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Diversified Option Selling Portfolio


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Diversified Option Selling Portfolio

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  #1 (permalink)
 myrrdin 
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I trade a diversified option selling portfolio for many years. Different than other concepts to sell options, I strive for diversification (I strive for holding 8 – 15 options), and, thus, spend a lot of time studying fundamentals of various commodities. I do not spend a lot of time optimizing delta or DTE. (But contributions to this topics are highly welcome – I simply do not have enough time.)

Main criteria for the selection of options include:

Fundamental data, eg. Supply & Demand, Seasonals, COT Data.
Days to expiry: 90 – 180
Option price: $200 – $500
Delta: 0.02 – 0.2
Selection of commodities: Mainly Grains & Beans, Energies, Softs, sometimes Metals, Currencies, and Indices (mainly ES puts, selected according to Ron’s strategy, which I adapted to my concept).
Normal position size: 3 % of portfolio. Sometimes I sell double positions (6 % of portfolio), rarely triple positions.

Exit criteria: If profitable, I exit at 10 – 50 % of the entry price. Otherwise, I exit at approx. double the entry price. Usually I choose a chart criteria for the underlying future which is close to this condition (or closer, eg. at 120 % or 150 %). I also exit if fundamentals have changed significantly. After exiting, I sometimes „roll“ the trade to a new option. But only after careful study of the fundamentals.

I am a discretionary trader, and evaluate each trade on its own. Once in a while I go beyond my defined criteria.

Currently I hold the following positions:
LCV P132-P120
LCZ P136
LHZ C74 & C76
CLZ C60-C75
NGZ P2.25
NGZ C4.3

Additionally, I hold future positions in commodities that do not have enough open interest in the options, and spreads. (Currently: RRX, OZ, KWZ-WZ, LHG6-LHZ5, SK6-SX5, MPU,CDU-ADU.) To avoid clump risk, I usually hold 8 – 15 positions, which are (more or less) independent from each other. Usually the share of option positions is larger than currently, but I just liquidated several positions in the grains and in cotton as well as the ES puts.

I would be happy to discuss all issues regarding this strategy, especially interesting options to sell.

Best regards, Myrrdin

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  #3 (permalink)
Chubbly
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Your basic rule structure you have detailed is close to what I have been trading. I am also looking at trying to be a bit more diversified in the futures and equities options that I trade. I am concerned with being concentrated on one position. I am trying to ensure there is low correlation between trades
If possible I would also like to open the discussion to trading volatility VIX and /VX for 2 reasons to either

a) act as hedge for volatility spikes
b) act as a revenue generator

I have been doing lots of reading on the subject lately and I would appreciate opinions for other folks

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CafeGrande
St Paul, MN, USA
 
 
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myrrdin View Post
I trade a diversified option selling portfolio
LHZ C74 & C76
CL C60-C75
NGZ P2.25
NGZ C4.3
Best regards, Myrrdin

I don't know anything about the cattle market, but after a quick comparison with my own positions, the ones above look like brilliant trades.

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  #5 (permalink)
 myrrdin 
Market Wizard
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Chubbly View Post
Your basic rule structure you have detailed is close to what I have been trading. I am also looking at trying to be a bit more diversified in the futures and equities options that I trade. I am concerned with being concentrated on one position. I am trying to ensure there is low correlation between trades
If possible I would also like to open the discussion to trading volatility VIX and /VX for 2 reasons to either

a) act as hedge for volatility spikes
b) act as a revenue generator

I have been doing lots of reading on the subject lately and I would appreciate opinions for other folks

Discussion about trading volatility VIX and /VX is very welcome here. (But I have to admit that my expertise regarding this topic is limited.)

Myrrdin

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 myrrdin 
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myrrdin View Post
LCV P132-P120
LCZ P136
LHZ C74 & C76
CLZ C60-C75
NGZ P2.25
NGZ C4.3

Added the CLZ P35-25 to my account. This results in a strangle for Crude Oil.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Added the CLZ P35-25 to my account. This results in a strangle for Crude Oil.

Best regards, Myrrdin

Sold the WH6 C6 / WH6 P4 strangle. Wheat in my opinion should move more or less sidewards, after the USDA report today volatility should come down.

Also sold the BOH6 P24. i do not think Crude will go down much further. Palm Oil production should suffer from El Nino (dryness in eastern Asia) during the next months. After USDA report today volatility should come down.

Additionally added to my short live cattle position by selling LCZ P130.

Best regards, Myrrdin

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 myrrdin 
Market Wizard
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myrrdin View Post
Sold the WH6 C6 / WH6 P4 strangle. Wheat in my opinion should move more or less sidewards, after the USDA report today volatility should come down.

Also sold the BOH6 P24. i do not think Crude will go down much further. Palm Oil production should suffer from El Nino (dryness in eastern Asia) during the next months. After USDA report today volatility should come down.

Additionally added to my short live cattle position by selling LCZ P130.

Best regards, Myrrdin

Sold CH6 P340 after the report, and will add CH6 C500 after a rise in corn price of about 10 - 20 c.

Also bought back the LHZ Calls profitable.

Best regards, Myrrdin

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Chubbly
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I was just curious if you choose you positions based on trying to keep non-correlated positions? I am still trying to determine what limits I should use to avoid being concentrated on one position.

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  #10 (permalink)
 myrrdin 
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Chubbly View Post
I was just curious if you choose you positions based on trying to keep non-correlated positions? I am still trying to determine what limits I should use to avoid being concentrated on one position.

Yes, I try to sell non-correlated positions. Of course there are correlations between most of the commodities (eg. via the US$ or the S&P index), but there are stronger and weaker correlations.

I also like strangles in one commodity or puts in the one and calls in the other (correlated) commodity to avoid these correlations via the US$ and S&P index.

Avoiding these correlations (US$, S&P index) is of special importance at times where they are hard to predict. And currently I am unable to find out if they will go up or down in the near future. There are times when they show a clear trend - in this case I might be less careful avoiding these correlations.

Best regards, Myrrdin

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 myrrdin 
Market Wizard
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Bought back the LCV P132 -P120 for a 52 % profit. Still hold positions in the LCZ P130 and P132.

Bought back the WH P400 for a 53 % profit within a few days. Intend to sell it again at a higher price.

Sold the CH C5 to hold a strangle with the CH P340.

Best regards, Myrrdin

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  #12 (permalink)
Forex37
Zurich
 
 
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Hi myrrdin,

Thanks for your nice thread. I`ve always wanted to trade non index futures, but I haven`t got the slightes idea about them and their fundamentals. What would be the best introduction (from Dummy 2 Master)?

