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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,150 / 581
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Diversified Option Selling Portfolio

Old October 13th, 2016, 04:59 AM   #491 (permalink)
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Bought back the ES puts with a loss of 15 %.

Best regards, Myrrdin

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Old October 13th, 2016, 09:39 AM   #492 (permalink)
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myrrdin View Post
Bought back the ES puts with a loss of 15 %.
Best regards, Myrrdin

Just curious but why? Fed rate raise concerns?
With VIX 40% above 2-3 week lows and ES 2-3% below 2-3 week highs, if you were trying to bottom pick, this could be it. Of course this also could be the start of the next dump but thats the danger of bottom picking!

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Old October 13th, 2016, 11:00 AM   #493 (permalink)
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SMCJB View Post
Just curious but why? Fed rate raise concerns?
With VIX 40% above 2-3 week lows and ES 2-3% below 2-3 week highs, if you were trying to bottom pick, this could be it. Of course this also could be the start of the next dump but thats the danger of bottom picking!

The one thing is: The options are close to expiry, and they are rather close to the money. If the September low breaks, it could get ugly. Profit potential and potential for a loss are not balanced anymore.

The other thing is a more mental one: I hate it if trades that were profitable get into minus. These options had an unrealized profit of approx. 40 %, and I was close to buy them back. I do not want them to turn into losers.

Best regards, Myrrdin

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Old October 13th, 2016, 11:04 AM   #494 (permalink)
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Bougth back the live cattle puts with an average loss of 120 %.

The reason: I do not understand what is going on in the live cattle market anymore.

In case of a turnaround in the chart I might give it another try, but probably will buy options.

Best regards, Myrrdin

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Old October 13th, 2016, 11:10 AM   #495 (permalink)
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Futures Edge on FIO
Sold the CF C3.7, and placed an order for the CZ7-CZ8 spread.

I am bullish corn longterm for several reasons:

The big size of the crop should be priced.
Weather in South America is ok now, but there is a long way to go until the crop is brought in.
The current price ratio of beans and corn looks like an invitation to farmers to extend the acreage for beans.
Seasonals show upwards until end of March.
COT data is bullish.

But I do not expect large price moves until December.

Best regards, Myrrdin

PS: Order for CZ7-CZ8 was filled.


Last edited by myrrdin; October 13th, 2016 at 11:38 AM. Reason: PS
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Old October 14th, 2016, 07:07 AM   #496 (permalink)
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myrrdin View Post
Sold the CF C3.7, and placed an order for the CZ7-CZ8 spread.

I am bullish corn longterm for several reasons:

The big size of the crop should be priced.
Weather in South America is ok now, but there is a long way to go until the crop is brought in.
The current price ratio of beans and corn looks like an invitation to farmers to extend the acreage for beans.
Seasonals show upwards until end of March.
COT data is bullish.

But I do not expect large price moves until December.

Best regards, Myrrdin

PS: Order for CZ7-CZ8 was filled.

Bought back the CF C3.7, when the corn price moved above the October high. These options were sold as protection for the CZ7-CZ8 spread (and some wheat futures). It looks like the corn price shows a positive reaction to a neutral report.

Will hold the CZ7-CZ8 longterm, and the wheat outrights shortterm, using a tight stop.

Best regards, Myrrdin

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Old October 14th, 2016, 09:50 AM   #497 (permalink)
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Hi all,

Can somebody give tips on seasonality for Natural Gas February contract?
My subscription to MRCI ended yesterday, i may switch to SeasonalAlgo, however the interface for the latter is less friendly for new user.

I am contemplating selling NGG7 P2.5 - 2.3 ~ 2 delta for 0.1 per spread.
Approximate monthly ROI 2.7%

I have been reading reports throughout the web, fundamentals appear to me moderately bullish.
Although, timing is not the best while i had been thinking about this trade for too long and by the moment the price may have reached a short term top.

Arguments for the trade are moderately bullish fundamentals and high volatility which makes selling options more profitable, although if win.

10/04 COT is rather neutral to me.

Would anyone go for this trade?


Last edited by Jerard; October 14th, 2016 at 10:17 AM.
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Old October 14th, 2016, 10:23 AM   #498 (permalink)
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Jerard View Post
Hi all,

Can somebody give tips on seasonality for Natural Gas February contract?
My subscription to MRCI ended yesterday, i may switch to SeasonalAlgo, however the interface for the latter is less friendly for new user.

I am contemplating selling NGG7 P2.5 - 2.3 ~ 2 delta for 0.1 per spread.
Approximate ROI 5%

I have been reading reports throughout the web, fundamentals appear to me moderately bullish.
Although, timing is not the best while i had been thinking about this trade for too long and by the moment the price may have reached a short term top.

Arguments for the trade are moderately bullish fundamentals and high volatility which makes selling options more profitable, although if win.

10/04 COT is rather neutral to me.

Would anyone go for this trade?

According to MRCI, the path of NGG is clearly downwards until expiry for the 5-, 15-, and 26 years average.

For 2001 there is a good correlation compared to this year, and it went upwards (!) until expiry. But I would not bet on this single year. (Although you could check if there are similarities of fundamentals between these two years.)

The NGH-NGF spreads - bear spreads - for 14th of October until 7th of December were profitable every single year since 2002.

In my opinion there are better seasonal trades around (eg. the NGH-NGF spread).

Best regards, Myrrdin

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Old October 14th, 2016, 10:34 AM   #499 (permalink)
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myrrdin View Post
According to MRCI, the path of NGG is clearly downwards until expiry for the 5-, 15-, and 26 years average.

For 2001 there is a good correlation compared to this year, and it went upwards (!) until expiry. But I would not bet on this single year. (Although you could check if there are similarities of fundamentals between these two years.)

The NGH-NGF spreads - bear spreads - for 14th of October until 7th of December were profitable every single year since 2002.

In my opinion there are better seasonal trades around (eg. the NGH-NGF spread).

Best regards, Myrrdin

I see your point, thanks. May ask you where would you look for fundamentals on 2001 year?

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Old October 14th, 2016, 10:46 AM   #500 (permalink)
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Jerard View Post
Hi all,

Can somebody give tips on seasonality for Natural Gas February contract?
My subscription to MRCI ended yesterday, i may switch to SeasonalAlgo, however the interface for the latter is less friendly for new user.

I am contemplating selling NGG7 P2.5 - 2.3 ~ 2 delta for 0.1 per spread.
Approximate monthly ROI 2.7%

I have been reading reports throughout the web, fundamentals appear to me moderately bullish.
Although, timing is not the best while i had been thinking about this trade for too long and by the moment the price may have reached a short term top.

Arguments for the trade are moderately bullish fundamentals and high volatility which makes selling options more profitable, although if win.

10/04 COT is rather neutral to me.

Would anyone go for this trade?

The seasonals are bearish but that always depends on the weather. Colder is bullish, normal or warmer than normal is bearish.

Production is down but inventory is above 5 yr avg.

Interesting that IM is only $94. If you use 6X IM and exit at 50% drop in net premium at 30 days then the ROI is 6.5%.

I'd call DCOT bearish because specs are more long than normal.
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https://public.tableau.com/profile/ron.h8870#!/

Here is what a spread that was similar did last year. Lost a lot of money.
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