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Diversified Option Selling Portfolio


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Diversified Option Selling Portfolio

  #1131 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
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Today Oct 5 I sold NGf8p265c425 strangle for 0.063. IM is only $306. Because of the low IM I am using 10xIM. If I can exit at 30 days the ROI will be 10.0%.

I hope to exit before cold weather arrives. NG is usually range bound in Oct.

I debated doing the NGf8p2.45c4.90 strangle. Decided things are calm right now so I didn't need to be further OTM right now.

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  #1132 (permalink)
me65
Dresden, Germany
 
Posts: 7 since Sep 2017
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myrrdin View Post
The next USDA Report will be published on October, 12th. The October Report is among the more important reports as the first (more or less) reliable figures for the crop size will be published. I suggest to keep lot sizes small for short options for corn or beans, as this report can be a market mover.

Do not underestimate the move very cheap options can make on a rise of volatility.

Best regards, Myrrdin

many thanks also from my side for the tip.

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  #1133 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
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me65 View Post
many thanks also from my side for the tip.

To say "Thank you" please only press the "Thanks"-Button. This keeps the thread short.

Best regards, Myrrdin

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  #1134 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
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Trading: Options on futures
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manuel999 View Post
From September 11th, 2017

I have:
-GC G8 (Feb 2018) P1075/C1575 strangle
I think far OTM GC Puts are still valid, not so sure about Calls now.

- NGZ7 (Dec 2017) Puts 2,5
I am not sure if I would sell those now. At least not for DTE > 90.

- ZB Dec 17 P147 / P141
I think you are not a big fan of ZB? I like them because they move slow and analysing the fundamentals is not that hard.

I closed the GC G8 Call today at 80%. I expected some weeks ago that the Put will be decay earlier, but it was the other way round. All tension seems to be out of world politics.
The Put is still open and DTE is 11, so I may have an opportunity to sell Calls again, e.g. if Rocketman becomes active again.

NG is slowly losing its value and I hope to close that end of next week.
I'll consider then selling Calls because of seasonality.

The ZB Dec 17 P147 is under water (-180% at this time), but I do not expect the market to fall much longer. If ZB goes under 150 I will roll.
The P141 offers some protection, but not overly much. The next time I will do the spread tighter.
(ZB always lures me with its apparent calmness, and once I am in it it likes to move all of a sudden)

I also have opened:
LEZ7 C130
ZSH8 P860 (very small position)
The ES 2-3 spread posted earlier this week by Ron (whom I follow blindly for everything ES)

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  #1135 (permalink)
VolumeRider
Cologne + NRW/Germany
 
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manuel999 View Post

(ZB always lures me with its apparent calmness, and once I am in it it likes to move all of a sudden)

Yeah, agree, ZB is calm until it moves...

Currently holding,

Gold Ratio -3x1700C APR.18 / +1xAPR18.18 1600C

CL Position: initial Ratio Spread: (-3x63C Mar.18 / +1x60C Mar.18/) and some Short 65C Mar.18. Whole Position is quite big, about the double of the normal Risk of 2%. Fundamentaly very short, Production is on pre hyrrican levels now, about seasonal avarage, additionaly to hat comes a short seasonalyty. So, quite tempting to sell calls.

Looking for:

900 Puts on Gold with good Premium, not so sure how long i going to wait for it. Probably until Gold hits 1200 and breaks this level....
Short Coffee - waiting for rains..
Long Soybeans - waiting for USDA Report
and short Natoral Gas - well, not so sure about how to trade it, but if a rallye appears, i going to sell some calls on volatility spikes.

Thanks to myrrdin for Soybeans tipps.

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  #1136 (permalink)
 manuel999 
Germany
 
Experience: Intermediate
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Trading: Options on futures
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VolumeRider View Post
Yeah, agree, ZB is calm until it moves...

Currently holding,

Gold Ratio -3x1700C APR.18 / +1xAPR18.18 1600C

CL Position: initial Ratio Spread: (-3x63C Mar.18 / +1x60C Mar.18/) and some Short 65C Mar.18. Whole Position is quite big, about the double of the normal Risk of 2%. Fundamentaly very short, Production is on pre hyrrican levels now, about seasonal avarage, additionaly to hat comes a short seasonalyty. So, quite tempting to sell calls.

Yes I agree on CL
My CLF8 C65 Calls are close to the target area.
I will most likely sell new Calls when I close those.