But I still practice some diversification still: Living in Europe I`m a seller of options on Dax, Eurostoxx50, UK Ftse100 and (sometimes) CAC40. Those are European style, so strangles are very margin friendly. Unfortunately US brokers aren`t allowed and IB UK is the very same margin game as been played in the US. Luckily I got Macquarie which provide exchange requirements without mark up.

Kind regards

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 myrrdin 
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Forex37 View Post
Hi myrrdin,

Thanks for your nice thread. I`ve always wanted to trade non index futures, but I haven`t got the slightes idea about them and their fundamentals. What would be the best introduction (from Dummy 2 Master)?

But I still practice some diversification still: Living in Europe I`m a seller of options on Dax, Eurostoxx50, UK Ftse100 and (sometimes) CAC40. Those are European style, so strangles are very margin friendly. Unfortunately US brokers aren`t allowed and IB UK is the very same margin game as been played in the US. Luckily I got Macquarie which provide exchange requirements without mark up.

Kind regards

Hi,

thank you for your interest in this topic.

I sell commodity options based on fundamentals (see my first entry in this thread for details). Thus, I consider it as essential to collect and understand information on fundamentals. I suggest to start with one group of commodities. If you do not have a special interest, grains and beans seem to me to be the easiest to trade. Meats are complicated, metals are closely correlated with currencies and indices (and, thus, would not be a diversification for you), softs have a lower open interest and are more difficult to trade. You receive basic data for grains from the USDA free of charge. But it is easier to subscribe to some service to get this information well prepared (and interpreted). Hightower is such service, which is distributed free of charge by many US brokers. There is also some information on the site of the exchange (CME). Another option would be to trade the energies (mainly crude oil and natural gas).

I am surprised US brokers are not allowed in your country. Here in Austria they are. I work with RJO and DeCarley, and I am happy with both of them. Most of the large US brokers use minimum margin as requested by the exchanges.

Please do not hesitate to ask further questions.

Best regards, Myrrdin

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  #14 (permalink)
 myrrdin 
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Sold the CLF C60-75. I intend to to extend this position to a strangle at lower prices (if they appear ...).

Also used the move back up of Hog prices to sell the LHZ C70, after I had taken profit on similar calls some days ago.

Best regards, Myrrdin

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Forex37
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myrrdin View Post
usiness

....

I am surprised US brokers are not allowed in your country. Here in Austria they are. I work with RJO and DeCarley, and I am happy with both of them. Most of the large US brokers use minimum margin as requested by the exchanges.
..

Sorry for my poor language proficiency:

Yes, US brokers are allowed in Europe, but:

US brokers are allowed to offer their services to european customers. US brokers are also allowed to offer futures of european exchanges (like Dax of Eurex or FTSE of LIFFE) . US brokers are not allowed to offer options on european futures (like ODAX of Eurex..). So I can`t write options on DAX30 - and an american customers also can`t do this.

Kind regards

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 myrrdin 
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Forex37 View Post
Sorry for my poor language proficiency:

Yes, US brokers are allowed in Europe, but:

US brokers are allowed to offer their services to european customers. US brokers are also allowed to offer futures of european exchanges (like Dax of Eurex or FTSE of LIFFE) . US brokers are not allowed to offer options on european futures (like ODAX of Eurex..). So I can`t write options on DAX30 - and an american customers also can`t do this.

Kind regards

That is possible - I do not trade European commodities or their options.

Thus, you should choose two brokers - one in Europe and one in the US. I prefer working with two brokers for another reason: third party risk.

US brokers usually provide you with information regarding commodities, which is partially prepared by themselves and partially bought from others.

Best regards, Myrrdin

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 myrrdin 
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Bought back LCZ P136 at a 62 % loss.

Best regards, Myrrdin

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 myrrdin 
Market Wizard
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Bought back LHZ C70 at +/- 0. I do not understand yesterday's large move upwards - too large for simple short covering (for some time even locked limit up) or liquidation of some LC-LH speads. And in case I do not understand moves of a price, I prefer to quit.

Best regards, Myrrdin

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 myrrdin 
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Sold ZBZ C160.

Myrrdin

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  #20 (permalink)
 myrrdin 
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Current positions of my option selling portfolio:

CH P340
CH C500
WH C600
BOH P24
LCZ P130
CLZ C60-75
CLZ P35-25
CLF C60-75
NGZ C4.3
NGZ P2.25
USZ C160

The wheat position is a larger position ("double position") than the others to balance positions moving up vs. down with the US-Dollar. Currently the account is well balanced in this regard.

On my watchlist there is the SIH P14 at current level (in exchange to a profitable long outright position) and a CLF put on a move down. In the meats I am looking to sell calls on a move up.

Best regards, Myrrdin

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 myrrdin 
Market Wizard
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Bought back USZ C160 with a profit of 24 %. Intend to sell USZ or USH calls again in the high 150s.

Best regards, Myrrdin

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  #22 (permalink)
 myrrdin 
Market Wizard
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Sold SIH P14 on the move of the outright down below 15.

Best regards, Myrrdin

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  #23 (permalink)
 ElChacal 
Houston, TX
 
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Hi @myrrdin , last night I placed a short on november mini soybeans, it would seem to me that despite the current range, prices will keep on trending lower.

The previous inversion (during harvest) did little for the bulls, Commercials are net long compared to previous week (again) and open interest started building up showing new money is flowing into this market...

I wonder if you have any insights on this.

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  #24 (permalink)
 myrrdin 
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ElChacal View Post
Hi @myrrdin , last night I placed a short on november mini soybeans, it would seem to me that despite the current range, prices will keep on trending lower.

The previous inversion (during harvest) did little for the bulls, Commercials are net long compared to previous week (again) and open interest started building up showing new money is flowing into this market...

I wonder if you have any insights on this.

I agree, I am also in a trade shorting Soybeans, but not within my option selling program. I sold the SX5-SN6 spread in early September.

There is a number of arguments for lower prices, namely weather (rain in Brazil to support planting, no risk of frost in Northern America) and increasing harvest in the US. But the potential for lower prices should be limited, as harvest is ongoing. The seasonal low according to MRCI is in the first half of October.

I intend to buy back my spreads at -19.5 c (currently -17.25).

Best regards, Myrrdin

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 myrrdin 
Market Wizard
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Sold the ESZ P1400 at 4.4 using a tight stop.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Sold the ESZ P1400 at 4.4 using a tight stop.

