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Search: Posts Made By: TFOpts
Forum: Options October 9th, 2017, 10:14 AM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Yes, commissions and fees are assumed to be $7...

Yes, commissions and fees are assumed to be $7 round-trip.
Forum: Options October 5th, 2017, 07:15 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
See the following table, run 3 with 5 x IM is...

See the following table, run 3 with 5 x IM is less than 100%. It has about the same risk and return profile as the 2-3 strategy.
https://nexusfi.com/attachments/237418
Forum: Options August 6th, 2017, 11:31 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
There is more risk if you keep options until...

There is more risk if you keep options until expiration. For example, using Ron's original strategy of 1 short at -5 delta and 2 long at -1.5 delta; the success rate is 100% from 2013 to 2016 if you...
Forum: Options August 2nd, 2017, 03:44 PM
Replies: 1,598
Views: 283,556
Posted By TFOpts
I almost got burned selling corn puts per a...

I almost got burned selling corn puts per a bullish recommendation from Hightower. Fundamentally it may be the right direction due to the hot and dry weather affecting pollination and potentially...
Forum: Options July 21st, 2017, 11:11 PM
Replies: 45
Views: 39,244
Posted By TFOpts
Rambo, looks pretty impressive. Would you be...

Rambo, looks pretty impressive. Would you be willing to share your spreadsheet on this thread?
Forum: Options July 12th, 2017, 09:58 AM
Replies: 1,598
Views: 283,556
Posted By TFOpts
myrrdin What do you think about selling...

myrrdin

What do you think about selling cattle calls? I'm new to this but: there's a chance that supply will increase due to the heat. Producers may want to sell ready cattle now instead of...
Forum: Options July 12th, 2017, 09:43 AM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Yes, see bottom of this post (uses 6 x IM but you...

Yes, see bottom of this post (uses 6 x IM but you get the idea): https://nexusfi.com/options-futures/12309-selling-options-futures-621.html#post647780

I would've said: sell one option with the...
Forum: Options July 8th, 2017, 07:43 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Here you go, added one more: ...

Here you go, added one more:
https://nexusfi.com/attachment.php?attachmentid=237418

Here's a visual of these methods mapping risk and reward. Ideally you'd want to be in the top left of the...
Forum: Options July 8th, 2017, 02:29 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Sorry, I should've clarified the labels. E is...

Sorry, I should've clarified the labels. E is the expectation,or average, of the daily mROI. Median is the middle value of the daily mROI. Avg mROI is the average monthly return you would've...
Forum: Options July 7th, 2017, 03:54 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
ron99, Your question prompted the idea of...

ron99,

Your question prompted the idea of keeping the ITM margin constant (e.g. at 20%) and letting the short delta float. Here are some results: run 1 is short 1 at -5 delta and long 1 at -3...
Forum: Options July 7th, 2017, 01:09 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Bob, ITM margin (there's probably a better...

Bob,

ITM margin (there's probably a better name for this) is the percent change in the underlying future that would bring the short option in the money. The formula is K/S - 1, where K is the...
Forum: Options July 7th, 2017, 09:52 AM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
That chart is for a sell one (-5 delta) buy one...

That chart is for a sell one (-5 delta) buy one (-3 delta) structure with 6 x IM as margin held.

The results are similar for the other runs as well. The reason is that, when the ITM margin is...
Forum: Options July 6th, 2017, 11:53 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Ron, Here's the distribution for a few deltas: ...

Ron,
Here's the distribution for a few deltas:
https://nexusfi.com/attachment.php?attachmentid=237287
Only the -3 delta would have a high chance of being safe for the 2011 drop. Note that these...
Forum: Options July 3rd, 2017, 09:32 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
My runs include $7 RT fees. If you compare...

My runs include $7 RT fees.

If you compare run 0 (sell 1 at -5 delta and buy 2 at -1.5 delta) to run 2 (sell 1 at -5 delta and buy 1 at -3 delta), the returns are about the same (especially at the...
Forum: Options June 7th, 2017, 11:10 PM
Replies: 610
Sticky: PC-SPAN
Views: 191,273
Posted By TFOpts
Dudetooth, Do you know if the SPAN files...

Dudetooth,

Do you know if the SPAN files include margin requirements on the underlying futures (instead of just on options)? If yes, would it required extensive modifications to XLS-SPAN to...
Forum: Options June 6th, 2017, 07:59 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
No, I use the settle data from CME. Large price...

No, I use the settle data from CME. Large price variations are only somewhat accounted for when you want to exit at a % of premium, e.g. exit when 200% of premium is reached, my model assumes you...
Forum: Options June 6th, 2017, 04:21 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Thanks for the post. This may be a bit naïve,...

Thanks for the post. This may be a bit naïve, but would auto-trading help get out closer to the desired exit price? Let's say you use a simple strategy selling naked ES puts and getting out...
Forum: Options June 6th, 2017, 03:42 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Ron, Based on my reading of this thread, you...

Ron,

Based on my reading of this thread, you had good success with commodity options for a long time and only started concentrating in ES for the last couple of years. I understand the ES...
Forum: Options June 6th, 2017, 10:41 AM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
rsm005, I finally have historical results...

rsm005,

I finally have historical results using protective puts. The scenario that seemed to work the best is to buy the puts when you reach about 50% of margin. Higher than 50% and the puts...
Forum: Brokers June 3rd, 2017, 02:07 PM
Replies: 29
Views: 24,737
Posted By TFOpts
Thanks Carely, I was going into details to make...

Thanks Carely, I was going into details to make sure margin calls behaved correctly in a back-testing model. I am not able to see your image; but from what I gather, in any situation the net...
Forum: Options June 2nd, 2017, 04:30 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Ron, yes I used the end of day (settle) values...

Ron, yes I used the end of day (settle) values for the margin and the price. I suppose those would be the values you trade on Tuesday then.
Forum: Options June 2nd, 2017, 04:28 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Thanks Ron! How's this for the roll? ...

Thanks Ron!

How's this for the roll?
Margin Held + Init Short - Short Buy + Init Roll Short - Init Long > Maintenance Margin(t) + Roll Short(t) - Long(t)

Where,
Init Short = the value of the...
Forum: Options June 2nd, 2017, 02:44 PM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
I need a better understanding of margin calls and...

I need a better understanding of margin calls and what the requirements are when positions change. I'm still trying to model purchasing protective options when things get dicey (rsm005's idea) and...
Forum: Brokers June 2nd, 2017, 09:58 AM
Replies: 29
Views: 24,737
Posted By TFOpts
decarleytrading I have a few questions on...

decarleytrading

I have a few questions on margin calls for option writers that you can hopefully clarify. I will describe how I think it works below, please correct any misunderstanding.

When...
Forum: Options June 1st, 2017, 10:27 AM
Replies: 7,370
Views: 1,994,895
Posted By TFOpts
Based on a quick study of historical data, it...

Based on a quick study of historical data, it doesn't look like dollar cost averaging (DCA) works very well for the type of option writing described in this thread. It produces quite a bit lower ROI...
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