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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,202 / 581
Last Reply:December 2nd, 2016 (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old August 2nd, 2016, 03:15 PM   #341 (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

Bought back the NGX Calls with a profit of 50 %.

I prefer taking quick profits if given the opportunity especially when selling options for "dangerous" commodities. I intend to sell NG calls again at higher prices.

Best regards, Myrrdin

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Old August 2nd, 2016, 03:18 PM   #342 (permalink)
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myrrdin View Post
Added to my ES put position by selling the OEW3X6 P1950.


ron99 View Post
Sold ESz6P1700-ESz6P1450 spread 1:2 for 3.50

ES 25 points off recent highs, and VIX 2.5 points off recent lows, so probably good timing.

After the year we've had with 1830s in Feb, and 2000 at the end of June, it seems crazy that a dip to 2140 is a now buying opportunity but like you guys I added some delta today. I unwound my NQ/EMD spread at a 2% profit, but more importantly, due to the difference in contract sizes, it wasn't $ neutral.
Long ES, Long ES Puts, Long NQ, Short NQ Calls, Net Delta Long, Net Vol Short.

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Old August 3rd, 2016, 11:26 AM   #343 (permalink)
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According to my seasonals, both LHv and CLv should be dropping starting Aug 4th. But since both have already dropped 10 in July I don't feel comfortable doing anything in them now. We'll see if that is the correct decision.
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Old August 3rd, 2016, 12:52 PM   #344 (permalink)
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ron99 View Post
According to my seasonals, both LHv and CLv should be dropping starting Aug 4th. But since both have already dropped 10 in July I don't feel comfortable doing anything in them now. We'll see if that is the correct decision.

I also watched the Hog calls closely, but failed to sell LHV calls due to the "early" dropping of the LHV futures.

Now I intend to wait for the severe seasonal move upwards of the December futures from end of August until end of September / beginning of October, and then sell the LHZ calls.

Best regards, Myrrdin

PS: @Ron: Your seasonal charts look very similar to the MRCI charts. The difference can be explained by the different number of years (MRCI: 5 and 15 and 30). As you showed recently adding only one year can change the seasonal chart substantially.

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Old August 3rd, 2016, 01:20 PM   #345 (permalink)
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myrrdin View Post
I also watched the Hog calls closely, but failed to sell LHV calls due to the "early" dropping of the LHV futures.

Now I intend to wait for the severe seasonal move upwards of the December futures from end of August until end of September / beginning of October, and then sell the LHZ calls.

Best regards, Myrrdin

PS: @Ron: Your seasonal charts look very similar to the MRCI charts. The difference can be explained by the different number of years (MRCI: 5 and 15 and 30). As you showed recently adding only one year can change the seasonal chart substantially.

Yes LHz drop from early Oct to early Nov looks good. About a 4.6 point drop average for those 9 years. Worked 7 out of 9 years (Oct 8th to Nov 6th).

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The up from Nov 6th to Nov 26th is strong too. Works 8 of last 9 years.

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Old August 3rd, 2016, 01:40 PM   #346 (permalink)
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I'm seeing lots of photos of ears of corn that are not filled out to the end all over the US. So maybe the yield will not be as high as everybody is predicting?

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Old August 3rd, 2016, 02:46 PM   #347 (permalink)
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I'm seeing lots of photos of ears of corn that are not filled out to the end all over the US. So maybe the yield will not be as high as everybody is predicting?

I agree. I do not see corn price rallying, but I expect the current lows to hold. Thus, I sold the CV P330 a few days ago.

Best regards, Myrrdin

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Old August 3rd, 2016, 02:50 PM   #348 (permalink)
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ron99 View Post
The up from Nov 6th to Nov 26th is strong too. Works 8 of last 9 years.

Yes, this up in November is shown by MRCI as well. But at this time the call options sold in the second half of September should have lost value significantly.

Best regards, Myrrdin

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Old August 3rd, 2016, 03:03 PM   #349 (permalink)
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myrrdin View Post
I agree. I do not see corn price rallying, but I expect the current lows to hold. Thus, I sold the CV P330 a few days ago.

Best regards, Myrrdin

The Aug 12th Crop Production report bullish for corn this year? Last year corn dropped 19 cents the day of that report.

Looking back at several years corn was very volatile on the day of that report. Soybeans & Wheat too. Some big moves up and down.

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Old August 3rd, 2016, 03:15 PM   #350 (permalink)
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ron99 View Post
The Aug 12th Crop Production report bullish for corn this year? Last year corn dropped 19 cents the day of that report.

Looking back at several years corn was very volatile on the day of that report. Soybeans & Wheat too. Some big moves up and down.

This report is a good argument to close short option trades. Although the move down last year came from a higher level ($3.88). Prices below 3.18 were not seen since 2009.

I have not made up my mind yet how to procede. But at a close below 3.18 I would buy back the calls.

Best regards, Myrrdin

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