Best regards, Myrrdin

Back out at 4.7 .

Myrrdin

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  #27 (permalink)
dkpmba
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For 50% target profit of your premium received?

Do you use options greeks at all?

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 myrrdin 
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dkpmba View Post
For 50% target profit of your premium received?

Do you use options greeks at all?

If profitable, I exit at 10 – 50 % of the entry price. Otherwise, I exit at approx. double the entry price. Usually I choose a chart criteria for the underlying future which is close to this condition (or closer, eg. at 120 % or 150 %). I also exit if fundamentals have changed significantly. After exiting trades, I sometimes „roll“ the trade to a new option. But only after careful study of the fundamentals.

I have a look at the greeks, but they do not play an essential role for my trading. The reason is simple: I spend a lot of time studying fundamentals, and there simply is not enough time to spend on finding the perfect delta, DTE, etc. Traders who try to be perfect in this regard - eg. Ron - prefer to trade only a limited number of commodities, whereas I trade approx. 40.

I will explain how I proceed using an example: Yesterday I sold the SIH P14. Basis of the trade were fundamental studies (regarding inflation, supply and demand, COT data, seasonals etc.) by several authors. I came to the conclusion that the low should be in, and that cash prices for silver should rise after November. I decided to choose a rather close to the money option (instead of a larger number of farther OTM options) to reduce the risk of huge losses if the trade goes strongly against me, and to reduce margin requirement. I will exit the trade on a close below the low around 14. Thus, I decided to wait until a retest of 15. Here I could sell the options at a price that would allow to stay in the trade down to 14, and to have the option approximately doubled when being stopped out. (The exact price at this level depends on volatility, time of exit. etc.)

Why did I choose the March contract ? I expect rising silver prices through 2016, and want to take profit for as long as possible. But I usually do not sell options beyond 180 DTE.

I hope I could make my procedure clear. Sorry - I am not a native speaker. In case of further questions I will be happy to answer them.

Best regards, Myrrdin

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  #29 (permalink)
 myrrdin 
Market Wizard
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myrrdin View Post
Bought back LHZ C70 at +/- 0. I do not understand yesterday's large move upwards - too large for simple short covering (for some time even locked limit up) or liquidation of some LC-LH speads. And in case I do not understand moves of a price, I prefer to quit.

Best regards, Myrrdin

Just sold the LHZ C75 at 0.5 . Yesterdays cold storage report was bearish, volatility should come down after the USDA report of Friday after the close.

Best regards, Myrrdin

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 myrrdin 
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Bought back LCZ P130 with a loss of more than 300 %. Did not wait for the close, as LCZ might end up limit down. Terrible trade ...

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Bought back USZ C160 with a profit of 24 %. Intend to sell USZ or USH calls again in the high 150s.

Best regards, Myrrdin

Back in the Bonds call trade, selling the USZ C170 at 0.17 . In my opinion, the upside is limited. Intend to hold the spread until a close above 160.

Best regards, Myrrdin

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  #32 (permalink)
 myrrdin 
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Sold the SF C9, and intend to hold it until a close above 9.

For the US, I expect a gain in September until final yield, which will overcompensate possible acreage losses. Furthermore, supply from other countries is rising consistently. Chinese buying during the visit of their President in the US should be priced in.

Harvest pressure should increase soon.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Back in the Bonds call trade, selling the USZ C170 at 0.17 . In my opinion, the upside is limited. Intend to hold the spread until a close above 160.

Best regards, Myrrdin

Bought back USZ C170 for a profit of 23 %.

Best regards, Myrrdin

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 myrrdin 
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Current positions of my option selling portfolio:


CH P340
CH C500
WH C600-800
BOH P24
SF C9

LHZ C75

SIH P14

CLZ C60-75
CLZ P35-25
CLF C60-75
NGZ C4.3
NGZ P2.25-2.18

I intend to buy back the CLZ strangle, and sell CLF P30 on a move down of the outright price.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Sold the SF C9, and intend to hold it until a close above 9.

For the US, I expect a gain in September until final yield, which will overcompensate possible acreage losses. Furthermore, supply from other countries is rising consistently. Chinese buying during the visit of their President in the US should be priced in.

Harvest pressure should increase soon.

Best regards, Myrrdin

Bought back SF C9 for a small profit.

I am currently careful selling options in the grains & beans, as the October USDA report is approaching. This report is known for causing potentially large moves.

I am also considering buying back my corn & wheat options for the same reason.

Best regards, Myrrdin

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 myrrdin 
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Sold a small lot (1/3 of normal lot size) of the ESZ P1300 at 3.5 yesterday before the close. Entered further orders at 5 and 6.5 to achieve a regular lot size in case the ES moves downwards towards its lows.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
I intend to buy back the CLZ strangle, and sell CLF P30 on a move down of the outright price.

Bought back the CLZ strangle (profit 17 % / 81 % for puts / calls), and sold the CLF P30 to now hold a strangle in the January contract.

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 myrrdin 
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myrrdin View Post
Current positions of my option selling portfolio:


CH P340
CH C500
WH C600-800
BOH P24
SF C9

LHZ C75

SIH P14

CLZ C60-75
CLZ P35-25
CLF C60-75
NGZ C4.3
NGZ P2.25-2.18

Bought back the NGZ C4.3 with a profit of 82 %.

Best regards, Myrrdin

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 myrrdin 
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Added to the bean oil position, selling the BOH6 P26.

El Nino hurts palm oil increasingly, and, thus, prices for bean oil should not move downwards from current very low levels.

Best regards, Myrrdin

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 myrrdin 
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Sold again Live Cattle puts: LCG6 P120.

I am convinced that quarters end contributes to the severely lower prices today, and that the lows of today will hold.

Best regards, Myrrdin

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 myrrdin 
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Bought back NGZ P2.25 at a loss of approx. 150 %.

El Nino usually takes care for warmer than average termperatures in the winter in northern US. This, and the current moderate temperatures might be the reason for NG prices moving lower and lower.

Best regards, Myrrdin

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 myrrdin 
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A few words at the end of Q3, regarding the diversified option selling portfolio.

Profit before commissions for these 9 months was 20 – 25 %, based on the total account. (About 1/3 of my account is used for option selling.) This is the result of a good Q1, an excellent Q2, and a disappointing Q3. The strong moves of the indices had consequencies for various commodities, especially cattle prices and currencies went against me during this time.

