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Here are how various ES put strategies performed starting 6/23/16 using 6x.
1680 was 20% below futures on 6/23/15. The 1st three are 85 DTE. 2nd three are 120 DTE. The 1710-1480 is 5 delta-1.5 delta 2 longs. Same for the 120 DTE 1625-1375.
The 120 DTE had about the same draw downs as the 85 DTE but their margin increased by a lower percent so less of account balance used to cover margin (IM). The worst for draw down was the 5 delta 2 longs 1.5 delta spread. 16% draw downs.
I do notice the 120 DTE positions didn't recover as fast premium wise on 20160628. I'll check this again next week.
Hi ron99 and all traders who are following this post, new member here
Thanks for your wonderful topic about selling options on futures.
Can you share your experience regarding selling options from 2000 - 2002? If you haven't started trading in 2000 - 2002, from your experience, what difficulties you think options sellers would have to deal with .
One thing I realized for the last few days that TOS raised the margin requirements for /ESU6 without noticing. Today, it's back to normal. Have any of you ever experienced that condition? Is it normal?
Yes some places will jack up margin requirements above exchange minimum with no prior notice. IB, TOS, OptionsXpress to name a few. Run from them as fast as you can. Unpredictable margin requirements, especially when markets are moving against you, is a horrible trading situation.
I just want to know what would happen in 2000 - 2002 to option sellers compared to 2008. Would they experience substantial loss as many option sellers did in 2008?
Regarding the margin requirements problem, what brokers you think are the best for options on futures trading?
During your trading years, can you recall how many times have you experienced this particular situation? Did it in anyway negatively affect your trading strategy and cause you unexpected loss/margin call?
The behavior of the spreads is very strange given how things shook out in August. Wonder why the spreads had a larger drawdown than the naked positions.
Based on this and some of the other testing you've done are you thinking of changing your put strategy? I'm considering moving to a 1 and 1 strategy rather than a 1 and 2 simply because exiting is so difficult. I'm doing my own back testing on that.