Diversified Option Selling Portfolio - Options on Futures | futures io social trading
futures io futures trading


Diversified Option Selling Portfolio
Updated: Views / Replies:39,141 / 816
Created: by myrrdin Attachments:56

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 56  
 
Thread Tools Search this Thread
 

Diversified Option Selling Portfolio

  #451 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary

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

Reply With Quote
 
  #452 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary

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

Reply With Quote
 
  #453 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary



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

Reply With Quote
 
  #454 (permalink)
Market Wizard
Kyoto, Japan
 
Futures Experience: Beginner
Platform: LiveVol
Broker/Data: TD, TW, IB, Saxo
Favorite Futures: UVXY, VXX, VIX, /VX
 
suko's Avatar
 
Posts: 874 since Oct 2013
Thanks: 641 given, 637 received

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?

Reply With Quote
 
  #455 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary


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

Reply With Quote
 
  #456 (permalink)
Elite Member
rutherford NJ
 
Futures Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG Some GC, ZS,CL
 
Posts: 361 since May 2013
Thanks: 284 given, 133 received

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?

Reply With Quote
 
  #457 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary


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

Reply With Quote
 
  #458 (permalink)
Elite Member
rutherford NJ
 
Futures Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG Some GC, ZS,CL
 
Posts: 361 since May 2013
Thanks: 284 given, 133 received

Ok thanks


Sent from my iPhone using futures.io mobile app

Reply With Quote
 
  #459 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary

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

Reply With Quote
The following user says Thank You to myrrdin for this post:
 
  #460 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 872 since Nov 2014
Thanks: 1,256 given, 811 received
Forum Reputation: Legendary


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

Reply With Quote

Reply



futures io > > > > Diversified Option Selling Portfolio

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

FIO Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

May
 

EasyLanguage ABC's: Mastering TradeStation Programming w/Chris Kaiser

Elite only
 

Prototyping Python Strategies (part 2: Backtesting) w/Ran Aroussi

Elite only
 

Portfolio Diversification w/Brendon Delate @ Diversify Portfolio

Elite only

An Afternoon with FIO member Softsoap (being rescheduled)

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Webinar: Option Selling with and without insurance w/Carley Garner Big Mike Options on Futures 50 March 24th, 2015 05:52 PM
Portfolio Trader no erocla MultiCharts 1 November 27th, 2014 10:56 AM
"DTS" Diversified Trading System - Anybody out there!? ShaunG Vendors and Product Reviews 2 July 30th, 2014 05:54 AM
Diversified Trading Systems soch Vendors and Product Reviews 3 February 18th, 2013 09:12 PM
Portfolio Construction dgresens Psychology and Money Management 3 October 25th, 2012 03:33 AM


All times are GMT -4. The time now is 01:41 PM.

Copyright © 2017 by futures io, s.a. Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-05-22 in 0.14 seconds with 20 queries on phoenix via your IP 23.20.179.211