Summed up commissions were in the order of magnitude of 10 % of the account value, although I get a quite acceptable rate per round-trip. This value was lower in the past, as I moved to smaller delta (and, thus, a larger number of sold options) in this year. But I have to be aware, that for an actively traded option selling account one reason to avoid very low delta is commissions.

I traded options of 17 different commodities plus of several currencies. Interesting to note, that I made major profits with only three of them: Wheat, Crude Oil, and the S&P index (ES puts), further significant profits came from Soybeans and Cotton. Major losses were caused by the currencies, Live Cattle, and Bean Oil. Number of trades for most of these commodities was larger than 15, thus it was not just one trade that decided the results.

Consequencies: Regarding commissions, I will check for each trade, if a very low delta is necessary, and keep „rolling“ of trades to a minimum. Furthermore, I will avoid trading currencies via short options. And I will be very careful in the cattle market.

Please feel free to ask all kind of questions, make comments, and talk about your trade suggestions.

Best regards, Myrrdin

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 myrrdin 
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Sold the USZ C170 .

Best regards, Myrrdin

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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
CH C500
WH C600-800
BOH P24
BOH P26

LHZ C75
LCG P120

SIH P14

CLF C60-75
CLF P30-21

ESZ P1300
ZBZ C170


I intend to reduce the rather large wheat position, and to add on the small ES position via selling January puts. Furthermore, I intend to add to my successful positions in LH and BO. I will add to ZBZ calls or add ZNZ calls only in case we get back to the recent highs.

Best regards, Myrrdin

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 myrrdin 
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Sold the ESF6 P1500. I chose a lower delta to reduce commissions, as explained below. Whereas I had bought puts at approx. US$ 200, I will buy them at US$ 300 - 400.

In my opinion, the low in the indices is in. Thus, I take up again systematically Ron's concept of selling ES puts.

My rules regarding a stop loss are different: I define a stop in the underlying where I expect the option to approximately double in value. Here I intend to exit on a close below 1870.

If successful, I will buy back the options at 50 %, and re-enter a new position.

Currently I hold two lots (1 regular lot is approx. 3 % of the account value). Due to the uncertain situation regarding the indices, I did not re-buy the ESZ P1300 at 50 %, and re-enter. I intend to re-buy and re-enter a full second position during this week.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Sold the ESF6 P1500. I chose a lower delta to reduce commissions, as explained below. Whereas I had bought puts at approx. US$ 200, I will buy them at US$ 300 - 400.

In my opinion, the low in the indices is in. Thus, I take up again systematically Ron's concept of selling ES puts.

My rules regarding a stop loss are different: I define a stop in the underlying where I expect the option to approximately double in value. Here I intend to exit on a close below 1870.

If successful, I will buy back the options at 50 %, and re-enter a new position.

Currently I hold two lots (1 regular lot is approx. 3 % of the account value). Due to the uncertain situation regarding the indices, I did not re-buy the ESZ P1300 at 50 %, and re-enter. I intend to re-buy and re-enter a full second position during this week.

Best regards, Myrrdin


Bought back the ESZ P1300, and sold the ESF P1500. I currently hold two lots of ESF P1500, 1 lot = 3 % of account value.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
I intend to reduce the rather large wheat position,

Liquidated my wheat calls.

Reasons:

USDA report last week was surprisingly bullish - lower acreage and lower yield,
Weather problems in Russia and in Australia,
Disappointing job report last Friday might let the US$ move downwards.

There will be better times to short wheat.

Best regards, Myrrdin

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 myrrdin 
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Added to my short hogs position by selling the LHZ C70.

Seasonals are lower into November, buying by retailers for the National Pork Month may start to level off.

I do not expect prices above last weeks high. I intend to liquidate the position on a close above these highs.

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 myrrdin 
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myrrdin View Post

CLF C60-75
CLF P30-21

Liquidated both positions at a profit of 27 %.

I see growing risk to the short calls due to shift in risk-taking sentiment and rising geo-political risk.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post
Sold the USZ C170 .

Best regards, Myrrdin

Took profit of 58 % in five days on the USZ C170.

There is a long way to go until these options expire. Intend to re-enter in case of another move up.

Best regards, Myrrdin

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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
CH C500
BOH P24
BOH P26
LHZ C70
LHZ C75
LCG P120
LCZ P130
GCG P1050
SIH P14

Best regards, Myrrdin

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satghost
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Did you sell your ESF P 1500? Cause you did not mention them in the current positions list?

I am asking, because I am also following a ES strategie based on Ron's concept.

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 myrrdin 
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satghost View Post
Did you sell your ESF P 1500? Cause you did not mention them in the current positions list?

I am asking, because I am also following a ES strategie based on Ron's concept.

Yes, I am short the ESF P1500, and added some ESF P1550 and ESF P1625, when the ESF P1500 had lost some value. The value of these options is approx. 5 - 6 % of the total account value.

Sorry - I have an own book-keeping for Ron's program, and forgot to add these positions.

Best regards, Myrrdin

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 myrrdin 
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Open positions (corrected and actualized version):

CH P340
BOH P26
LHZ C70
LHZ C75
LCG P120
LCZ P130
GCG P1050
SIH P14
ESF P1500
ESF P1550
ESF P1625

Have sold the CH C500 and the BOH P24 with a profit of 78 % and 75 % early this week.

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 myrrdin 
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Sold the SF C1000 - C1100 spread.

Larger acreage in Brazil than expected, lack of concern regarding Brazil weather, and increased farmer selling in the US should keep prices below 9,60.

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 myrrdin 
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Rolled the LCG P120 to the LCG P130, taking a profit of 76 % on the first position.

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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
WH C6
SF C10-11
BOH P26

LHZ C70
LHZ C75
LCZ P130
LCG P130

GCG P1050
SIH P14

ESF P1500
ESF P1550
ESF P1625

I intend to add short LHG P60 to have a strangle (in different months) in the hogs. Cash prices (and, thus, the December future) should move down until end of November according to seasonality, whereas the later futures have upside potential.

Furthermore, I will watch closely if the move down after option expiry will occur again. I might close or hedge the ES puts. See



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 ron99 
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I have LH Z & LH G seasonally moving up in Nov and down in Dec.

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 myrrdin 
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ron99 View Post
I have LH Z & LH G seasonally moving up in Nov and down in Dec.

Thank you for having a look at the data.

According to MRCI, cash prices for hogs (ave. Omaha) move downwards from end of July until end of December, bouncing for 3 weeks form early September and for 2 weeks from around 20th of November. This pattern is consistent for the last 5, 15 and 30 years.

