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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,180 / 581
Last Reply:December 2nd, 2016 (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old July 21st, 2016, 05:28 PM   #321 (permalink)
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ron99 View Post
Well I was totally wrong. No dip so far this week.

This is why normally I just add the ES spread position because most of the time you don't know what will happen.

With Equity Index's at all time highs, Volatility at multi-year lows, but still a lot of uncertainty out there (Brexit & Europe in General, ISIS/Middle East, Rate Increases, China etc) I personally think the risk/reward is very skewed the wrong way.

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Old July 21st, 2016, 06:49 PM   #322 (permalink)
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SMCJB View Post
still a lot of uncertainty out there (Brexit & Europe in General, ISIS/Middle East, Rate Increases, China etc)

If you don't trade because of uncertainty, then you would almost never trade. S&P 500 up 5.9% this year with all of those factors in play.

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Old July 21st, 2016, 07:22 PM   #323 (permalink)
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ron99 View Post
If you don't trade because of uncertainty, then you would almost never trade. S&P 500 up 5.9% this year with all of those factors in play.

Ahh but that's not what I said. And as of last night my ES/NQ trades are up 14.8% on the year*.

I know we differ in this but I would rather be selling puts at A than B.

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Full Disclosure: Long ES, Long NQ, Short EMD, Long ES Puts, Short NQ Calls. Overall Net Long.

Sorry @myrrdin for hijacking your great thread.

*They're actually up considerably more than that when you consider margin or capital used, but I view my ES/NQ trades more as investments than trades and as such evaluate the return as a function of "my desired notional capital exposure" rather than capital actually used.

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Old July 21st, 2016, 08:18 PM   #324 (permalink)
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SMCJB View Post
Ahh but that's not what I said. And as of last night my ES/NQ trades are up 14.8% on the year*.

I know we differ in this but I would rather be selling puts at A than B.

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Full Disclosure: Long ES, Long NQ, Short EMD, Long ES Puts, Short NQ Calls. Overall Net Long.

Sorry @myrrdin for hijacking your great thread.

*They're actually up considerably more than that when you consider margin or capital used, but I view my ES/NQ trades more as investments than trades and as such evaluate the return as a function of "my desired notional capital exposure" rather than capital actually used.

You posted the same chart 12 days ago and the market has gone up 47 points between charts.

https://futures.io/attachments/211932

https://futures.io/options-futures/36932-diversified-option-selling-portfolio-31.html#post583336

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Old July 21st, 2016, 09:20 PM   #325 (permalink)
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ron99 View Post
You posted the same chart 12 days ago and the market has gone up 47 points between charts.

Your right and Vol has gone down even more. So if you sold 12 days ago, and bought back today then you have a great trade.
But with higher prices and lower vol the risk/reward has become even more skewed than it was then.
Well the reward has definitely gone down, whether the risk has gone up is I suppose open to debate.

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Old July 22nd, 2016, 12:34 PM   #326 (permalink)
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SMCJB View Post
Sorry @myrrdin for hijacking your great thread.

No problem. I appreciate to see some lively discussion here. Thank you for your contributions.

Best regards, Myrrdin

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Old July 22nd, 2016, 12:56 PM   #327 (permalink)
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SMCJB View Post
I would rather be selling puts at A than B.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Full Disclosure: Long ES, Long NQ, Short EMD, Long ES Puts, Short NQ Calls. Overall Net Long.

Sorry @myrrdin for hijacking your great thread.

*They're actually up considerably more than that when you consider margin or capital used, but I view my ES/NQ trades more as investments than trades and as such evaluate the return as a function of "my desired notional capital exposure" rather than capital actually used.

Often there is a reason for higher volatility, and, thus, selling ES puts at B brings more reward, but at a higher risk of further movement to the wrong direction. According to my experience, it is very difficult to decide when to enter / exit. At least I am unable to make this decision. But for some years it seems to be profitable for me to sell ES puts permanently, keeping the following rules:

Keep lot sizes sufficiently small,

get out when you have to get out (I get out and re-enter with the original (!) lot size, when the position has doubled, and I exit without immediate re-entry, when the S&P index gets under the 200 dma),

exit the trade when there is a foreseeable risk (eg. Brexit vote).

Best regards, Myrrdin

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Old July 26th, 2016, 02:05 PM   #328 (permalink)
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Sold the FCV P126.

Live Cattle should move still a bit higher, and Corn should move lower into harvest. Thus, the lows for Feeder Cattle should be in for the time being.

Best regards, Myrrdin

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Old July 29th, 2016, 09:28 AM   #329 (permalink)
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myrrdin View Post
Sold the FCV P126.

Live Cattle should move still a bit higher, and Corn should move lower into harvest. Thus, the lows for Feeder Cattle should be in for the time being.

Best regards, Myrrdin

Added to the FCV position by selling the FCV P122 just before the close.

Best regards, Myrrdin

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Old July 29th, 2016, 09:48 AM   #330 (permalink)
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According to MRCI, Natural Gas prices should move downwards / sidewards into the fall.

Latest forecasts for La Nina describe this effect to be relatively weak, compared to forecasts some weeks ago.

Yesterdays strong move upwards made OTM options attractive.

I sold some NGX C4, and intend to sell some more at higher prices, if getting the opportunity.

Best regards, Myrrdin

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