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Diversified Option Selling Portfolio
Started:September 6th, 2015 (11:22 AM) by myrrdin Views / Replies:26,564 / 588
Last Reply:3 Hours Ago (02:52 AM) Attachments:39

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Diversified Option Selling Portfolio

Old November 14th, 2016, 12:00 PM   #551 (permalink)
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rajab View Post
Any thoughts on selling put credit spreads on the 10 year? with short leg 2% out.
Looking at the charts support at 123. Am I too close?
Thought please?

Sorry - I do not have an own opinion regarding ZN.

Carley suggested to buy ZN calls a few days ago. The major reason to buy calls (instead of to sell puts) was the low volatility.

Best regards, Myrrdin

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Old November 14th, 2016, 12:14 PM   #552 (permalink)
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Took profit on the WH C4.7 of 50 % and the CF C3.7 of 85 %.

USD might move back down, and this would make the wheat price move up. I intend to sell wheat calls again at a higher price level.

I do not intend to sell further corn calls in 2016. Instead I placed an order to buy the CZ17-CZ18 below -20.

Last week I bought back the LHZ C50 with a profit of 50 %.

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Old November 14th, 2016, 02:04 PM   #553 (permalink)
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Considerations for further trades:

Sell KCH calls (eg. KCH C200) on a minor upwards move. The small crop of Robusta coffee should be priced in. Last week we had a bearish signal in the weekly chart. COT data looks bearish, too.

Sell LHG puts on a move downwards towards the current contract low.

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Old November 14th, 2016, 02:58 PM   #554 (permalink)
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myrrdin View Post
Considerations for further trades:

Sell KCH calls (eg. KCH C200) on a minor upwards move. The small crop of Robusta coffee should be priced in. Last week we had a bearish signal in the weekly chart. COT data looks bearish, too.

Sell LHG puts on a move downwards towards the current contract low.

Best regards, Myrrdin

Ha. 15 minutes before I saw this post I was looking at selling March KC calls. Might do it tomorrow.

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Old November 14th, 2016, 03:12 PM   #555 (permalink)
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ron99 View Post
Ha. 15 minutes before I saw this post I was looking at selling March KC calls. Might do it tomorrow.

Good to hear that. If we both have the same opinion, it should work. Hope we see a move upwards tomorrow.

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Old November 15th, 2016, 07:11 AM   #556 (permalink)
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@ron99 for coffee would u sell outright or employ the same ratio strategy as ES? Have to check if there is enough premium. I might join you guys but with a straight spread

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Old November 15th, 2016, 07:17 AM   #557 (permalink)
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rajab View Post
Any thoughts on selling put credit spreads on the 10 year? with short leg 2% out.
Looking at the charts support at 123. Am I too close?
Thought please?

Depends on what u are trying? Which expiry? If u have enough time and you are looking for a bounce fine then why not do ATM as a spread? If u don't want the short strike ITm at all then u are too close

myrrdin View Post
Sorry I did not answer earlier, but I was travelling for some days to attend two conferences.

Seasonals for Natural Gas move downwards at this time of the year, and, thus, it is not a good idea to sell puts. Generally, NG can be very volatile at this time of the year, and hard to predict. On the one hand there are the seasonals, on the other hand a cold blast can result in a strong move upwards of NG prices. Volatility can be high, and option prices look tempting, but you have to be very careful.

Generally, when selling options it is not only important that the strike price is not hit. The Price of your Option can move upwards, and you have to close your Position with a loss.

Currently there are better trades around.

Best regards, Myrrdin


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Old November 15th, 2016, 12:16 PM   #558 (permalink)
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@ron99 for coffee would u sell outright or employ the same ratio strategy as ES? Have to check if there is enough premium. I might join you guys but with a straight spread

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In KC I am doing one short one long spread.

Here are tables from 20140922 when KC went up from 179 to 221 in 17 days. They all use 6X IM.

This one shows one short KCz4c237.5 and a KCz4c230c262.5 spread. The naked short went on margin call on 20141006. The spread had a high of 70.4% of acct used for IM and a lower draw down.

The naked short IM increased 213% on 20141006. The spread IM increased 66%.

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This one shows one short KCf5c270 and a KCf5c250c270 spread. The naked short went on margin call on 20141006. The spread had a high of 51.6% of acct used for IM and a lower draw down. Notice that this is lower than the Dec spread.

The naked short IM increased 221% on 20141006. The spread IM increased 41%. This Jan spread IM increase is less than the Dec spread IM increase which was at 51 DTE on 20140922 vs 84 DTE for Jan.

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This one shows a KCz4c230c262.5 spread and a KCz4c230c280 with two longs. They acted similar for this situation. So in this case I don't see the need for two longs.

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Old November 15th, 2016, 12:58 PM   #559 (permalink)
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In average, seasonal charts for the LHG show a strong move downwards during the first half of December. This move is very strong in years with a relatively high price and weak or non-existing in years with a low price (eg. LH10 or LH16).

This year LH price is extremely low. Thus, I am not sure if there will be a strong move downwards until end of the year. But I assume that the October double low will hold.

I sold a first lot (20 % of standard lot size) of the LH P46, and placed further orders for the LH P45, P44, P43, P42. Average price for all orders is 1.25 ($ 500 per option).

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Old November 15th, 2016, 01:53 PM   #560 (permalink)
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So to confirm the Jan spread was the one to be in


So the analysis would have shown we want to be in the Jan spread since the Max drawdown/IM increase would have been less since it had 84 DTE when opened

Also the delta increase from about -4.29 to under -11 rather than having the Dec spread which increased to over -25

and it took about 50 days to reach 50% profit target

What I could not figure out (and i am sure i dont know how to read it).. what was the delta for the Jan spread for the 250 and for the 270 to come up with delta of -4.29 at entry?

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