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Does anyone have access to delta values for ES options from the year 2000? I am reading the book "options on Futures -New Trading Strategies" by Summa and Lubow. They advocate selling credit spreads, and I am trying to see what kinds of deltas they were using (they say they are selling "deep out of money").
Using Ron's 3x margin requirement, these guys get 3 to 11% monthly ROI. But I need delta values to put it in perspective (11% on a ,02 delta is great, but if the delta was .2, that ROI might not be good).
Can you help answer these questions from other members on NexusFi?
Even with the changes, it still might be better to pay $1 or $2 more per contract for broker who allows SPAN minimum on everything... the extra contracts you can sell with SPAN minimum might make up the difference.
I am still going to open up an account with DeCarley because OX will raise the margins again at the most inopportune time. They are dropping it because the volatility in CL is dropping right now. If CL moves sharply one way or another then they will raise it.
I am new to options on futures, but have traded options on equities for a long time and would like to have something clarified, please.
YM is currently trading at 15972
the December 2013 16100 call option is trading at around $127
and the December 2013 16150 call option is trading at around $105
So if I sell the 16100 call option I get $127 and buying the 16150
call option to turn it into a credit spread, will cost me $105.
Thus my credit is $22 (not taking commission into consideration)
I believe that the YM is $5 per point, so the max spread is $250, but due to
credit received my max loss would be $228.