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Updated July 28, 2023
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January 9th, 2017, 10:25 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
kulu
@
ron99
Did you enter any put position in /ES today? Also, I was looking at the trade you describe for ES Put Selling, and I am not sure I understand the 2 long puts. You say you want
delta = 1.5. I am finding that the deltas on my platform (
TOS ) are not in that magnitude. I couldn't find a delta 1.5 put. The short 5 delta was no issue, but I couldn't find any 1.5 delta option.
I would like to demo this trade for the rest of the month and start small when I have enough occurrences to go live.
Thanks
No trades for me today.
If I was entering a spread on Tuesday I would sell a EW3j7p1870 (delta 5.04) and buy 2 EW3j7p1650 (delta 1.47 each). IM is $569. Net premium is 3.50.
Monthly ROI using 6x IM if you exit at 50% drop of net premium after 30 days is 1.9%. It is low because volatility is low causing put premium to be low.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
January 10th, 2017, 09:41 AM
Chicago, IL
Legendary Market Chamois
Experience: None
Platform: NT8,NT7,TWS
Broker: InteractiveBrokers, S5T, IQFeed
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
ron99
I have decided that it is almost impossible to predict direction of markets.
So unless you think that the market is going to drop lower than the
strike of your short position, keep putting positions on.
Several people, me included, were worried about Trump being elected and that it might crash the markets. The opposite happened.
Santa Claus Rally........
https://http://www.investopedia.com/terms/s/santaclauseffect.asp
https://en.wikipedia.org/wiki/Santa_Claus_rally
this probability is high...... during December
Ron (Blash)
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
B uy L ow A nd S ell H igh (read left to right or right to left....lol)
January 14th, 2017, 12:14 AM
Evans, GA
Posts: 31 since Sep 2016
Thanks Given: 14
Thanks Received: 35
Flintsone99
Just a question about
Victor Niederhoffer and him going bust in 1997 selling puts. I was just curious if anyone knew more about his position?
From this article all I can gleam is that an 8% move wiped him out and that he was naked.
Anyone know what time frame he was trading and how far
OTM he was?
It is a old article but we can use it as an example of what not to do
Victor Niederhoffer Thinks He Caused The Stock Market Crash Of 1997 - Business Insider
An interesting line in his Wikipedia entry may give us clues (I have no idea how to get prices from that far back to tell if that was
ATM or OTM)
"In statistical terms, I figure I have traded about 2 million contracts , with an average profit of $70 per contract (after slippage of perhaps $20). This average is approximately 700 standard deviations away from randomness."
https://en.wikipedia.org/wiki/Victor_Niederhoffer
An interview with him shortly after the 1997 crash. He still looks shell shocked
Yeah he does look shell shocked. Seems to stunned by it still to do an interview. It's sad man.
January 14th, 2017, 10:21 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Volatility in ES (BV on Scan sheet in Dudetooth's XLS-SPAN spreadsheet) has gone from 13.8% on Dec 30 to 11.8% now. That is very low and killing premiums of ES options and lowering possible ROI. It was 16.8% on Dec 31, 2015.
A ~5.00 delta ES put on
12/31/15 78.3% of ES futures
12/30/16 80.0% of ES futures
01/13/17 83.4% of ES futures
I'm not staying out but be careful and make sure you have enough excess. Don't try to cut corners (excess).
January 16th, 2017, 02:34 PM
Hamburg, Germany
Posts: 15 since May 2014
Thanks Given: 14
Thanks Received: 4
ron99
If I was entering a spread on Tuesday I would sell a EW3j7p1870 (
delta 5.04) and buy 2 EW3j7p1650 (delta 1.47 each). IM is $569. Net
premium is 3.50.
Where do you look at for the delta? "span_delta" in the SPAN files?
Like the other poster mentioning TOS , when I look at the delta in TWS there is a huge discrepancy (TWS delta is way too low for small deltas).
January 16th, 2017, 03:54 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
uwevoelker
Where do you look at for the
delta ? "span_delta" in the SPAN files?
Like the other poster mentioning
TOS , when I look at the delta in TWS there is a huge discrepancy (TWS delta is way too low for small deltas).
The easiest for me is to get it from Dudetooth's XLS-SPAN excel spreadsheet.
It is also available here from the CME .
https://www.cmegroup.com/daily_bulletin/current/Section48_E_Mini_S_And_P_500_Put_Options.pdf
For April EW3 puts they are on page 18 for the Jan 13th pdf.
CME has .015 for an April EW3 1680 put. That is the same as what I call 1.50. 1.50 percent is the same as .015 in decimal format. Maybe TOS is using the same format as CME. My data provider uses 1.50.
January 17th, 2017, 09:48 PM
Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT Stellar & Tradestation
Broker: Primarily Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,060 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,230
ron99
I'm not staying out but be careful and make sure you have enough excess. Don't try to cut corners (excess).
I'd post a VIX vs SPX scatter but last time I did the implication was dead wrong.
As such I'm almost dead flat and market keeps going straight up!
January 19th, 2017, 08:24 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
SMCJB
I'd post a
VIX vs SPX scatter but last time I did the implication was dead wrong.
As such I'm almost dead
flat and market keeps going straight up!
I'm up 6% this month for accounts with only ES put spreads in them.
I have found that I am wrong as much as I am right when I try to time entry. So I just add new positions without trying to do any timing.
January 20th, 2017, 10:29 AM
Riga Latvia
Posts: 107 since Jan 2013
Thanks Given: 441
Thanks Received: 72
January 20th, 2017, 11:24 AM
Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT Stellar & Tradestation
Broker: Primarily Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,060 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,230
ron99
I'm up 6% this month for accounts with only ES put spreads in them.
I have found that I am wrong as much as I am right when I try to time entry. So I just add new positions without trying to do any timing.
That's impressive Ron.
I had an excellent year last year but month to date I'm only +0.2% vs SPX +1.1%.
I'm too flat as I've felt this market is overextended.
Last Updated on July 28, 2023