For the December contract, the bounces are more pronounced for the last 15 and 30 years. For the 5 years pattern, which I prefer, you are correct that there is a bounce for about 3 weeks, beginning around 5th November.

For the February contract, there is a strong move upwards in November. The seasonal reaches its high end of November, whereas the December contract does not reach its highs from July and October in November.

The spread LHG-LHZ shows a steep downtrend from the middle of October untoil around 20th of November.

To be clear: I usually (and also in this case) trade both legs of strangles separately. I Intend to get out of the December calls some time early November, and will hold the February puts for a longer perios of time. (In case everything works out as planned ...)

In addition I hold the LHG-LHZ spread in futures.

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 myrrdin 
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Bought back the SF C1000-1100 for a profit of 56 %.

Sold the LHG P60.

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 myrrdin 
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Sold a small lot of the CLK P45 at 3.

I might add to the position at lower prices.

The line of 40 $ should hold for the December / January futures.

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 myrrdin 
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I modified the ES put selling program in the following way:

I buy back at 25 % instead of 50 % to reduce fees.

I sell a new (small) position whenever the value of all ES puts has decreased by approx. 10 %. The reason behind is that in this way the size of the position is always 90 to 100 % of the target. Furthermore, with time there will be a larger number of different strike prices and entry / exit dates in the portfolio. Entries and exits are averaged.

I hedge the position from time to time at 50 or 100 % via short outright futures. This is not so much for raising profits, but for a good sleep at night. Currently I am hedged at 50 %, as the resistance at 2040 / 2050 might cause a drawback.

Questions or comments are - as always - highly welcome.

Best regards, Myrrdin

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 myrrdin 
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Rolled the WH C6 to the WH C5.5, taking 61 % profit on the WH C6.

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 ron99 
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myrrdin View Post
I modified the ES put selling program in the following way:

I buy back at 25 % instead of 50 % to reduce fees.

But are you lowering your total profit for the year by doing this?

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 myrrdin 
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ron99 View Post
But are you lowering your total profit for the year by doing this?

I am not sure, and I would be interested in your advice in this regard.

What I have to consider is that I close trades sidnificantly more often than you do in case the market moves against us. I am out, when the options approximately double in value. This helped me to avoid severe losses in this summer, but of course several times I stepped out of a trade, where it would have been better to stay in the trade. But cost for commission, fee, and slippage rises - I have to pay it also for trades that I close with a loss.

I expect volatily markets for some months - more volatile than in spring. Thus, I might have to exit more often with a loss.

Can you roughly estimate the profitability of the second half of the way (from 50 % to 25 %) compared to the first half (from 100 % to 50 %) ?

I might reconsider this point.

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 myrrdin 
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ron99 View Post
But are you lowering your total profit for the year by doing this?

I had a short look at the Greeks. But I am no expert in this field, thus, please correct me if I am wrong.

Theta is the time decay in US$. Theta devided by price is the percentage the option loses value per day. High percentage should yield a good performance, not taking into account margin or price changes. Figures for the ESF:


strike theta price theta/price
1500 0,09 2,7 0,033
1600 0,13 4,5 0,029
1700 0,19 8 0,024

These figures show that strikes further out of the money show a higher time decay. As long as margin is not an essential criterium, it does not make sense to roll to higher strikes.

Deviding theta by margin, yields following result:

1500: 0,14 %
1600: 0,15 %
1700 0,16 %

There would be an advantage in exiting earlier and rolling to a closer strike, but this advantage would be small, and would partially be eaten up by commission, fees and slippage.

Any comment regarding this study is highly welcome.

Best regards, Myrrdin

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 SMCJB 
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Something to consider is that as options decay, the volatility tends to trend upwards. Hence theta gains are partially offset by Vega losses. (I believe the theorists call this the second order greek "Veta"). I think you will find that this phenonem will be higher the further out of the money you go, as not only does the Vol increase, but skew increases as well. Maybe something to consider.

On a different but partially related note I've been watching the ES options recently and am very surprised how negatively correlated volatility and price are. Market rallies and calls go down in value due to the drop in Vega! Very different to many of the energy markets I've traded where they are often positively correlated.

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 SMCJB 
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The heat maps I posted also supported what Ron was saying.
I'll try and run some new ones tonite to post here and illustrate.

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 myrrdin 
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ron99 View Post
To get to 60% drop, 10% more, you have to wait 24 more days for just 10% more premium. And this was in an upward trending market.

Thanks a lot - this looks interesting. I would like to fully understand this issue, which I consider as essential.

To study why the step from 50 % to 60 % took so long it would help to see the chart of the ES contract at the time of the study. Du you still know the starting date for your study ?

We should make sure that there was no setback of the ES price after day 26, which might have caused the long way from 50 % to 60 %.

Best regards, Myrrdin

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 ron99 
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myrrdin View Post
Thanks a lot - this looks interesting. I would like to fully understand this issue, which I consider as essential.

To study why the step from 50 % to 60 % took so long it would help to see the chart of the ES contract at the time of the study. Du you still know the starting date for your study ?

We should make sure that there was no setback of the ES price after day 26, which might have caused the long way from 50 % to 60 %.

Best regards, Myrrdin

Each option month was started at about 90 DTE.

I am so sorry but that chart is wrong. I will post a correct chart as soon as I get it made.

EDIT: Amazing how a formula being off by one cell can affect so much of a table.

Here is the corrected table. I fixed the wrong Days Held numbers. I also changed the way I calculated MROI. Before I was using the settlement price on the day the option premium got below the required drop. Now I am using the percent drop. For example, if the starting premium was $100 and I am looking at a 50% drop, if the settlement was $40 I still used $50 to calculate the MROI. The old table used the settlement price.



The average MROI in the last line of the table are not the MROI you would get if you traded this way. They are just a simple average of each month's MROI.

Because of the timing of the contract, the ESV5 60 and 70% drops hit margin calls before hitting their exit point. If you remove the margin call negative MROIs then the averages for the 60% drop is 7.4% and for the 75% drop is 5.8%.

Interestingly, the ESX5 contract which started on 8/21/15 did not have a margin call. It was close.

I've attached the spreadsheet with all of the data. Check it to make sure I don't have any errors.

Waiting for a 75% drop lowers your MROI. And you definitely do not want to wait till the option expires (MROI 100% column)

Attached Files
Register to download File Type: xlsx ES MROI.xlsx (501.8 KB, 11 views)
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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
WZ C5.1
WH C6
BOH P26

LHZ C70
LHZ C75
LHG P60
LCZ P130
LCG P130

GCG P1050
SIH P14

CLK P45

ESF P1550
ESF P1625
ESF P1675
ESF P1725
ESG P1600
ESG P1650

The ES puts have different lot sizes, as I always enter a new lot, when the original value of all ES put options has been reduced by approx. 10 %.

