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Diversified Option Selling Portfolio
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Created: by myrrdin Attachments:52

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Diversified Option Selling Portfolio

  #41 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Bought back NGZ P2.25 at a loss of approx. 150 %.

El Nino usually takes care for warmer than average termperatures in the winter in northern US. This, and the current moderate temperatures might be the reason for NG prices moving lower and lower.

Best regards, Myrrdin

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  #42 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
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A few words at the end of Q3, regarding the diversified option selling portfolio.

Profit before commissions for these 9 months was 20 – 25 %, based on the total account. (About 1/3 of my account is used for option selling.) This is the result of a good Q1, an excellent Q2, and a disappointing Q3. The strong moves of the indices had consequencies for various commodities, especially cattle prices and currencies went against me during this time.

Summed up commissions were in the order of magnitude of 10 % of the account value, although I get a quite acceptable rate per round-trip. This value was lower in the past, as I moved to smaller delta (and, thus, a larger number of sold options) in this year. But I have to be aware, that for an actively traded option selling account one reason to avoid very low delta is commissions.

I traded options of 17 different commodities plus of several currencies. Interesting to note, that I made major profits with only three of them: Wheat, Crude Oil, and the S&P index (ES puts), further significant profits came from Soybeans and Cotton. Major losses were caused by the currencies, Live Cattle, and Bean Oil. Number of trades for most of these commodities was larger than 15, thus it was not just one trade that decided the results.

Consequencies: Regarding commissions, I will check for each trade, if a very low delta is necessary, and keep „rolling“ of trades to a minimum. Furthermore, I will avoid trading currencies via short options. And I will be very careful in the cattle market.

Please feel free to ask all kind of questions, make comments, and talk about your trade suggestions.

Best regards, Myrrdin

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  #43 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
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Sold the USZ C170 .

Best regards, Myrrdin

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  #44 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 837 since Nov 2014
Thanks: 1,201 given, 756 received
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Current positions of my option selling portfolio:

CH P340
CH C500
WH C600-800
BOH P24
BOH P26

LHZ C75
LCG P120

SIH P14

CLF C60-75
CLF P30-21

ESZ P1300
ZBZ C170


I intend to reduce the rather large wheat position, and to add on the small ES position via selling January puts. Furthermore, I intend to add to my successful positions in LH and BO. I will add to ZBZ calls or add ZNZ calls only in case we get back to the recent highs.

Best regards, Myrrdin

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  #45 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Sold the ESF6 P1500. I chose a lower delta to reduce commissions, as explained below. Whereas I had bought puts at approx. US$ 200, I will buy them at US$ 300 - 400.

In my opinion, the low in the indices is in. Thus, I take up again systematically Ron's concept of selling ES puts.

My rules regarding a stop loss are different: I define a stop in the underlying where I expect the option to approximately double in value. Here I intend to exit on a close below 1870.

If successful, I will buy back the options at 50 %, and re-enter a new position.

Currently I hold two lots (1 regular lot is approx. 3 % of the account value). Due to the uncertain situation regarding the indices, I did not re-buy the ESZ P1300 at 50 %, and re-enter. I intend to re-buy and re-enter a full second position during this week.

Best regards, Myrrdin


Last edited by myrrdin; October 5th, 2015 at 06:12 AM. Reason: Adding comment regarding delta.
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  #46 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Broker/Data: DeCarley, RJO
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Posts: 837 since Nov 2014
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myrrdin View Post
Sold the ESF6 P1500. I chose a lower delta to reduce commissions, as explained below. Whereas I had bought puts at approx. US$ 200, I will buy them at US$ 300 - 400.

In my opinion, the low in the indices is in. Thus, I take up again systematically Ron's concept of selling ES puts.

My rules regarding a stop loss are different: I define a stop in the underlying where I expect the option to approximately double in value. Here I intend to exit on a close below 1870.

If successful, I will buy back the options at 50 %, and re-enter a new position.

Currently I hold two lots (1 regular lot is approx. 3 % of the account value). Due to the uncertain situation regarding the indices, I did not re-buy the ESZ P1300 at 50 %, and re-enter. I intend to re-buy and re-enter a full second position during this week.

Best regards, Myrrdin


Bought back the ESZ P1300, and sold the ESF P1500. I currently hold two lots of ESF P1500, 1 lot = 3 % of account value.

Best regards, Myrrdin

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  #47 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
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Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 837 since Nov 2014
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myrrdin View Post
I intend to reduce the rather large wheat position,

Liquidated my wheat calls.

Reasons:

USDA report last week was surprisingly bullish - lower acreage and lower yield,
Weather problems in Russia and in Australia,
Disappointing job report last Friday might let the US$ move downwards.

There will be better times to short wheat.

Best regards, Myrrdin

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  #48 (permalink)
Market Wizard
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Added to my short hogs position by selling the LHZ C70.

Seasonals are lower into November, buying by retailers for the National Pork Month may start to level off.

I do not expect prices above last weeks high. I intend to liquidate the position on a close above these highs.

Best regards, Myrrdin

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  #49 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 837 since Nov 2014
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myrrdin View Post

CLF C60-75
CLF P30-21

Liquidated both positions at a profit of 27 %.

I see growing risk to the short calls due to shift in risk-taking sentiment and rising geo-political risk.

Best regards, Myrrdin

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  #50 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, Vantage, Trade Navigator
Broker/Data: DeCarley, RJO
Favorite Futures: Commodities
 
Posts: 837 since Nov 2014
Thanks: 1,201 given, 756 received
Forum Reputation: Legendary



myrrdin View Post
Sold the USZ C170 .

Best regards, Myrrdin

Took profit of 58 % in five days on the USZ C170.

There is a long way to go until these options expire. Intend to re-enter in case of another move up.

Best regards, Myrrdin

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