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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,448 / 581
Last Reply:December 2nd, 2016 (01:20 PM) Attachments:38

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Diversified Option Selling Portfolio

Old September 1st, 2016, 06:48 AM   #401 (permalink)
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Sold a first lot of the LHZ C62 and placed orders for further 2 lots at higher prices.

Seasonals point sidewards / downwards until middle of November. Since 2007 the only years showing significant upmoves in September are 2013 / 2014 (desease problems) and 2009 (very low prices in August of below $45).

I expect cash price in December to move down below 50 this year.

Best regards, Myrrdin

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Old September 1st, 2016, 07:46 AM   #402 (permalink)
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Intend to sell close to the money corn puts in the near future (eg. CH P3).

The "normal" seasonals show a strong move downwards in September (2007 - 2015). But if you only look at years with a price below $4.6 at the end of August, all of them move sidewards / upwards in September. The downwards move of the seasonal chart is caused by very strong moves in years with a price of $6 and higher at the end of August.

COT data is quite bullish, although specs still have some potential to move prices downwards.

Intend to sell somewhere between $2.9 and $3.1 for the December contract.

Best regards, Myrrdin

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Old September 1st, 2016, 08:20 AM   #403 (permalink)
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myrrdin View Post
Sold a first lot of the LHZ C62 and placed orders for further 2 lots at higher prices.

Seasonals point sidewards / downwards until middle of November. Since 2007 the only years showing significant upmoves in September are 2013 / 2014 (desease problems) and 2009 (very low prices in August of below $45).

I expect cash price in December to move down below 50 this year.

Best regards, Myrrdin

From this source I see different seasonal picture:
Seasonality | Free Charts | StockCharts.com

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Old September 1st, 2016, 08:48 AM   #404 (permalink)
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Portfolio set-up

Myrrdin,

I appreciate your previous comments. When setting you portfolio and establishing 8-15 positions, have you developed a core portfolio with negatively correlated assets? Also, do you set % of margin established with vertical spreads, and % naked, % strangles.

In reviewing others in the space, Cordier in his moderate portfolio would have 40-50% in cash, would have 60% of deployed capital in spreads, and split the rest between nakeds and strangles.

Also attempting to reduce the clump risk, or speed of drawdown, you referenced.

Also, do you still try to establish shorts at 3 delta.

I'm just trying to learn, I appreciate your patience.

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Old September 1st, 2016, 10:41 AM   #405 (permalink)
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uuu1965 View Post
From this source I see different seasonal picture:
Seasonality | Free Charts | StockCharts.com

I do not know what "BCOMLH" is. But I do not think it is the December contract for CME traded hogs. I suggest to check.

Best regards, Myrrdin

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Old September 1st, 2016, 11:09 AM   #406 (permalink)
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meg10 View Post
Myrrdin,

I appreciate your previous comments. When setting you portfolio and establishing 8-15 positions, have you developed a core portfolio with negatively correlated assets? Also, do you set % of margin established with vertical spreads, and % naked, % strangles.

In reviewing others in the space, Cordier in his moderate portfolio would have 40-50% in cash, would have 60% of deployed capital in spreads, and split the rest between nakeds and strangles.

Also attempting to reduce the clump risk, or speed of drawdown, you referenced.

Also, do you still try to establish shorts at 3 delta.

I'm just trying to learn, I appreciate your patience.

I am not a system trader, but I look at each trade individually.

I do not have a core portfolio, but I try to avoid clump risk. I prefer strangles if given the chance, and I like being long and short two correlated commodities. Eg. I currently hold LC puts and LH calls. Sometimes I use outright futures or spreads to achieve this balance. As a rise in interest rates might be a problem for my ES puts, I sold some eurodollar futures (GEZ8). You will find more examples if you look to older entries in this thread.

I do not set a percentage of margin established with vertical spreads, and % naked, % strangles. I rarely trade vertical spreads, there will be more strangles if volatility is high, and more naked options if volatility is low.

50 % cash as a target does make sense to me. In case options move into the wrong direction you have a safety belt.

I do not limit myself to selling 3 delta. Usually I sell options with a higher delta, especially if volatility is low. Currently I plan to sell CH puts rather close to the money (delta approx. 40). For a delta 3 put you would get less than $40. You would have to buy a large number of these puts, and in case of a strong drop in corn price you would get a severe problem.

Please feel free to ask further questions or ask again, if I could not make everything clear.

Best regards, Myrrdin

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Old September 1st, 2016, 11:45 AM   #407 (permalink)
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Bought back the CLF C64 with a profit of approx. 60 %.

A large share of the profit is made, and there is a long time until expiry of the option. Intend to sell again at a higher price.

Best regards, Myrrdin

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Old September 1st, 2016, 12:01 PM   #408 (permalink)
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Bought back CLz6c60c65 call spread at .08. Sold it on 8/4/16 for .16. Using 6x the monthly ROI is 4.3%.

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Old September 1st, 2016, 04:10 PM   #409 (permalink)
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myrrdin View Post
I do not know what "BCOMLH" is. But I do not think it is the December contract for CME traded hogs. I suggest to check.

Best regards, Myrrdin

$BCOMLH is Bloomberg Lean Hogs Subindex

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Old September 2nd, 2016, 03:19 AM   #410 (permalink)
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uuu1965 View Post
$BCOMLH is Bloomberg Lean Hogs Subindex

In the meats the individual contracts trade - other than in the metals or the currencies or the indices - very independently from each other. The main reason is that meat cannot be stored easily.

When looking at the seasonals for meat, it is important to look at the right contract.

Best regards, Myrrdin

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