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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,426 / 581
Last Reply:December 2nd, 2016 (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old August 12th, 2016, 03:37 PM   #381 (permalink)
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ron99 View Post
OK I see this is a long term trade. Probably held to Nov.

Yes, in many years I hold the position until November.

Best regards, Myrrdin

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Old August 15th, 2016, 10:52 AM   #382 (permalink)
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Bought back the CTZ C90 with a profit of 70 %, and sold the CTZ C80.

The recent USDA report was bearish for cotton, China continues to sell reserve cotton stocks, and weather in US and India improves. COT data is still bearish. Seasonals for recent years are sidewards to lower with the notable exception in 2010, when cotton price moved up to a record of more than 150.

Best regards, Myrrdin

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Old August 15th, 2016, 11:16 AM   #383 (permalink)
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What is the annual return on your strategy, or the expected return?

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Old August 15th, 2016, 11:38 AM   #384 (permalink)
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@myrrdin:

I don't follow cotton much, or at all for that matter, but took a look at the option quotes after seeing your post about the seasonals and ag data being bearish. I noticed the quotes were super "jumpy" for lack of a better word. I saw the CTZ6 0.8 going from a 0.98-1.02 spread to a 0.7-1.4 spread and then come back down to normal. Is this to do with any data issues, or is the contract thinly traded and as a result the jumpy b-a spreads. I ask because you didn't seem to have trouble getting filled in and out of the CTZ6 0.9 position. Not sure if this has anything to do with the ICE data packs requirements few months back. I'd appreciate your thoughts?

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Old August 15th, 2016, 11:42 AM   #385 (permalink)
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What is the annual return on your strategy, or the expected return?


6 days ago I wrote in this thread, answering to a similar question:

"If performed properly, you should end up with an annual profit between 10 and 40 % in the long run.

To avoid severe drawdowns, it is essential to diversify, to keep lot sizes small, and to limit losses. You will find more details on the concept within this thread.

Good luck !

Best regards, Myrrdin"

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Old August 15th, 2016, 11:50 AM   #386 (permalink)
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ys91 View Post
I noticed the quotes were super "jumpy" for lack of a better word. I saw the CTZ6 0.8 going from a 0.98-1.02 spread to a 0.7-1.4 spread and then come back down to normal. Is this to do with any data issues, or is the contract thinly traded and as a result the jumpy b-a spreads. I ask because you didn't seem to have trouble getting filled in and out of the CTZ6 0.9 position. Not sure if this has anything to do with the ICE data packs requirements few months back. I'd appreciate your thoughts?

During main trading hours I do not see many jumps, as you describe them, at least they are no problem. There are such issues for other commodities (eg. meats) as well. But for most of the time spreads between bid / ask are ok.

The problem is that for the softs you often get fills only rather close to the bid, whereas eg. in the grains or for the ES you get fills near the middle between bid / ask. Thus, I avoid to sell cheap FOTM options.

But it is no problem to get into and out of the positions.

Best regards, Myrrdin

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Old August 16th, 2016, 11:20 AM   #387 (permalink)
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Sold the ESX P2050, and, thus, increased my short ES put position. I usually sell naked, and sell further puts when the value of the older ones has decreased. (See the recent discussion with Ron in his short option thread).

Sold the CLF C64. Looking at seasonals and at the world-wide economic situation I assume that Crude Oil price will remain between $ 40 and $ 50. I intend to liquidate in case the oil price inreases beyond the June high.

Best regards, Myrrdin

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Old August 17th, 2016, 12:28 PM   #388 (permalink)
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Decided to buy back the SBF C22 at a loss of 15 %.

In spite of the favourable weather for the crop in Brazil sugar price does not move down significantly.

In case there is a further move up, I intend to sell again (COT, seasonals are bearish).

Best regards, Myrrdin


Last edited by myrrdin; August 17th, 2016 at 12:43 PM.
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Old August 18th, 2016, 03:39 PM   #389 (permalink)
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Bought back the EWV P2050 with a profit of 50 % after 36 days.

Best regards, Myrrdin

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Old August 23rd, 2016, 12:00 PM   #390 (permalink)
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Bought back the EW3X6 P1950 with a profit of 50 %.

Sold the EWX6 P2000 instead.

Best regards, Myrrdin

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