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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,605 / 589
Last Reply:7 Hours Ago (01:16 PM) Attachments:39

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Diversified Option Selling Portfolio

Old September 2nd, 2016, 10:44 AM   #411 (permalink)
Market Wizard
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Exited ESx6p1700p1460 2 longs. 38 days held. 2.8% monthly ROI using 6x.

Exited ESx6p1710p1460 2 longs. 37 days held. 3.2% monthly ROI using 6x.

Replaced them with ESz6p1750p1520 2 longs sold for 2.50.

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Old September 2nd, 2016, 11:00 AM   #412 (permalink)
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Reduced my exposure in the Live Cattle by buying back the LCZ P99 (loss of 50 %) and FCV P126 (80 %).

Best regards, Myrrdin

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Old September 2nd, 2016, 01:03 PM   #413 (permalink)
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Sold the CLF C58/63 spread at 0.30 .

Intend to exit above the August high.

Best regards, Myrrdin


Last edited by myrrdin; September 2nd, 2016 at 01:42 PM.
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Old September 3rd, 2016, 11:23 AM   #414 (permalink)
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Sold the CZ C3.60 before the close yesterday to balance my CZ7-CZ8 spreads I had bought earlier.

The spread should move upwards until end of March (seasonality), but I expect that bottoming will take some time.

Wish all of you in the US a wonderful Holiday Weekend.

Best regards, Myrrdin

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Old September 4th, 2016, 02:15 AM   #415 (permalink)
Trading for Fun
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Diversification

Futures Edge on FIO

Are you a NinjaTrader user?

 
If I need to choose only 3 markets for trading, what do you recommend:
1. Es mini
2. Energy (crude oil or natural gas)
3. ????

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Old September 4th, 2016, 05:25 AM   #416 (permalink)
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uuu1965 View Post
If I need to choose only 3 markets for trading, what do you recommend:
1. Es mini
2. Energy (crude oil or natural gas)
3. ????

The question is not easy to answer, and the answer will be time-dependent.

In recent years there were months with a strong correlation between the ES and CL. On the other hand, the ES was good for selling puts (significantly higher price of OTM puts than for calls), and CL was good for selling calls. CL shows nice seasonals.

NG looks like a good choice as it is almost independent from the $. Currently there are not many imports and exports for the US. This might change in future, when more NG is traded around the world. But: NG price depends to a high degree on the weather (temperatures), and weather is hard to predict. March contract is well known for its huge moves, when a cold snap moves into the US. CL price depends on more influencies, which might cancel out each other (eg. US $, politics in the oil producing countries, temperatures, traffic)

Among grains and beans, all of them have their merits. But not all year around. There are times when weather is the only major influence on price, and your options rise in value significantly within a few days. And there are times when volatility comes down after a weather market, and interesting trades might develop. Grains and beans show nice seasonals, which helps.

Among the softs, I prefer coffee. Option prices - namely for calls - for very far OTM strikes often are high. But also coffee has its weather markets. Currently we enter the critical blooming period in South America.

Among the meats I would prefer hogs. Live cattle recently showed some tendency to correlate with the Indices.

I stopped selling options in the currencies, and I rarely sell options in the metals. In case you like the metals I would prefer Gold.

Whereas it does make sense to permanently be short ES puts, I do not think such concept does make sense for the commodities discussed above. Ron also discussed this in his thread.

What should you finally look at ? You should chose commodities you like to spend time with. You will have to read a lot about supply & demand, seasonals, weather, COT data etc. You should consider for which commodities you have
good sources or are able to get them.

If I had to make a choice today, I would take ES, CL, W, and KC.

Best regards, Myrrdin

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Old September 4th, 2016, 07:38 AM   #417 (permalink)
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myrrdin View Post
The question is not easy to answer, and the answer will be time-dependent.

In recent years there were months with a strong correlation between the ES and CL. On the other hand, the ES was good for selling puts (significantly higher price of OTM puts than for calls), and CL was good for selling calls. CL shows nice seasonals.

NG looks like a good choice as it is almost independent from the $. Currently there are not many imports and exports for the US. This might change in future, when more NG is traded around the world. But: NG price depends to a high degree on the weather (temperatures), and weather is hard to predict. March contract is well known for its huge moves, when a cold snap moves into the US. CL price depends on more influencies, which might cancel out each other (eg. US $, politics in the oil producing countries, temperatures, traffic)

Among grains and beans, all of them have their merits. But not all year around. There are times when weather is the only major influence on price, and your options rise in value significantly within a few days. And there are times when volatility comes down after a weather market, and interesting trades might develop. Grains and beans show nice seasonals, which helps.

Among the softs, I prefer coffee. Option prices - namely for calls - for very far OTM strikes often are high. But also coffee has its weather markets. Currently we enter the critical blooming period in South America.

Among the meats I would prefer hogs. Live cattle recently showed some tendency to correlate with the Indices.

I stopped selling options in the currencies, and I rarely sell options in the metals. In case you like the metals I would prefer Gold.

Whereas it does make sense to permanently be short ES puts, I do not think such concept does make sense for the commodities discussed above. Ron also discussed this in his thread.

What should you finally look at ? You should chose commodities you like to spend time with. You will have to read a lot about supply & demand, seasonals, weather, COT data etc. You should consider for which commodities you have
good sources or are able to get them.

If I had to make a choice today, I would take ES, CL, W, and KC.

Best regards, Myrrdin

Thanks a lot for such exhaustive answer.
Trading any commodities (except ES mini) ask extra time ...
Vielen dank nocheinmal!

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Old September 7th, 2016, 09:28 AM   #418 (permalink)
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this looks interesting


uuu1965 View Post
Sold LEZ P100/94 spread at 1.125.

Just looked at Live cattle and its fallen off the cliff.. not sure why..
my assumption is seasonally Live cattle should rally into the end of the year - still researching if this is correct

Question: Some option prices on LE in TOS seem strange.. and some seem normal
like Dec 100 put is 3.75/4.00 (bid/ask) vs Dec 98 put which is 0.575/3.125 and then goes back up for 98 put..

Wonder if i can use this anomaly to create a spread and whether i will ever get filled?

Also for the LEZ P100/94 i am seeing 2.05 now. So if both our assumptions are right.. good time to sell right?

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Old September 7th, 2016, 09:49 AM   #419 (permalink)
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jokertrader View Post
Just looked at Live cattle and its fallen off the cliff.. not sure why..
my assumption is seasonally Live cattle should rally into the end of the year - still researching if this is correct

Question: Some option prices on LE in TOS seem strange.. and some seem normal
like Dec 100 put is 3.75/4.00 (bid/ask) vs Dec 98 put which is 0.575/3.125 and then goes back up for 98 put..

Wonder if i can use this anomaly to create a spread and whether i will ever get filled?

Also for the LEZ P100/94 i am seeing 2.05 now. So if both our assumptions are right.. good time to sell right?

Currently Live Cattle is not traded. Trading begins at 8.30 am (Chicago time). Outside of trading hours bid / ask do not make sense.

You could have a look at the closing prices from yesterday at the CME site.

Live Cattle prices come done because of the low and falling cash price which surprizes me. Holiday business obviously was worse than expected. I will probably get out of the trade today.

Best regards, Myrrdin

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Old September 7th, 2016, 10:35 AM   #420 (permalink)
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Exited the LCG P96 and the FCV P122.

Probably cattle prices now move upwards, but a stop is a stop.

I do not intend to sell puts in LC or FC in the near future, as I currently do not really understand what is going on in the cattle markets.

Best regards, Myrrdin


Last edited by myrrdin; September 7th, 2016 at 03:20 PM.
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