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Diversified Option Selling Portfolio


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Diversified Option Selling Portfolio

  #1091 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651

Currently I hold the following positions in the short option portfolio:

SF P8.60 / C11.00
I intend to buy back the strangle at 50 %.

LHG P60
Longterm. The February contract looks undervalued, although it might see the 60 again before turning upwards. Cash is weak. Intend to sell LHG calls at significantly higher price of the underlying.

LCZ P100
LCG P98
LCG P96
Longterm. Placed orders to sell LCZ / LCG calls above the market.

CLH C61-C71
Longterm. No Intention to add short puts in the near future.

Two small lots of ES ATM put and call spreads. I hold them in my stocks account, where a Delta-neutral strangle has the same (even a bit smaller) margin as an outright position.

CT calls: I bought back the last (of four) series of CT calls with a loss, when CT price gained due to the hurricanes. Typical example of changing fundamentals.

Best regards, Myrrdin

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  #1092 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651

Further option selling ideas:

Coffee in Brazil approaches the blooming period, and the weather forecasts for the next 10 days are dry. If it stays dry after this period prices and volatility will rise significantly. I intend to sell calls high above the market some time in September or October. (Currently I hold an outright long position.)

See my ideas for the meat markets in the recent post below.

Any other ideas ?

Best regards, Myrrdin

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  #1093 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142



myrrdin View Post
Further option selling ideas:

Coffee in Brazil approaches the blooming period, and the weather forecasts for the next 10 days are dry. If it stays dry after this period prices and volatility will rise significantly. I intend to sell calls high above the market some time in September or October. (Currently I hold an outright long position.)

See my ideas for the meat markets in the recent post below.

Any other ideas ?

Best regards, Myrrdin

I also have CL Calls and the ES spread.

Additionally I have:
-GC G8 (Feb 2018) P1075/C1575 strangle
I think far OTM GC Puts are still valid, not so sure about Calls now.

- NGZ7 (Dec 2017) Puts 2,5
I am not sure if I would sell those now. At least not for DTE > 90.

- ZB Dec 17 P147 / P141
I think you are not a big fan of ZB? I like them because they move slow and analysing the fundamentals is not that hard.

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  #1094 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142


myrrdin View Post
Further option selling ideas:

Coffee in Brazil approaches the blooming period, and the weather forecasts for the next 10 days are dry. If it stays dry after this period prices and volatility will rise significantly. I intend to sell calls high above the market some time in September or October. (Currently I hold an outright long position.)

See my ideas for the meat markets in the recent post below.

Any other ideas ?

Best regards, Myrrdin

Do you plan to get engaged in the grain markets?

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  #1095 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


manuel999 View Post
Do you plan to get engaged in the grain markets?

Not using short options. I only hold the Soybeans strangle, but I think it is too late to enter it now.

I intend to enter the corn market from the long side using the CZ8-CZ9 spread, and recently entered a first lot.

I will also buy the SN8-SX8 spread, if given the opportunity at significantly lower prices.

Please see also the Grains & Beans thread.

Best regards, Myrrdin

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  #1096 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


manuel999 View Post
I also have CL Calls and the ES spread.

Additionally I have:
-GC G8 (Feb 2018) P1075/C1575 strangle
I think far OTM GC Puts are still valid, not so sure about Calls now.

- NGZ7 (Dec 2017) Puts 2,5
I am not sure if I would sell those now. At least not for DTE > 90.

- ZB Dec 17 P147 / P141
I think you are not a big fan of ZB? I like them because they move slow and analysing the fundamentals is not that hard.

I traded the Financials (including currencies and gold) quite a bit, but my analysis showed that these trades were among the less profitable ones in my portfolio. Thus, I decided to reduce trading of Financials.

Best regards, Myrrdin

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  #1097 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142


myrrdin View Post
Currently I hold the following positions in the short option portfolio:

SF P8.60 / C11.00
I intend to buy back the strangle at 50 %.

LHG P60
Longterm. The February contract looks undervalued, although it might see the 60 again before turning upwards. Cash is weak. Intend to sell LHG calls at significantly higher price of the underlying.

LCZ P100
LCG P98
LCG P96
Longterm. Placed orders to sell LCZ / LCG calls above the market.

CLH C61-C71
Longterm. No Intention to add short puts in the near future.

Two small lots of ES ATM put and call spreads. I hold them in my stocks account, where a Delta-neutral strangle has the same (even a bit smaller) margin as an outright position.

CT calls: I bought back the last (of four) series of CT calls with a loss, when CT price gained due to the hurricanes. Typical example of changing fundamentals.

Best regards, Myrrdin

When you sell options, how do you calculate which price you are willing to take?

I am currently placing a sell order for LCZ7 C 130
Bid/Ask is 250/275, thus I have placed my sell order at 275.
I am not sure how I would determine if I would be ok with 250 or not.

Thanks.

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  #1098 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651


manuel999 View Post
When you sell options, how do you calculate which price you are willing to take?

I am currently placing a sell order for LCZ7 C 130
Bid/Ask is 250/275, thus I have placed my sell order at 275.
I am not sure how I would determine if I would be ok with 250 or not.

Thanks.

There are several ways to deal with this situation.

If I absolutely want to have this position I do not mind to get 10 % less. This might be the case if you are looking for the second leg of a strangle, and want to avoid to be left alone with one leg.

I also like to define a range to enter a trade. I sell a third at the current price to be in the trade. And the other two lots at a higher price. This helps psychologically not to chase the trade.

Sometimes there is a good support / resistance on the chart of the underlying in the area where I want to sell. In this case I sell depending on the price of the underlying.

Best regards, Myrrdin

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  #1099 (permalink)
keong
Singapore + Singapore
 
Posts: 13 since Nov 2015
Thanks Given: 10
Thanks Received: 2

Hi,
Does anyone know where I can get historical IV for the options? Other than MRCI?

Thanks!

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  #1100 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,686
Thanks Received: 2,651



keong View Post
Hi,
Does anyone know where I can get historical IV for the options? Other than MRCI?

Thanks!

Ivolatility.com also provides historical data regarding options in good quality. As far as I know they do not include seasonals of IV.

Best regards, Myrrdin

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