For some time I published all of my trade entries and exits here. But the interest seems to be limited. No questions, comments or "thank yous". Thus I will only publish general discussions and a weekly update of the portfolio. In case someone is interested in trade entries and exits, please let me know.

Best regards, Myrdin

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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
WH C5.5
BOH P26

LHG P60
LCZ P130
LCG P130
LCG C156

ESF P1675
ESF P1725
ESG P1600
ESG P1650
ESG P1680

Took profits in Gold and Silver puts as well as in Hog and Wheat calls. Closed the Crude puts with a minor loss.

Entered new trades in the LC C156 and the WH C550.

Reached target in two ES put positions, and sold the ESG P1680 instead.

Best regards, Myrdin

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 PK 1 
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myrrdin View Post
For some time I published all of my trade entries and exits here. But the interest seems to be limited.
Best regards, Myrdin

Similar words I remember on the first pages of the thread regarding selling puts by Ron. There's a lot more public interest right now. Maybe selling options on futures, especially commodities is not that 'cushy' opposite to trading outright futures or stocks. I've read your posts on the one german thread regarding selling options, the ES-Thread and here with huge interest and people reading your posts should notice that you know what you are talking about, being very objective and profound. But I don't have much to add to the discussions as I've started out with options trading begin of this year, nethertheless investing a few hours every day to plan and structure my systems, quite successful and constant for now and most of the return comes from active management of the positions.

With cash secured puts / covered calls as a base I'd like to add options on futures (partly I did already). The book from Cordier and Gross is very useful for this. Started with ES, but different approuch than only focussing on delta and margin requ. as many do here. Coming from Fx and Futures I prefer to use my trading system for trading ES and CL for the right moment to sell the options. This is quite handy fortunataly, maybe the ROI is less due to waiting time and thus missed trades but the risk is way lower then and thats my main concern. Most might handle it different but Calls I never sell naked, either covered or via Calendar Spread, especially in case of futures no verticals, only calendar spread / reverse calendar spread.

AFAIK your focus is on the diversity and the knowledge of the underlying and very little the chart itself. That's something one can read in the Cordier-Book also. Even though they mention simple technical approuches for the better moment of selling they think that the major direction will follow the fundamentals in the long run. But the details when selling options on futures usually being 1-2 months in the trades then technicals can be so important to enter at the right momrnt in order to finish the trade with a decent premium and free the margin instead of waiting twice as much just to reach the targets.

Adding future options on ES / CL to my approuches many times I'm thinking about your trades and other futures in order to diversify. Some are to risky for me, to close to the current price. But thats just for me. At the moment I try to figure out whether its a good idea to play with much longer DTE, like 120-140. My investigations the last half year is that this is gonna payout quite well with a holding time between a few weeks to 1,5 or mostly 2 months.

So my idea is to diversify as you do it, not putting all on one horse and as Cordier/Gross are preaching it. Getting into the fundamentals as necessary seems to be the key and the 'problem' otherwise the huge volatility with its really huge moves are to scary to jump in. Are you using the information from MRCI for having covered the seasonal aspect with your decision? The Hightower-Report I still have to check how to get it and then how to interpret. After adding ES/CL for my writing what would you suggest? I remember that Wheat / Corn / Soybeans could be a good choice.

Last but not least thanks for doing this great thread!

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 myrrdin 
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PK 1 View Post
Similar words I remember on the first pages of the thread regarding selling puts by Ron.

AFAIK your focus is on the diversity and the knowledge of the underlying and very little the chart itself. That's something one can read in the Cordier-Book also. Even though they mention simple technical approuches for the better moment of selling they think that the major direction will follow the fundamentals in the long run. But the details when selling options on futures usually being 1-2 months in the trades then technicals can be so important to enter at the right momrnt in order to finish the trade with a decent premium and free the margin instead of waiting twice as much just to reach the targets.

At the moment I try to figure out whether its a good idea to play with much longer DTE, like 120-140. My investigations the last half year is that this is gonna payout quite well with a holding time between a few weeks to 1,5 or mostly 2 months.

So my idea is to diversify as you do it, not putting all on one horse and as Cordier/Gross are preaching it. Getting into the fundamentals as necessary seems to be the key and the 'problem' otherwise the huge volatility with its really huge moves are to scary to jump in. Are you using the information from MRCI for having covered the seasonal aspect with your decision? The Hightower-Report I still have to check how to get it and then how to interpret. After adding ES/CL for my writing what would you suggest? I remember that Wheat / Corn / Soybeans could be a good choice.

Last but not least thanks for doing this great thread!

In case you are interested in my entries and exits, please let me know. I am happy to share them.

Principally I think the grains and beans are a good choice for selling options, although currently option prices are relatively low. But this will change. Meat markets are difficult, and it takes a long time to understand them. And Softs markets have a limited open interest.

Yes, my focus is on the diversity and the knowledge of the underlying. I would be happy to have more knowledge on charts, but this is a large project for the future. I am sure knowledge about technicals would further improve my trading. But studying many underlyings is time consuming ...

The holding time of my trades usually is between 3 and 6 months. Of course it depends on the underlying - eg. in the meats different contracts can trade rather independent of each other.

Yes, I use MRCI data for the seasonals. But seasonals are only one among several criteria. I do not enter a trade solely based on seasonal data.

In case of further questions, please let me know.

Best regards, Myrrdin

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 askerix 
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@myrrdin,

I want to second @PK 1 and encourage you to keep up posting. Unfortunately I can't contribute a lot to the option selling topic as I'm still learning the fundamentals (reading Cordier, through 500 pages of Ron's thread...). Short term I have to concentrate on a single future until feeling comfortable with it. But soaking up your post on background info about the commodities and different approaches to selling options.

thank you,
askerix

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 myrrdin 
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askerix View Post
@myrrdin,

I want to second @PK 1 and encourage you to keep up posting. Unfortunately I can't contribute a lot to the option selling topic as I'm still learning the fundamentals (reading Cordier, through 500 pages of Ron's thread...). Short term I have to concentrate on a single future until feeling comfortable with it. But soaking up your post on background info about the commodities and different approaches to selling options.

thank you,
askerix

I am happy to help everybody visiting this site. And I appreciate good questions - a contribution everybody can make.

