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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
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Posts: 5,049 since Dec 2013
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11:49 Friday 30th with ES at 3254 the EW1 3255 straddle is worth 156. That's a premium equal to 4.8% of the underlying for a 1 week option!
Alternatively the 3090/3415 Strangle (both strikes 5% out of the money) is worth 43.5 a premium equal to 1.3% so in "it ain't ever going there" math it would require a 6.3% move to lose money!
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Should have added, in 2016 between Fri 4th and Friday 11th the S&P500 had a range of 2083 (Friday 4th low) to 2182 (Thursday 10th High) which is 99 points or about 4.7%
S&P500 doesn't trade at night though! The ESZ16 future had a range of 2028 (Wednesday low) to 2180 (Thursday high) which was 152 points or over 7%
You are on the topic of selling options right?
So it is only me of course and I wouldn't do it myself because gold volatility is low (implied volatility 20.7%), there is a lot at stake (100 dollars the point for a contract) and I am fully invested in gold already with ETF physical but a naked put options strike at 1850 (aggressive) or 1750 (conservative) should work with an expiry on 23 February 2021 (GCJ21)
Edit 1 It seems I am late for the reply but when clicking on the link and last page it is only your post I saw
Edit 2 Of course you can sell 1850 and buy 1750 same expiry.
With CME Mar21 Bitcoin quoted 18050, the Mar21 20000 Calls are 2400/2650!
If we say the 20000 strike is 10.8% out of the money and 2400 represents a 13.3% premium of the underlying, we get these comparisons...
With ES Mar21 quoted 3601 the 3210 Put (10.9% OTM) is worth 72.5 (2% premium)
With ES Mar21 quoted 3601 the 4000 Call (11.1% OTM) is worth 26 (0.7% premium)
With CL Mar21 quoted 4190 the 4650 Call (11.0% OTM) is worth 137 (3.3% premium)
Obviously expiration's don't line up exactly but you get the picture!
Of course Nov20 Bitcoin is currently 74% above it's early September lows!
