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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,114 / 581
Last Reply:11 Hours Ago (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old July 29th, 2016, 10:05 AM   #331 (permalink)
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myrrdin View Post
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

After impressive move yesterday I also open NGX C 3.5/C 4 spread.

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Old August 1st, 2016, 09:50 AM   #332 (permalink)
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Sold a small lot of SBF C22, and intend to add to this position at higher prices, if given the opportunity.

COT data, seasonals, and S&D data suggest lower prices for some weeks. In spite of the move lower of the US$ on Thursday / Friday sugar did not close upwards for these two days.

Best regards, Myrrdin

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Old August 1st, 2016, 10:34 AM   #333 (permalink)
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Sold the CV P330.

Fundamentals look positive (US corn is cheaper than corn from competing nations, South Americas are tight corn, high temperatures in the US might cause stress).

Best regards, Myrrdin

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Old August 1st, 2016, 06:24 PM   #334 (permalink)
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I stumbled upon this website that has some good seasonal info for free.

Signal Trading Group ? True Portfolio Diversification

I thought the section under Charts/Seasonal Calendars was interesting. Gives his opinion of high and low dates for commodities by month.

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Old August 1st, 2016, 06:29 PM   #335 (permalink)
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uuu1965 View Post
After impressive move yesterday I also open NGX C 3.5/C 4 spread.

You and myrrdin timed that perfectly to sell last week.

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Old August 2nd, 2016, 11:31 AM   #336 (permalink)
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Added to my ES put position by selling the OEW3X6 P1950.

Best regards, Myrrdin

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Old August 2nd, 2016, 12:15 PM   #337 (permalink)
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Sold ESz6P1700-ESz6P1450 spread 1:2 for 3.50

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Old August 2nd, 2016, 12:25 PM   #338 (permalink)
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ron99 View Post
Sold ESz6P1700-ESz6P1450 spread 1:2 for 3.50

I remember you sold ES puts with approx. 100 DTE. Your current position is 136 DTE. Did you find out that the options with more DTE are generally more profitable ? Or is it a case to case decision ?

Best regards, Myrrdin

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Old August 2nd, 2016, 12:44 PM   #339 (permalink)
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Rolled the LCV P100 to a smaller number of LCV P106. I prefer to have a smaller number of naked short options to be better prepared in case of a "black swan".

Best regards, Myrrdin

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Old August 2nd, 2016, 01:34 PM   #340 (permalink)
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myrrdin View Post
I remember you sold ES puts with approx. 100 DTE. Your current position is 136 DTE. Did you find out that the options with more DTE are generally more profitable ? Or is it a case to case decision ?

Best regards, Myrrdin

The Dec spread could make 4.1% monthly ROI if premium drops 50% in 30 days using 6X margin factor. The Nov 1750-1525 spread, which is about the same delta, would make 3.2%. Nov is 0.60 less premium while IM is only 10 less.

The question is will Dec drop by 50% in the same amount of time as Nov. That doesn't always happen. Further out DTE options usually have slower premium drop. But not always enough to make ROI lower.

Entering a spread the day the month before the quarterly starts trading, May and June spreads hit 50% drop on the same day 2/17/16 and Jun had a 0.8% higher ROI. The Aug spread hit 50% way before Sep did.

On 1/19/16 the BV was 21.4 for the May & June spreads. On 4/19/16 the BV was 14.0. So maybe when higher BV the better chance of the further DTE spread of dropping as quickly as the month prior. I don't know for sure just theorizing.

There is a ton more volume and OI for Dec over Nov. Dec contracts for almost any commodity will do that.

Note, you can only go that far out in time with the quarterly options. Nov started trading at 123 DTE.

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