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Diversified Option Selling Portfolio
Started: by myrrdin Views / Replies:28,799 / 619
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Diversified Option Selling Portfolio

  #191 (permalink)
Market Wizard
Linz Austria
 
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I am bearish grains for the next couple of weeks, as long as there are no major weather problems. Thus, I bought back the WU P440, and added some WU C550.

Best regards, Myrrdin

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  #192 (permalink)
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Does anyone here do put/call credit spreads? If so I had a Q regarding how to calculate potential p&l and max gains/losses. For example, is this correct or am I missing something:

SELL ESM6C 2050 @ 52.50 = +$2,625.00
BUY ESM6C 2100 @ 25.25 = -$1,262.50

Net Credit = +$1,362.50 (max gain?)

Potential max loss = -$1,137.50 [$2,500 (50 points * $50pp) - $1,362.50 (net credit)]

Does this method limit your potential losses and exposure or will volatility skew it and add pressure to your margin requirements past the -$1,137.50 loss between the 2050 and 2100 strikes?

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  #193 (permalink)
Market Wizard
Linz Austria
 
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CobblersAwls View Post
Does anyone here do put/call credit spreads? If so I had a Q regarding how to calculate potential p&l and max gains/losses. For example, is this correct or am I missing something:

SELL ESM6C 2050 @ 52.50 = +$2,625.00
BUY ESM6C 2100 @ 25.25 = -$1,262.50

Net Credit = +$1,362.50 (max gain?)

Potential max loss = -$1,137.50 [$2,500 (50 points * $50pp) - $1,362.50 (net credit)]

Does this method limit your potential losses and exposure or will volatility skew it and add pressure to your margin requirements past the -$1,137.50 loss between the 2050 and 2100 strikes?

Correct, your max. profit is 1362.50 minus fees.

Your max. loss is -$1137.50 plus fees.

Volatility skew should not be a problem for these options.

Best regards, Myrrdin

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  #194 (permalink)
Market Wizard
Linz Austria
 
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Liquidated the SM C9.2 at a loss of approx. 40 %. Placed an order to sell the SM C9.5 for 10 c. Edit: Just got a fill on this order.

Added to the NGN long position. Bought the NGN P2.15, and sold the NGN P2.05 and P1.95 to achieve a second conservative long position in Natural Gas.

Best regards, Myrrdin


Last edited by myrrdin; April 11th, 2016 at 12:34 PM.
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  #195 (permalink)
Market Wizard
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Futures Edge on FIO
Bought back the SM C9.50 at a loss of 100 % . Yesterdays USDA Report was considered neutral to bearish, but still prices went up. Reaction to a report is more important than the report. Thus, Soybean prices should move up further, as long as weather does not have a severe bearish influence. What is happening ? In my opinion, traders do not care for the bearish arguments (huge old crop) anymore - these are already priced in. Now they trade regarding a weather premium for the planting phase, and they take into account the ongoing discussion about the change from El Nino to La Nina, which could lead to dryness and heat in this summer. I do not intend to enter further trades in the grains and beans, until the crop is more or less defined in July (corn) and August (Soybeans).

For the same reason I bought back the Wheat calls at a profit of approximately 50 % for the first lot and 10 % for the second lot, which I had sold recently. Although wheat fundamentals are very weak, prices might move up together with corn and beans. In case of a severe upmove of prices, I might consider selling September calls between 600 and 700.

I also took profit on the July Silver strangle of approx. 50 %, and sold a further strangle for the September contract (SIU P12.5, C24).

Regarding meats, I added a lot of LCK P120. Cash prices should move upwards for the next couple of weeks, as weather should get better.

Finally, I sold a lot of CTZ C67. With stocks large enough for 1 year of usage, and an economy which does not look very strong, cotton prices should move sidewards at best.

Best regards, Myrrdin

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  #196 (permalink)
Market Wizard
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Forgot to mention that I sold the LHM P74, to form a strangle togeher with the LHQ C84. I had sold the August Option end of March. Profit of this open trade is approx. 40 %.

I assume Hog prices going more or less sideways for a while.

Best regards, Myrrdin

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  #197 (permalink)
Market Wizard
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Back in the Coffee and Gold trades:

Sold the KCU C180 and the GCQ P1100 options. Placed further orders at a price approx. 50 above current price.

Best regards, Myrrdin

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  #198 (permalink)
Market Wizard
Linz Austria
 
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Please be aware that today after the close the Cattle on Feed-Report will be published. On the one hand, volatility is high, which is nice for option sellers. On the other hand, prices could end limit up (or down) on Monday.

I am currently on vacation, and will not post all my trades here.

Best regards, Myrrdin


Last edited by myrrdin; April 22nd, 2016 at 11:07 AM.
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  #199 (permalink)
Market Wizard
Linz Austria
 
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Posts: 719 since Nov 2014
Thanks: 1,074 given, 587 received

Back home.

I rolled my options in the metals up today, and hold now:

SIU P14
SIU C26.5

GCQ P1150

Additionally, I hold outright Options in the meats:

LCQ P120 (rolled the LCM puts into August)
LHQ C84

And still a conservative Long Position in Natural Gas (took profit and rolled into August last week):

Long 10 NGQ 2.3
Short 10 NGQ 2.2
Short 10 NGQ 2.1

Best regards, Myrrdin

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  #200 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 719 since Nov 2014
Thanks: 1,074 given, 587 received


Looking back at the past couple months, I should have continued selling ES puts according to my concept.

Thus, I used the setback of the Indices to start again. I am short the ES

I sell naked ES puts (approx. 100 DTE, approx. $400 per option) at the end of each week, and buy them back at 50 %. I will be out if the S&P moves below the 200 dma.

Best regards, Myrrdin

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