In case you want to concentrate on one commodity, my choice would be the ES puts. Among the renewable resouces, I would trade corn or soybean options.

Best regards, Myrrdin

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 myrrdin 
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Bought back the LCZ P130 with a profit of 74 %. Reached stop loss of the underlying at 140.

Best regards, Myrrdin

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 myrrdin 
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ESF P1675 reached target and was bought back yesterday. Sold the ESG P1700 instead.

Sold the ESG P1720 after the break through 2100 to achieve the target value of my ES puts. They had lost value during the upmove of the index.

Best regards, Myrrdin

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 myrrdin 
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Currently I practice the ES put selling program in the following way:

I buy back at 40 % (60 % profit).

I sell a new (small) position whenever the value of all ES puts has decreased by approx. 5 %. The reason behind is that in this way the size of the position is always 95 to 100 % of the target at least (of course it can get higher, if the ES moves against me). Furthermore, with time there will be a larger number of different strike prices and entry / exit dates in the portfolio. Entries and exits are averaged. Thus, I want to avoid being hit by a strong move lower of the ES future at a "good" or a "bad" time. Without hedging, I am always at the same risk.

I hedge the position from time to time at 50 or 100 % via short outright futures. This is not so much for raising profits, but for a good sleep at night. Currently I am hedged at 100 % since yesterday before the close. I will lift the hedge on a move above yesterdays high, or on a move down and a strong upwards reversal.

Exit point for buying back the options is the 200 dma (days moving average) of the S&P index. These events should be rare enough that losses are over-compensated significantly by profits.

Value of the ES puts currently is 9 % of the account value.

Questions or comments are - as always - highly welcome.

Best regards, Myrrdin

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satghost
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myrrdin View Post
I am happy to help everybody visiting this site. And I appreciate good questions - a contribution everybody can make.

In case you want to concentrate on one commodity, my choice would be the ES puts. Among the renewable resouces, I would trade corn or soybean options.

Best regards, Myrrdin

I am also interested in your trading. At the moment I am concentrating on the ES puts ...

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 myrrdin 
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satghost View Post
I am also interested in your trading. At the moment I am concentrating on the ES puts ...

In my opinion this is a good place to start in case you do not have a special affinity to one of the other commodities, and are interested to study its fundamentals.

There is the risk to place too much money on one trade - be careful. We have seen in August that this trade can go against you and prduce severe losses in case the (mental) stop loss is not placed properly with regard to the account size.

In famous books you can read that strikes can be chosen far out of the money, and that the underlying future will never get there. But this is not the point. The value of the option rises when (in this case) the ES drops, and volatility rises. And within some days or even hours you are forced to get out of the trade, taking a severe loss.

Thus, keep the trade small.

Good luck !

Best regards, Myrrdin

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 ron99 
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myrrdin View Post
The value of the option rises when (in this case) the ES drops, and volatility rises. And within some days or even hours you are forced to get out of the trade, taking a severe loss.

Of course if you have properly placed longs to cover your shorts a flash move will not hurt you.

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satghost
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Yes, I have seen this and been also following Ron's thread.

Seems like you are still selling naked ES puts, not the 1:2 short/long which is delivering the best span margin results. And using your own exit strategy.
At the moment the 200 DMA of the S&P is about 2062, does this mean, you are buying back all ES put, when S&P is droping about 50 Points below 2062?

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 myrrdin 
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ron99 View Post
Of course if you have properly placed longs to cover your shorts a flash move will not hurt you.

Yes, placing long puts properly avoids this issue. The problem I see is to choose the long puts in a way to work properly under all conditions. Backtesting is usually done assuming conditions we know from the past. But is has happened that conditions differ from those in the past, and this might lead to problems.

Therefore, I prefer to get out at a pre-defined stop loss, which currently is the 200 dma of the S&P index.

On the one hand, I got out of the problems after 20th August with minor losses. On the other hand, I let money on the table, as I also got out of the trade after a close of the S&P below the 200 dma on 8th of July.

I am aware that there are many ways to make money, selling ES puts.

Best regards, Myrrdin

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 myrrdin 
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satghost View Post
Yes, I have seen this and been also following Ron's thread.

Seems like you are still selling naked ES puts, not the 1:2 short/long which is delivering the best span margin results. And using your own exit strategy.
At the moment the 200 DMA of the S&P is about 2062, does this mean, you are buying back all ES put, when S&P is droping about 50 Points below 2062?

Yes, I am still selling naked ES puts, which I hedge from time to time via ES outright futures. (I am hedged since yesterday before the close.)

I take the 200 dma of the S&P index and not of the ES future. This avoids the problem of linking different contracts to each other. The 200 dma of the index currently is at 2035, The index itself at 2108.

I intend to buy back the ES puts on a close below the 200 dma of the index. This happenened twice since I started using Ron's program in spring of this year (8th of July, 20th of August).

Best regards, Myrrdin

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satghost
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myrrdin View Post
..
I take the 200 dma of the S&P index and not of the ES future. This avoids the problem of linking different contracts to each other. The 200 dma of the index currently is at 2035, The index itself at 2108.

I intend to buy back the ES puts on a close below the 200 dma of the index. This happenened twice since I started using Ron's program in spring of this year (8th of July, 20th of August).

The close below 200 dma, seems a interesting exit criteria for me.

If you exit after a close below the 200 DMA, when will you start selling again? F.e. SPX was below 200 DMA this year between Aug 20th and Oct 21th.
From your postings, you started selling again at the beginning of Oct. And from looking at the SPX chart, since then the SPX won more than 200 points. Nearly the perfect point for starting

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 myrrdin 
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satghost View Post
The close below 200 dma, seems a interesting exit criteria for me.

If you exit after a close below the 200 DMA, when will you start selling again? F.e. SPX was below 200 DMA this year between Aug 20th and Oct 21th.
From your postings, you started selling again at the beginning of Oct. And from looking at the SPX chart, since then the SPX won more than 200 points. Nearly the perfect point for starting

Yes, as you found out correctly I start selling options again below the 200 dma in case I made out a turn around. Sometimes - as in this case - the index moves far below the 200 dma, and it makes sense to start selling again.

In this case of more risky trades it is essential for me to keep lot sizes reduced, and to have a good place to get out again (stop loss) or to hedge.

One other important point: I consider the re-entry as an individual trade, and enter it with a lot size independent of the losing trade. Usually when I get out of the trade below the 200 dma, the options are above 100 %, and the trade results in a loss. Many option sellers now try to sell this amount at a lower level, thus, placing a rather large trade to "take revenge". It is important to forget about the trade that brought the loss, and to start again with a reduced or normal lot size.

