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Selling Options on Futures?


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Selling Options on Futures?

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  #7301 (permalink)
 Dreadwind 
Seattle, WA, USA
 
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myrrdin View Post

It is usually easy to find out the reasons. Temperatures in winter are hard to predict, but severely influence NG consumption. Weather in July severely influences corn production, weather in August Soybean production. Coffee needs rain during the flowering period in September.

It often works extremely well to sell strangles at the end of such a period.

That makes sense, harvest the vol premium when you expect a seasonal mean reversion.

Do you look for specific IV? Or IV relative to the mean/seasonal average?

Do you look at theta or is this just a vol trade?

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  #7302 (permalink)
 myrrdin 
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Dreadwind View Post
That makes sense, harvest the vol premium when you expect a seasonal mean reversion.

Do you look for specific IV? Or IV relative to the mean/seasonal average?

Do you look at theta or is this just a vol trade?

I do not look for an absolute value of IV, but for the seasonal chart, and for values in former years in similar situations.

My special attention goes to events that end the phase of high volatility.

Best regards, Myrrdin

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  #7303 (permalink)
Sagal
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It is important to have understood them, but all these Greek letters are not so important with spread futures, spread options or naked put/call options. I only use IV to check with a modified excel program with the "magic formula" that the price is more or less "correct". More important is effectively the seasonality the behavior of previous similar contract or spread and the fundamental. By the way there is as well in addition to MRCI and Seasonalgo: Spreadcharts that have as well a premium version that I like even more as I can construct and analyze specific contracts or spreads (I have only used the free version of Seasonalgo for my current purpose Spreadcharts is sufficient)
https://app.spreadcharts.com/

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  #7304 (permalink)
 futureboy 
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Sagal View Post
It is important to have understood them, but all these Greek letters are not so important with spread futures, spread options or naked put/call options. I only use IV to check with a modified excel program with the "magic formula" that the price is more or less "correct". More important is effectively the seasonality the behavior of previous similar contract or spread and the fundamental. By the way there is as well in addition to MRCI and Seasonalgo: Spreadcharts that have as well a premium version that I like even more as I can construct and analyze specific contracts or spreads (I have only used the free version of Seasonalgo for my current purpose Spreadcharts is sufficient)
https://app.spreadcharts.com/

Hey Sagal,

I trade gamma (direction) using spreads, and to build a really solid system, a good understanding of first order AND higher order greeks helps. For example using vanna, charm, and vomma help in creating a solid futures options portfolio; the nice thing about introducing futures options is that you can build a purely computational component, focused on balancing the greeks as desired.

Here are some great papers to get an understanding of options flow:

https://squeezemetrics.com/monitormonitordownload/The_Implied_Order_Book.pdf

https://squeezemetrics.com/monitormonitordownload/white_paper.pdf

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  #7305 (permalink)
mosalem2003
Toronto
 
 
Posts: 78 since Apr 2019
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I am in Canada, and I am planning to move to Interactive Brokers as my research and experience found they would be best option except for their margin. However it would be good conservative sign of a brokerage...

To improve margin, I believe IB can be ok versus spreads.
Does anyone trade Treasuries Yield Curve spreads and Butterflies ?
Does any one trade Calendar spreads for commodities and butterflies ?
If Yes, what was your experience with Spreads and what is the best references for trading spreads. I have very good idea for Yield Curve spreads but didn't trade them before -- I hope that IB can trade any CME spreads as one ticket -- like trade NOB, TUT, etc or FYN as a symbol .. Your numerical values of margin under IB would be ok, and is it a good choice to move to IB or u think there is any other choice.. They are member of CIPF with coverage up to 1 million CAD..

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  #7306 (permalink)
 SMCJB 
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This is one of the clearest and simplest explanations (without over simplifying it) of option pricing and greeks that I recall seeing.

https://nopeitslily.substack.com/p/an-intuitive-understanding-of-the

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