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Diversified Option Selling Portfolio
Started: by myrrdin Views / Replies:29,132 / 624
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Diversified Option Selling Portfolio

  #451 (permalink)
Market Wizard
Linz Austria
 
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Sold GCZ C1380.

In my opinion the Fed event on Wednesday is factored in.

I do not expect a move upwards as a result of the speeches of Fed members today.

Best regards, Myrrdin

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  #452 (permalink)
Market Wizard
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Sold the LCZ P100.

Volatility is high due to the CoF-Report tonight. Thus, it is a good idea to keep lot size small.

Best regards, Myrrdin

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  #453 (permalink)
Market Wizard
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myrrdin View Post
Sold GCZ C1380.

In my opinion the Fed event on Wednesday is factored in.

I do not expect a move upwards as a result of the speeches of Fed members today.

Best regards, Myrrdin

Back out of the Gold trade with a very small profit.

Best regards, Myrrdin

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  #454 (permalink)
Market Wizard
Kyoto, Japan
 
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Can I ask you options experts a bonehead beginner options question?
(I don't know the first thing about gamma)

I've got a 100K portfolio with about 1000 deltas, betaweighted to the SPY.
Ideally, I would like to get it slightly short delta.

I'd like to get some short delta with some VIX Nov 17 23 1x2 Call backspreads.

TOS is telling me that the short 17's are 131 deltas (10 lot)
and the long 23s are minus 142 deltas (20 lot)
for a net of minus 11 deltas for the spread

That seems sort of low, I would think the negative number would be much higher. Is that number going to move much if VIX spikes? These 1x2s are supposed to be explosive -- 10x or 15x.

Question: how much do Deltas with movement in the underlying? Am I correct in thinking that the deltas associated with this trade are much different between a VIX at 12 and a VIX at 22?

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  #455 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Futures Edge on FIO

Which products do you trade?

 

suko View Post
Can I ask you options experts a bonehead beginner options question?
(I don't know the first thing about gamma)

I've got a 100K portfolio with about 1000 deltas, betaweighted to the SPY.
Ideally, I would like to get it slightly short delta.

I'd like to get some short delta with some VIX Nov 17 23 1x2 Call backspreads.

TOS is telling me that the short 17's are 131 deltas (10 lot)
and the long 23s are minus 142 deltas (20 lot)
for a net of minus 11 deltas for the spread

That seems sort of low, I would think the negative number would be much higher. Is that number going to move much if VIX spikes? These 1x2s are supposed to be explosive -- 10x or 15x.

Question: how much do Deltas with movement in the underlying? Am I correct in thinking that the deltas associated with this trade are much different between a VIX at 12 and a VIX at 22?

Have look at Gamma. Gamma measures the rate of change in the delta for each one-point increase in the underlying asset. You find more here (and in other sources in the internet):

Using "The Greeks" To Understand Options | Investopedia

Best regards, Myrrdin

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  #456 (permalink)
Elite Member
rutherford NJ
 
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COF report positive for Live Cattle


myrrdin View Post
Sold the LCZ P100.

Volatility is high due to the CoF-Report tonight. Thus, it is a good idea to keep lot size small.

Best regards, Myrrdin

How does this bode for Live cattle?? Do these trends in cattle continue for days? Am i too late to sell the puts? I could even sell the 101 or 102 both for a short term Oct trade and for a longer term Dec trade IF usually the trend continues

Reason i am looking at Oct is for a quick term play and close prior to USDA Livestock report on Oct 12th. I know not as much premium as i would generally like

thoughts?

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  #457 (permalink)
Market Wizard
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jokertrader View Post
How does this bode for Live cattle?? Do these trends in cattle continue for days? Am i too late to sell the puts? I could even sell the 101 or 102 both for a short term Oct trade and for a longer term Dec trade IF usually the trend continues

Reason i am looking at Oct is for a quick term play and close prior to USDA Livestock report on Oct 12th. I know not as much premium as i would generally like

thoughts?

I am afraid you are late to take profit from the high volatility before the Cattle on Feed-Report. Option prices probably will open lower on Monday.

I consider this CoF-Report as neutral compared to expectations.

The LCV P102 closed at 0.425 on Friday before the report. It will probably open lower on Monday. I doubt that this premium is worth the risk. LCV options expire on 8th of October.

I prefer the December options. Since 2007 there is only one year when LCZ lost significant value in October - this was in 2008. Not a typical year.

Best regards, Myrrdin

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  #458 (permalink)
Elite Member
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Ok thanks


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  #459 (permalink)
Market Wizard
Linz Austria
 
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Sold a small lot of the EW1X P2100. Intend to exit on a close below the recent low.

I chose an expiry date before the US elections. I am afraid that volatility might rise for the options expiring later. Does someone remember how it was in passed elections ?

Best regards, Myrrdin

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  #460 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 720 since Nov 2014
Thanks: 1,077 given, 588 received


Just a reminder: Friday the USDA crop report will be published at 11 am (Chicago Time) / 18.00 (Central European Time).

I intend to by back the corn calls before the report, and to hold the soybeans calls and the cotton calls. COT data for corn is very bullish, and a surprising result could cause funds to cover their shorts.

Best regards, Myrrdin

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