Best regards, Myrrdin

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 myrrdin 
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Current positions of my option selling portfolio:

CH P340
BOH P26
SH P800

LHG P60
LCG P130
LCG C156

ESF P1725
ESG P1600
ESG P1650
ESG P1680
ESG P1700
ESG P1720

The Lean Hog Puts are in the money, but I intend to hold them. For several reasons I am convinced that the price will move up again. Among others, cash prices are significantly higher than future prices. This difference is much larger as usually during this time of the year. And even using very pessimistic assumptions, the cash price in February (and December) should be significantly above 60. Last but not least, there is a lot of time left until my options expire.

I sold a third of a lot of the Soybeans Put at 9 cents, and placed further orders at 12 and 15 cents. I scale into these options, as I am not sure how far price will go down. But somewhere between 830 and 880 the Chinese will start buying again, and planting intentions in the US will be reduced.

I am hesitant selling Gold or Silver puts again. Palladium reacted much stronger on yesterdays numbers, and, thus, I bought it outright. (Option open interest in Palladium tends against zero.)

ES puts are currently fully hedged.

Best regards, Myrrdin

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 myrrdin 
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On my watch list for option selling there are the following positions:

SH P800: I am currently scaling into this position. In my opinion, the seasonal low should be close.

CLK P45: I intend to sell this option again in November or December on a further move down. Probably I will also scale into this position.

KC puts: Coffee price has not been below 100 since 2007. Thus, I intend to scale into some KCK puts within the next two months. Seasonals begin moving upwards strongly in the middle (last 5 years) or end (last 15 years) of December.

Usually at this time of the year I sell Natural Gas options. I am careful in this regard, as El Nino could bring a warm winter in the US, which makes it dangerous to sell puts. Selling calls is not interesting and dangerous at current price levels - one cold blast, and the options gain value extremely fast.

Best regards, Myrrdin

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 myrrdin 
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myrrdin View Post

CLK P45: I intend to sell this option again in November or December on a further move down. Probably I will also scale into this position.

Sold a first lot of CLK P45@3.17 .

Intend to sell further options at higher prices if possible.

Best regards, Myrrdin

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 myrrdin 
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Bought back the CH and SH puts with (very) small losses after yesterdays USDA reports. Looks like I will be able to sell again at lower prices.

Also bought back the meat puts early this week. Both were negative trades although I had hedged them with short future positions. No idea how far they can fall. Although I am still convinced hog and live cattle prices will end up significantly above todays price. Will enter bullish trades in the meats after a reversal, but I am not sure if I will sell options or buy futures.

Added to the ES put program and sold the ESG P1675. Currently I hold 4 lots, each 3 % of account value. No hedge since yesterday; intend to hedge again below Monday's low.

Best regards, Myrrdin

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 myrrdin 
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Out of all ES puts, as the S&P index closed below the 200 dma. The last time this happened was on August, 19th.

I was hedged at 100 % for a large part of the trade, But hedging is not perfect. Few of the options were profitable, most of them showed an acceptable loss. In average the options lost 20 - 25 %, a large part of this was covered by the hedge.

I still have the hedge futures working, and, thus, I am short via outright futures with a tight stop (50 % at 2043.5, 50 % at 2051.5)

Will enter the trade again, when there is a clear reversal. This may also happen below the 200 dma.

I am quite happy with my strategy of exiting, as losses are limited. But of course I have to enter and exit more often than others holding there options longer.

Best regards, Myrrdin

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 ElChacal 
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@myrrdin I assume you hedge with options to downsize the outright future contract? Could you explain more in detail? What would be the "composite" value of a 1 point move of the S&P500 for instance?
Thanks.

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 myrrdin 
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ElChacal View Post
@myrrdin I assume you hedge with options to downsize the outright future contract? Could you explain more in detail? What would be the "composite" value of a 1 point move of the S&P500 for instance?
Thanks.


No, I hedge with outright futures, as described below. 100 % hedge means that the futures have approximately the same delta (usually a bit less) than the options. Of course, change in volatility is not considered.

Best regards, Myrrdin

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 myrrdin 
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I am now out of most of my short options, and only hold the LCG C156 and a small lot of the ESG P1625 (early entry yesterday after Tiger traders comments that in his opinion the downside of the ES should be limited).

I intend to build a regular position in ES puts on a reversal of the S&P index.

Furthermore, I intend to re-enter the LH puts in the next couple of days.

Best regards, Myrrdin

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 myrrdin 
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In my option portfolio I only hold positions in the hogs (LHG P55) and the stock indices (various OTM put options). Not much on the horizon to sell.

In the grains, the next move should be upwards. But in my opinion the lows are not in yet. Corn looks like the best candidate for selling puts.

Similar situation in the energies. CL and NG might move further down before moving up again. I am looking to short NG calls on a severe move up in the future.

Currently nothing that interests me in the softs. Coffee could also move down before moving up again.

Thus, I am waiting patiently for the next opportunity. And hope to be sussessful with hogs and S&P.

Best regards, Myrrdin

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 myrrdin 
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I sold a first lot of LCM P110 yesterday, as I think the lows are in for the next couple of months. I do not expect a large move upwards, but prices should hold stable for a while.

I also placed an order for selling a first lot of CLM P40. The dollar should not move much further upwards, and this might keep crude oil prices stable at least. Volatility currently is rather high because of the OPEC meeting end of the week.

ES put selling program is running regularly.

Best regards, Myrrdin

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 myrrdin 
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Got filled an the CLM P40.

Sold SH C1040. As long as there are no major weather problems in South America, prices should come back down.

Best regards, Myrrdin

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 myrrdin 
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I sold two lots of ESH P1650 and ESH P1675 yesterday after the press conference. Maximum number of lots is four, thus, I am 50 % invested currently. The S&P index is again above its 200 dma (days moving average). Stop is below the low of 14th of December.

Further positions:

SG C8.8

LHG P55
LCM P110

GCJ P1025

Best regards, Myrrdin

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 myrrdin 
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SG C8.8
Bought back profitable because of news of dryness in pars of South America.

LHG P55
Bought back profitable because of new low of the cash price.
LCM P110
Bought back with a loss, and bought outright futures instead at approx. 116.65. I expect a large move upwards instead of a move sidewards / upwards, which already began.

GCJ P1025
Bought back with a small loss, as stoop loss was hit.

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