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  #1137 (permalink)
 myrrdin 
Linz Austria
 
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Trading: Commodities
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manuel999 View Post
Yes I agree on CL
My CLF8 C65 Calls are close to the target area.
I will most likely sell new Calls when I close those.

The risk regarding CL (and NG) is La Nina. If you look at a seasonal chart only inluding years with La Nina since 1990, it is clearly bullish from October until January, whereas in "normal" years it is clearly bearish.

The weather forecasts changed their probability for la Nina short time ago from close to zero to 60 %. This development made me buy back my CL calls. I do not intend to sell options in CL (and NG) until it is clear if La Nina will visit us or not. A probability of 60 % gives a success with almost the same probability as flipping a coin.

Best regards, Myrrdin

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  #1138 (permalink)
 myrrdin 
Linz Austria
 
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myrrdin View Post
Currently I hold the following positions in the short option portfolio:

LHZ C66
LHG P60
Longterm. The February contract looks undervalued, although it might see the 60 again before turning upwards. Cash is weak. Intend to sell LHG calls at significantly higher price of the underlying.
Meanwhile I added LHZ C66 as a hedge of the LHG puts, as cash price remains weak.

LCZ P104
LCZ C124
LCG P102
LCG C134
Longterm. Rolled the puts up a bit, and added calls, using the higher volatility before the Cattle on Feed-Report end of last week. Looks as it was a good move as the report was bearish.

CLH C61-C71
Longterm. No Intention to add short puts in the near future.

Two small lots of ES ATM put and call spreads. I hold them in my stocks account, where a Delta-neutral strangle has the same (even a bit smaller) margin as an outright position. Took profit recently and added a new position in the January contract.

I hold a number of further positions, but - due to the low volatilities - I prefer outright future positions or future spreads.

Best regards, Myrrdin

Currently I hold the following positions in the short option portfolio:

LHZ C62
LHG P60
LHJ C80
Longterm. The February contract looks undervalued, although it might see the 60 again before turning upwards. Cash is weak. Intend to sell LHG calls at significantly higher price of the underlying.
Meanwhile I rolled the LHZ C66 downwards as a hedge of the LHG puts, as cash price remains weak.
Sold some April calls, and intend to add puts at a lower price of the underlying.

LCZ P104
LCZ C124
LCG P102
LCG C134
Longterm.

CTH C75
Sold cotton calls again, and intend to hold them longterm.

Two small lots of ESF ATM put and call spreads. I hold them in my stocks account, where a delta-neutral strangle has the same (even a bit smaller) margin as an outright position.

I hold a number of further positions, but - due to the low volatilities - I prefer outright future positions or future spreads.

Best regards, Myrrdin

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  #1139 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
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Further considerations regarding short options:

In my opinion and according to seasonals, wheat will move sidewards / downwards for a couple of months. There is a lot of wheat around world-wide. I intend to sell some calls (March contract) at a higher price of the underlying, if given the opportunity.

The situation is similar in coffee. I bought back some calls with a profit recently, and intend to sell again at a higher price (March contract).

I do not intend to sell options in the corn or beans market. Premium is very low, and risk of La Nina is high. For the same reason (uncertainty regarding La Nina) I avoid the energies.

Most of my current option trades are in the meat markets, as in my opinion risk and reward are fairly balanced. But it is important to understand the fundamentals. And: You have to be aware of large unexpected price moves. That is why I prefer strangles.

Best regards, Myrrdin

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  #1140 (permalink)
me65
Dresden, Germany
 
Posts: 7 since Sep 2017
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myrrdin View Post
Currently I hold the following positions in the short option portfolio:

LHZ C62
LHG P60
LHJ C80
Longterm. The February contract looks undervalued, although it might see the 60 again before turning upwards. Cash is weak. Intend to sell LHG calls at significantly higher price of the underlying.
Meanwhile I rolled the LHZ C66 downwards as a hedge of the LHG puts, as cash price remains weak.
Sold some April calls, and intend to add puts at a lower price of the underlying.

LCZ P104
LCZ C124
LCG P102
LCG C134
Longterm.

CTH C75
Sold cotton calls again, and intend to hold them longterm.

Two small lots of ESF ATM put and call spreads. I hold them in my stocks account, where a delta-neutral strangle has the same (even a bit smaller) margin as an outright position.

I hold a number of further positions, but - due to the low volatilities - I prefer outright future positions or future spreads.

Best regards, Myrrdin

what is cash is weak?

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