45 AM   #103 (permalink)
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Question on volatility and picking commodity


Hi: Nice thread as a compliment to Ron's thread

Noticed u are focus on a combination of seasonals and greeks but less so on delta and exact time to expiry. Wondering if you are able to see volatility for various instruments and where u see them? Currently in a bull put spread on CL and always been more successful entering when the volatility has been high. So questions are
1) Where/how do u get to the see the volatility of the various instruments? I have IB and TOS (know about oil vix) - looking for vix for other commodities

2) Other than MRCI for seasonals, do u look at anything else

3) I notice most of you losses are small - do u exit based on charts? or fixed loss? you had mentioned stop loss hit

thnx
J

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Old January 2nd, 2016, 10:16 AM   #104 (permalink)
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jokertrader View Post
Hi: Nice thread as a compliment to Ron's thread

Noticed u are focus on a combination of seasonals and greeks but less so on delta and exact time to expiry. Wondering if you are able to see volatility for various instruments and where u see them? Currently in a bull put spread on CL and always been more successful entering when the volatility has been high. So questions are
1) Where/how do u get to the see the volatility of the various instruments? I have IB and TOS (know about oil vix) - looking for vix for other commodities

2) Other than MRCI for seasonals, do u look at anything else

3) I notice most of you losses are small - do u exit based on charts? or fixed loss? you had mentioned stop loss hit

thnx
J

ad 1) I get volatility data (also longterm) and volatility seasonality from MRCI.

ad 2) Yes, it depends on the commodity. For grains & beans as well as softs I also look at Supply and Demand, weather, COT data, and currencies.

ad 3) Usually I define a stop loss according to the chart. This stop loss is at approx. double the premium that I had received. I also exit when fundamentals (or the chart) develop into the wrong direction. In the past, I had exited trades later. But I had to learn that it is very hard to earn the losses of one bad trade. To compensate one loss when exiting at the 5-fold premium you have to make five perfect trades (or 10 if you exit at 50 %).

Best regards, Myrrdin

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Old January 2nd, 2016, 02:54 PM   #105 (permalink)
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How about this RBOB

Futures Edge on FIO

Are you a NinjaTrader user?

 
thanks M

On Dec MRCI, they say
Buy Jun RBOB Gasoline(NYM)-RBM6 12/24 3/3 100 15 0 15 7726 109/71
100% Win rate
So why not sell a put spread on April options?

1.4200/1.4100

Am i correct in assuming total risk of 420 to make 159 (current spread is around 0.0649-0.0611) ? or is my math off?
Maybe wait for a down day to put this on?

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Old January 2nd, 2016, 05:25 PM   #106 (permalink)
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jokertrader View Post
thanks M

On Dec MRCI, they say
Buy Jun RBOB Gasoline(NYM)-RBM6 12/24 3/3 100 15 0 15 7726 109/71
100% Win rate
So why not sell a put spread on April options?

1.4200/1.4100

Am i correct in assuming total risk of 420 to make 159 (current spread is around 0.0649-0.0611) ? or is my math off?
Maybe wait for a down day to put this on?

I currently do not trade CL, HO, and RB, as it is not clear to me, if the oil price will move (significantly) down from current prices due to Iran entering the market and some other countries in severe financial difficulties, which might cause them to raise production even further.

I only trade seasonals, if the chart and the fundamentals are typical. At least the fundamentals are not.

Your math is correct. But you have to subtract from your profits commission and slippage. For me the profit of this trade would be too small, as commission and slippage make a rather high percentage of the profit. I do not like spread trades with a profit of less than 300 or 400. But I know others here in the forum who sell such spreads profitably.

According to my experience, it is easier to get option orders filled in the grains or meats, than in the energies.

Best regards, Myrrdin

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Old January 3rd, 2016, 06:39 AM   #107 (permalink)
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jokertrader View Post
thanks M

On Dec MRCI, they say
Buy Jun RBOB Gasoline(NYM)-RBM6 12/24 3/3 100 15 0 15 7726 109/71
100% Win rate
So why not sell a put spread on April options?

1.4200/1.4100

Am i correct in assuming total risk of 420 to make 159 (current spread is around 0.0649-0.0611) ? or is my math off?
Maybe wait for a down day to put this on?

I have to correct myself - it was late in the evening, when I answered your question.

Your risk is only 420 minus 159, as you receive 159 when you sell the option. And of course you keep this money even if the trade goes against you. The maximuim you have to pay at the end of the trade is 420.

Sorry ...

Best regards, Myrrdin

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Old January 3rd, 2016, 07:38 PM   #108 (permalink)
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Will rbob get affected by Iran?

Mrci gives this a 100% win rate

Would u be tempted if u get more premium on a down move?

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Old January 4th, 2016, 07:14 AM   #109 (permalink)
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jokertrader View Post
Mrci gives this a 100% win rate

Would u be tempted if u get more premium on a down move?

100% win rate means, that the trade was profitable in the last 15 years. Nothing more. Eg. in 2006 the trade would have gone $12500 against you before ending with a profit of only $1000. Only with a narrow spread you can hold the position during such drawdowns.

When using seasonal data it is essential to check if the chart and the fundamentals are typical for this commodity. At least the fundamentals are not.

I have no idea what the dispute between Saudi Arabia and Iran will do to the oil price.

Currently I am not interested in trading CL, HO or RB.

Best regards, Myrrdin

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Old January 4th, 2016, 04:57 PM   #110 (permalink)
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Using seasonal outrights vs spread MRCI recommendations for option selling


MRCI comes up with recommendations for outrights based on seasonal patterns and also spread recommendations
I have heard their spread recommendations are more accurate or follow fundamental seasonal patterns better

So do u use both to decide on option selling or more the spreads?

For example in 2015, their recommendation was
Buy June Lean Hogs/Sell April Lean Hogs on early Jan and get out mid Feb

How would u use this to sell options?
a) Just sell April calls? This does not seem to work
b) Enter an ATM diagonal to mimic the spread?
c) Enter an OTM diagaonal to mimic the spread

Am i looking at this incorrectly?

Side question: With your MRCI login, can u see all the recommendations for 2015 (past monthly trade ideas?) or only future as they come out

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