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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,096 / 581
Last Reply:2 Hours Ago (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old August 11th, 2016, 01:02 PM   #371 (permalink)
Market Wizard
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LHq futures quit trading on the 10th trading day of August.

I found out that LHv almost always goes up from the 8th trading day of August to the 10th trading day of August. Usually up 2.000. It worked 7 of the last 8 years and the only year it didn't work was 2014 when LH futures were abnormally high at 100.

The last 5 years LHv then dropped in price after the 10th trading day of the month.

LHz & LHg also go up the 8th to 10th trading day of August. They don't always drop after the 10th trading day.

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Old August 11th, 2016, 03:57 PM   #372 (permalink)
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Interesting how the seasonals change when prices are high vs low.

Here is the last 9 years for ZSx

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The average price shows an uptrend for August.

Here are only the years that have prices above 12.00

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Definite uptrend in August.

Here are only the years that have prices less than 11.00

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No uptrend in August. In fact there is a downward trend that all 5 years followed.

Charts are available here. https://public.tableau.com/profile/ron.h8870#!/

It will be interesting to see what happens after the crop report at noon ET Friday. I went long option strangles on Corn and Soybeans. Bought ZCu6p315, ZCu6c330, ZSu6p960, ZSu6c1070.

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Old August 11th, 2016, 04:02 PM   #373 (permalink)
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ron99 View Post
LHq futures quit trading on the 10th trading day of August.

I found out that LHv almost always goes up from the 8th trading day of August to the 10th trading day of August. Usually up 2.000. It worked 7 of the last 8 years and the only year it didn't work was 2014 when LH futures were abnormally high at 100.

The last 5 years LHv then dropped in price after the 10th trading day of the month.

LHz & LHg also go up the 8th to 10th trading day of August. They don't always drop after the 10th trading day.

LOL so right after I post this, LHv drops 2.000 in one hour. From up 1.500 to down 0.550. We'll see what happens tomorrow.

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Old August 11th, 2016, 04:54 PM   #374 (permalink)
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ron99 View Post
Interesting how the seasonals change when prices are high vs low.

Definitely.

Seasonals for large crops differ from seasonals for small crops.

There is an old saying among the grains & beans traders: "Small crops get smaller, big crops get bigger." (This refers to crops that look big in summer, will be even bigger in fall.

The ability to produce a seasonal chart of all years with large (small) crops helps a lot to trade successfully.

Best regards, Myrrdin

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Old August 12th, 2016, 03:21 AM   #375 (permalink)
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ron99 View Post
LHq futures quit trading on the 10th trading day of August.

I found out that LHv almost always goes up from the 8th trading day of August to the 10th trading day of August. Usually up 2.000. It worked 7 of the last 8 years and the only year it didn't work was 2014 when LH futures were abnormally high at 100.

The last 5 years LHv then dropped in price after the 10th trading day of the month.

LHz & LHg also go up the 8th to 10th trading day of August. They don't always drop after the 10th trading day.

I am bearish hogs at this time of the year. Sold the LHZ6-LHG7 spread at -4.2 yesterday, and expect it to move to -6 or -8, as in most of the recent years.

Best regards, Myrrdin

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Old August 12th, 2016, 11:28 AM   #376 (permalink)
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myrrdin View Post
I am bearish hogs at this time of the year. Sold the LHZ6-LHG7 spread at -4.2 yesterday, and expect it to move to -6 or -8, as in most of the recent years.

Best regards, Myrrdin

I added LHzg to my seasonal futures charts. I also have LHzj & LHzm.

I'm not seeing being short LHzg working the last 3 years from 8/6 to 9/6. Does my data match yours?

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Old August 12th, 2016, 12:56 PM   #377 (permalink)
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ron99 View Post
I added LHzg to my seasonal futures charts. I also have LHzj & LHzm.

I'm not seeing being short LHzg working the last 3 years from 8/6 to 9/6. Does my data match yours?

Shorting the spread should have made money in 2013, in 2014 only if entered in early July or September (2014 was an untypical year due to desease problems, causing extremely high prices for hogs), and has lost money in 2015 (in this year the spread was at the usual low of -6 in early August).

@ron99 : Please see my private message regarding the detailed charts.

Best regards, Myrrdin

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Old August 12th, 2016, 01:23 PM   #378 (permalink)
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myrrdin View Post
Shorting the spread should have made money in 2013, in 2014 only if entered in early July or September (2014 was an untypical year due to desease problems, causing extremely high prices for hogs), and has lost money in 2015 (in this year the spread was at the usual low of -6 in early August).

@ron99 : Please see my private message regarding the detailed charts.

Best regards, Myrrdin

I guess I should have asked what are your beginning and ending dates for the spread.

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Old August 12th, 2016, 02:07 PM   #379 (permalink)
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ron99 View Post
I guess I should have asked what are your beginning and ending dates for the spread.

This spread is not a spread recommended by MRCI to enter on this date and to liquidate on that date.

But in most of the last 10 years the spread could be sold some time in summer, and bought back in fall with a profit. In almost all years the spread reached values of -6 to -8 some time between September and the expiry of the December contract, and between these values I intend to buy it back.

I like to sell it some time in summer at a price significantly above -6. As always it is important to keep lot size small enough.

Best regards, Myrrdin

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Old August 12th, 2016, 02:31 PM   #380 (permalink)
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myrrdin View Post
This spread is not a spread recommended by MRCI to enter on this date and to liquidate on that date.

But in most of the last 10 years the spread could be sold some time in summer, and bought back in fall with a profit. In almost all years the spread reached values of -6 to -8 some time between September and the expiry of the December contract, and between these values I intend to buy it back.

I like to sell it some time in summer at a price significantly above -6. As always it is important to keep lot size small enough.

Best regards, Myrrdin

OK I see this is a long term trade. Probably held to Nov.

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